Monday 23 March 2020 11:18 London/ 06.18 New York/ 19.18 Tokyo

A review of securitisation activity over the past seven days

SCI NPL Securitisation Awards 2020 - new deadline
SCI NPL Securitisation Awards 2020 - new deadline As a result of COVID-19, the SCI NPL Securitisation seminar has unfortunately had to be postponed until 1 July, along with the NPL Securitisation Awards ceremony. Award nominations remain open and a have a revised deadline of 24 April. Further information and details of how to pitch can be found here.

This week's stories
Close relationship
CRT documentation should evidence intentions
Credit event definitions
UTP category brings less uniformity
Economically efficient
Study supports reduction of PD estimates
Elevated risk
US conduit hotel loans vulnerable
Even playing field?
Reg AB relaxation set to release RMBS
Liquidity concerns
European ABS pipeline coming to a halt
Pandemic response
DNB lowers bank buffers amid outbreak
Risk off
Securitisation markets seize up
Short-term volatility
SRTs on hold, although 2H20 rebound expected

Other deal-related news

  • In connection with the BUMF 4, 5, 6 and 7 CMBS, the high court of justice of the Isle of Man has issued sealed orders for the winding-up of Greencoat Investments (GIL) and Greencoat Holdings (GHL) (SCI 16 March).
  • The Bank of Canada has announced that it stands ready, as a proactive measure, to provide support to the Canada Mortgage Bond (CMB) market to ensure that it continues to function well (SCI 17 March).
  • NewDay Cards has postponed the scheduled redemption date of NewDay Partnership Funding Series 2015-1 by a year (SCI 17 March).
  • The US Fed is set to establish a commercial paper funding facility (CPFF) to provide a liquidity backstop via an SPV that will purchase unsecured and asset-backed commercial paper rated A1/P1 directly from eligible companies (SCI 17 March).
  • The US Fed has established a Primary Dealer Credit Facility (PDCF) available from 20 March, which will offer overnight and term funding with maturities up to 90 days (SCI 18 March).
  • The EIB Group has proposed a plan to mobilise up to €40bn of financing to support bridging loans, credit holidays and other measures designed to alleviate liquidity and working capital constraints for European SMEs and mid-caps amid the coronavirus outbreak (SCI 18 March).
  • UK challenger lender Glenhawk has closed a private revolving securitisation of bridging loans, with senior funding provided by JPMorgan (SCI 19 March).
  • The US Fed has established a Money Market Mutual Fund Liquidity Facility (MMLF), whereby loans will be made available to eligible financial institutions secured by high-quality assets purchased by the financial institution from money market mutual funds (SCI 19 March).
  • The ECB has launched a new temporary asset purchase programme of private and public sector securities dubbed the Pandemic Emergency Purchase Programme (PEPP), which will have an overall envelope of €750bn. Purchases will be conducted until the end of 2020 and will include all the asset categories eligible under the existing asset purchase programme (APP) (SCI 19 March).
  • HM Treasury and the Bank of England are set to launch on 23 March a Covid Commercial Financing Facility (CCFF), which will provide funding to businesses by purchasing commercial paper of up to one-year maturity, issued by firms making a material contribution to the UK economy (SCI 19 March).
  • The Canadian government has launched a revised Insured Mortgage Purchase Program (IMPP), under which it will purchase up to US$50bn of insured mortgage pools through the Canada Mortgage and Housing Corporation (SCI 20 March).
  • The ECB has introduced supervisory flexibility regarding the treatment of non-performing loans; in particular, to allow banks to fully benefit from guarantees and moratoriums put in place by public authorities to tackle current distress caused by the coronavirus (SCI 20 March).

New MRT report
SCI has published a new Special Report on the US Mortgage Risk Transfer sector - it can be downloaded for free here.

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