Market Moves
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Covid-19 relief initiative launched
Sector developments and company hires
Covid-19 relief initiative launched
Market Moves 19 May 2020
Community Capital Management has launched an initiative to invest US$100m of assets in Covid-19 relief efforts. The aim is to offer organisations that wish to contribute to the long-term US recovery post-pandemic an opportunity to complement their philanthropic and volunteer resources through a seasoned fixed income strategy designed to provide high current income consistent with the .......
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SME CLO, SRT PD adjustments mooted
Sector developments and company hires
SME CLO, SRT PD adjustments mooted
Market Moves 18 May 2020
DBRS Morningstar is considering additional adjustments to reflect expectations of a higher probability of default (PD) for borrowers underlying SME CLO and significant risk transfer deals operating in economic sectors considered to have a ‘mid-high’ or ‘high’ risk of experiencing higher levels of default, due to the coronavirus fallout. For borrowers in the ‘mid-high’ .......
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Conflict of interest charge settled
Sector developments and company hires
Conflict of interest charge settled
Market Moves 15 May 2020
The US SEC has charged Morningstar Credit Ratings for violating a conflict of interest rule designed to separate credit ratings and analysis from sales and marketing efforts. Morningstar has agreed to pay US$3.5m to settle charges including that from mid-2015 through September 2016, credit rating analysts in Morningstar’s ABS group engaged in sales and marketing .......
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Corporate actions slow down
Sector developments and company hires
Corporate actions slow down
Market Moves 14 May 2020
Negative rating actions on corporate loan issuers continue to accumulate within US BSL CLOs, though the pace is moderating, according to S&P. Since early March, more than 28% of US BSL CLO collateral has been downgraded or placed on credit watch negative by the agency, while triple-C buckets have tripled to 12.3% from about 4% (though .......
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TALF CLO rules clarified
Sector developments and company hires
TALF CLO rules clarified
Market Moves 13 May 2020
The US Federal Reserve has clarified its CLO eligibility rules for TALF. It defines its stipulation that all or substantially all of the leveraged loans underlying CLOs must have been “newly issued” as those originated or refinanced on or after 1 January 2019. The Fed also announced additional CLO portfolio requirements: maximum second lien loan concentration .......
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SFSF investments disclosed
Sector developments and company hires
SFSF investments disclosed
Market Moves 12 May 2020
The AOFM has disclosed the recent investments it has made under the Structured Finance Support Fund. In the primary market, the fund was the sole third-party investor in the A2 tranches of FirstMac 2020-1 (it also invested in the A1 through D tranches) and Liberty Series 2020-1 on 27 March and 8 May respectively. It has also .......
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Residual value buffer provided
Sector developments and company hires
Residual value buffer provided
Market Moves 11 May 2020
Volkswagen Financial Services UK will calculate a collateral residual value buffer to be made available to its UK auto ABS issuers in respect of the monthly period in which a payment holiday with a term extension is granted for a purchased receivable. The collateral RV buffer will be £300 for each purchased receivable in respect of which .......
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STS synthetics proposals published
Sector developments and company hires
STS synthetics proposals published
Market Moves 6 May 2020
The EBA has published its proposals for developing an STS framework for synthetic balance-sheet securitisations, which includes the criteria to be considered when labelling a transaction as ‘STS' and provides the pros and cons of a potentially differentiated capital treatment for this type of securitisation. Among the proposed STS criteria are requirements on simplicity, standardisation and transparency .......
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Ladder locks in financing
Sector developments and company hires
Ladder locks in financing
Market Moves 5 May 2020
Ladder Capital has entered into a strategic financing arrangement with Koch Real Estate Investments, under which Koch will provide the company with approximately US$206.4m in senior secured financing to fund transitional and land loans. As part of the strategic financing agreement, Koch has the right to make a US$32m equity investment in the Ladder at any time .......
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WAM guidelines finalised
Sector developments and company hires
WAM guidelines finalised
Market Moves 4 May 2020
The EBA has published its final guidelines on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitisation transaction, as laid down in the CRR. These guidelines aim at ensuring that the methodology applicable for the determination of the WAM for regulatory purposes is sufficiently transparent and harmonised .......
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MBS overvaluation case settled
Sector developments and company hires
Overvaluation case settled
Market Moves 1 May 2020
The US SEC has accepted an offer of settlement from Semper Capital Management in connection with administrative and cease-and-desist proceedings against it. On the basis of the offer, the Commission finds that from July 2013 through May 2014, Semper overvalued certain odd lot positions in securities held by the Semper MBS Total Return Fund (SEMMX), which caused .......
