Monday 9 March 2020 10:45 London/ 05.45 New York/ 18.45 Tokyo

A review of securitisation activity over the past seven days

Transaction of the week
AmTrust International has completed its inaugural capital relief trade, which references a €1bn seasoned low-LTV residential mortgage portfolio originated by an undisclosed leading Italian bank. The transaction is believed to be a first for the European market in that the SRT mechanism is via an insurance policy, rather than a financial guarantee.
See SCI 2 March for more.

This week's stories
Climate risk
Climate impact reporting at early stages
Game changer?
FDIC rule change to boost bank securitisation
Green light
OCC gives regulatory approval to JPM CRT
NPL recognition delayed
Chinese SMEs supported amid Coronavirus outbreak
NPL reductions eyed
Greek liquidation law set to facilitate securitisation
Opaqueness premium
Regulatory RWA variability highlighted
Pandemic cat bonds triggered
World Bank ILS could encourage further issuance
Performance issues
Italian NPL ABS business plans scrutinised
Retail hit
Potential impact on Italian CMBS eyed
Retail repositioning
Euro CMBS sponsor strategies weighed
Virus-related volatility
European ABS market update

Other deal-related news

  • Forbes Ventures' UK subsidiary Forbes Ventures Investment Management has established a Securitisation Cell Company (SCC) in Malta. The purpose of the SCC is to facilitate the securitisation of litigation funding assets (SCI 2 March).
  • In anticipation of the transition from Libor as a universal benchmark interest rate in 2021 and the effort to find robust rates to replace it, Mayer Brown has launched a dedicated global multidisciplinary task force (SCI 2 March).
  • KBRA has been notified of the sale of 29 properties in the Eos (ELoC No. 35) CMBS. All of the properties are located in the Netherlands and nearly all (28) are industrial assets (SCI 3 March).
  • The European Court of Justice has ruled that EU consumer law should be considered when deciding on the transparency of the sale of consumer mortgages linked to the IRPH index in Spain. The ECJ stated that there should be sufficient transparency during the sale of these mortgages to allow the average consumer to understand the method used to calculate the variable interest rate applicable to the loan and to evaluate the economic consequences of the index (SCI 3 March).
  • Data from the first reporting period for the Gaia Finance Portuguese NPL ABS in November 2019 show that the deal's cumulative collection ratio stands at 87%. JPMorgan international securitisation analysts note that this means the transaction has breached its trigger for an interest subordination event (set at 90%) (SCI 3 March).
  • The EIF has signed new guarantee agreements with Unicredit Bulbank, United Bulgarian Bank and ProCredit Bank (Bulgaria) to support the fast-growing documentary finance activity in Bulgaria. Under these agreements, the three EIF partner banks will finance Bulgarian small enterprises and small mid-caps with documentary credit lines, such as letters of credit, payment guarantees, advance payment guarantees and performance bonds (SCI 4 March).

REMINDER: SCI NPL Securitisation Awards 2020
Nominations are now open for the inaugural SCI NPL Securitisation Awards with a deadline of 20 March. Further information and details of how to pitch can be found here.

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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