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SCI Start the Week - 29 March

Category: ABS Capital Relief Trades CLOs

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A review of securitisation activity over the past seven days

CLO pricing service selected
SCI Valuations has been selected by Bloomberg's Enterprise Data business to provide daily CLO debt pricing to integrate with Bloomberg's Liquidity Assessment (LQA) tool. The integration of this data with LQA will enable Bloomberg customers to more effectively and easily view and manage their portfolios, the companies say.
SCI Valuations provides automated valuations for US and European CLO debt, as well as bespoke pricing for CLO equity and European ABS/MBS. It employs sophisticated proprietary algorithms that take into account refi/reset effects, manager performance, bond margin and many other relevant performance metrics to generate Price, DMs and WALs.  SCI Valuations also monitors the BWIC and new issue market daily and calibrates inputs accordingly as well as deploying a multi-factor deep dive algorithm that takes into context credit and liquidity/MV factors along with the idiosyncratic nature of CLO debt securities.

Last week's stories
Assessing arrears
Withdrawal of UK support measures eyed
Corporate failures
Default study sheds light on governance
Flexible financing
Alternative auto ABS structures eyed
Landmark NPL ABS inked
Banca Ifis completes salary assignment securitisation
Manager maintenance
CRE CLO credit quality maintained by manager strategies
Short-lived slowdown?
CLO primary volumes temporarily ease but set to return
SRT upsized
Reverse enquiry for agricultural loan trade
The Collins catalyst
Dodd-Frank amendment could provide tipping point for US CRTs (Premium Content)

Other deal-related news

  • S&P has reviewed the indentures of the 870 CLOs it rates to assess Libor fallback language governing a transaction's liabilities (SCI 22 March).
  • An error in the Eurohome UK Mortgages 2007-2 cash manager's quarterly report for the payment date on 15 June 2020 has resulted in an underpayment of £247,482 of principal to the deal's class A2 notes and an overpayment of the same amount of interest to its residual certificates (SCI 22 March).
  • The first-ever humanitarian catastrophe bond covering pure volcanic eruption risk has been completed using a Guernsey ILS structure (SCI 23 March).
  • The UK HMRC has launched a consultation seeking views on the taxation of securitisation companies (SCI 24 March).
  • Student loan forgiveness would have a positive effect on FFELP student loan ABS trusts exposed to maturity risk, if it were passed into law and FFELP loans were ultimately included, Fitch says (SCI 24 March).
  • S&P is requesting comments on proposed updated methodologies and assumptions to rate ABS backed by trade receivables (SCI 25 March).
  • The European Parliament has passed amendments to the existing STS Regulation and concomitant changes to the CRR, including allowing certain synthetic on-balance sheet securitisations to achieve STS status (SCI 26 March).
  • Aircraft ABS rent collections are down by 40%-60% in March 2021 compared with January 2020, driven by ongoing airline credit deterioration and declining asset values, according to Fitch (SCI 26 March).

Company and people moves

  • Credit management services provider doValue has expanded its online non-performing loan trading platform doLook to Greece and Cyprus through an exclusive partnership with Debitos (SCI 22 March).
  • Tikehau Capital has appointed Simon Males to lead its UK institutional business, based in London (SCI 23 March).
  • Finacity Corporation has provided origination, analytic and structuring support for a US$2.09bn global securitisation programme for one of the world's leading container shipping and logistics group (SCI 23 March).
  • Annaly Capital Management has elected Eric Reeves, md, head of private capital investments of Duchossois Capital Management and general counsel & secretary and chief administrative officer of The Duchossois Group, as an independent member of its board (SCI 23 March).
  • Blackstar Capital has appointed Khalid Javaid as head of legal, responsible for providing structuring, legal and execution advice in relation to transactions and new business (SCI 25 March).
  • Angelo Gordon has appointed Nicholas Smith as md to lead the firm's whole loan business and expand the team's capability across multiple asset classes (SCI 25 March).
  • ESG key performance indicators (KPIs) for the securitisation industry are achievable and necessary, according to members of ICMA's Asset Management and Investors Council (SCI 26 March).
  • Slate Asset Management is set to acquire Annaly Capital Management's commercial real estate business - comprising a portfolio of performing real estate loans, debt securities and real estate equity positions - for US$2.33bn (SCI 26 March).
  • Climate risk analytics provider risQ and geospatial data provider Level 11 Analytics have launched a new climate and ESG analytics capability focused on MBS, including residential and commercial, as well as agency and non-agency securities (SCI 26 March).


Recent research to download
The Collins Amendment - March 2021
CRT 2021 Outlook - March 2021
Synthetic RMBS - March 2021
CLO Case Study - Spring 2021

Upcoming events
SCI's 5th Annual Risk Transfer & Synthetics Seminar
21-22 April 2021, Virtual Event
SCI's 3rd Annual NPL Securitisation Seminar
26 May 2021, Virtual Event
SCI's 1st Annual CLO Special Opportunities Seminar
29 June 2021, Virtual Event
SCI's 7th Capital Relief Trades Seminar
13 October 2021, In Person Event