Sector developments and company hires

Range of moratoria take-up ‘stark’
With payment holiday concentrations having fallen over the past few remittance periods, the range of payment holiday take-up across UK RMBS is stark, according to JPMorgan’s latest Covid-19 Payment Holiday Tracker. Reflecting data reported primarily through September and August, the report identifies zero percent (in the case of the MORTI 2020-1 deal) and 0.6% (TWIN 2017-1 ) at the low end of this range to a maximum of 58.4% (CCMF 2017-1).

As of the most recent reporting period, 63 of the 128 combined standalone deals and master trust programmes covered in the Tracker are now reporting payment holiday concentrations below 10%, with 23 transactions (18%) reporting a payment holiday concentration below 5%. Conversely, 15 transactions still have payment holiday take-up of at least 30%, including seven deals (5%) with at least a 40% take-up.

By collateral type, the non-conforming and non-standard prime sectors continue to report the highest aggregate payment holiday concentrations at 19% and 17% respectively, down from around 25.5% in JPMorgan’s previous Tracker.

In other news…

Downgrades for corporate CRT
DBRS Morningstar has downgraded by a notch the ratings of three tranches of Barclays’ Colonnade Global 2018-5 capital relief trade. Tranche E of the transaction has been downgraded to single-A, tranche H to triple-B and tranche I to triple-B (low).

The agency notes that as of September 2020, there have been four loan defaults, which occurred in July and August 2020. The cumulative outstanding balance of the defaulted loans at the time of default represents €2.9m (or 5.2% of the guarantee initial balance), while the cumulative loss to date is €800,000 (1.4%).

EMEA
Kartesia has announced seven new hires for both its investment and operations teams, based in London, Paris, Madrid and Luxembourg. Karan Patole has joined the firm as an associate from 23 Capital, responsible for sourcing, executing and monitoring investments across Europe, with a focus on the UK. Cristina Amil Gil de Biedman will also join the London office as an associate in the operations team, joining from Goldman Sachs.

Meanwhile, the team in Madrid has been strengthened with the hire of Jorge Gimenez-Arribas as associate and Antonio Pastor as analyst, having previously worked at UBS and independent financial advisory Arcano respectively. Alexis Midol has joined the team in Paris as an associate, having previously worked for the Bank of Ireland and Deutsche Bank.

The operations team in Luxembourg has been bolstered with the addition of Coralie Gallego as financial analyst and Benoit Lapuh as compliance officer, whose past experience includes time at KPMG and EY respectively.  

SME ABS hit by defaults
DBRS Morningstar has downgraded the class B and C notes issued by Alhambra SME Funding 2019-1 to double-A (low) from double-A and to single-B (low) from double-B (low), resolving the placement of the deal under review with negative implications on 2 July. As of 18 September, four loans in the pool had defaulted, raising the cumulative default balance to €28.5m (or 10.4% of the initial portfolio balance). The defaults occurred between June and August 2020 and three of them could be directly associated with the hardship brought to businesses by the coronavirus pandemic, according to the rating agency.