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Prudential flexibility reiterated
Sector developments and company hires
Prudential flexibility reiterated
Market Moves 29 April 2020
The European Commission has adopted a package to help facilitate bank lending to households and businesses throughout the European Union that includes an Interpretative Communication on the EU's accounting and prudential frameworks, as well as targeted ‘quick fix’ amendments to the CRR, in order to maximise the ability of banks to lend and absorb losses related to .......
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PEFF funds allocated
Sector developments and company hires
PEFF funds allocated
Market Moves 28 April 2020
The steering body of the World Bank’s Pandemic Emergency Financing Facility (PEFF) has allocated US$195.84m to 64 of the world’s poorest countries with reported cases of Covid-19 to fund critical lifesaving medical equipment and support for health workers on the frontlines of the crisis. The allocation represents the amount received when the PEFF insurance window triggered for .......
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European SME ABS struggling
Sector developments and company hires
European SME ABS struggling
Coronavirus-driven disruption is creating financial difficulties for European SMEs that heavily rely on securitisations for funding. Consequently, the crisis and subsequent recession will challenge the asset quality of SME ABS, according to a new report from Moody’s.“There is a widespread lack of financial strength and fewer financing options among SMEs, relative to large corporate .......
Market Moves 27 April 2020
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Inventory ABS prepped
Sector developments and company hires
Inventory ABS prepped
Market Moves 24 April 2020
Fintech platform Supply@ME Capital (SYME) has entered into an agreement with StormHarbour Securities for the issue, distribution and placing of a series of ABS that are guaranteed against inventories purchased directly by the platform's SPVs (SCI 15 April). Details of the securitisation programme are being finalised, but it is anticipated to cover - within 12 months .......
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Grandfathering for Dutch CLO issuers
Sector developments and company hires
Grandfathering for Dutch CLO issuers
Market Moves 23 April 2020
The Dutch tax authorities have provided written confirmation to CLO issuers domiciled in the Netherlands that their recently revised position on the VAT exemption (SCI 10 March) will not apply with retroactive effect. Further, the VAT exemption will continue to apply to transactions for a grandfathering period until 1 January 2021. Issuers are continuing a .......
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GSE advancing obligations aligned
Sector developments and company hires
GSE advancing obligations aligned
Market Moves 22 April 2020
The US FHFA has aligned Fannie Mae's and Freddie Mac's policies regarding servicer obligations to advance scheduled monthly principal and interest payments for single-family mortgage loans. Once a servicer has advanced four months of missed payments on a loan, it will have no further obligation to advance scheduled payments. When a mortgage loan is in an .......
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Moody's puts CLOs under review
Sector developments and company hires
Moody’s puts CLOs under review
Moody's has placed on review for downgrade its ratings on 859 tranches issued by 358 US BSL CLOs (plus another 25 linked US CLO combo notes, secured notes and repacks) and 117 tranches issued by 39 European BSL CLOs. The affected securities represent 19% of Moody's US-rated BSL CLOs and 14% of its European-rated CLOs.Market Moves 20 April 2020
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Interest rate mismatches eyed
Sector developments and company hires
Interest rate mismatches eyed
Market Moves 17 April 2020
Moody’s suggests that loan repricing will increase interest rate mismatches for Chinese structured finance deals, posing a higher risk for RMBS than auto ABS, given the longer loan terms and the greater share of floating-rate loans. All Chinese financial institutions must reprice outstanding floating-rate loans to either loan prime rate (LPR)-indexed floating rates or fixed rates .......
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CMBS secured, unsecured sub debt weighed
Sector developments and company hires
CMBS secured, unsecured sub debt weighed
Market Moves 16 April 2020
Senior US CMBS loans with unsecured subordinate debt (such as mezzanine or preferred equity) show significantly lower default rates than senior loans with secured subordinate debt (such as B-notes) at comparable leverage points, according to Fitch. The agency evaluated the performance of 1,001 senior CMBS conduit loans with subordinate debt in place, issued between 2003 .......
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Auto ABS rating withdrawn
Sector developments and company hires
Auto ABS rating withdrawn
Fitch has withdrawn the expected ratings of Swiss Car ABS 2020-1 (SCI 9 April). The rating agency notes that the debt issue is “no longer expected to proceed as previously envisaged”.EMEA
Market Moves 15 April 2020
Reed Smith has appointed Baptiste Gelpi as a partner in its financial industry group, based in Paris. Gelpi joins the firm from Hogan .......
