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European Securitization Market Heads To Barcelona Conference
Tuesday sees the start of the 23rd annual Global ABS conference in Barcelona, Spain. Ahead of this event, we have published several research commentaries on topical issues in the European market, such as the financial condition of underlying borrowers in U.K. nonconforming RMBS pools, the potential downside of loan prepayments in European CMBS, and residual value risks surrounding the rise of electric vehicles in auto ABS pools.
In addition, we recently published our new methodology for U.K. RMBS and a Request For Comment on proposed new Dutch, Belgian, and French RMBS methodologies. Over time, we intend to move more jurisdictions over to our new global RMBS framework.
All of our featured content for the Global ABS conference is available to read by clicking here, and includes:
Research
• U.K. Nonconforming RMBS: One In Four Borrowers Are Just About Managing To Make Their Monthly Payments
• U.K. RMBS Refinance Risk Is All About The Call
• Credit FAQ: Questions Over Electric Vehicle Residual Values In European Auto ABS
• Prepayments In European CMBS: Friend Or Foe?
• Marketplace Lending Securitization: Operational Risk Is Declining As The Sector Evolves
• CLO Spotlight: European CLOs: Lack Of Loan Supply Is Causing Further Portfolio Overlap
• A Cycle Turn Will Test European CLO 2.0 Defaults
• Spotlight On Italy's Securitization Market On The 20th Anniversary Of Law 130
Related Criteria
• Credit FAQ: Understanding S&P Global Ratings’ Global RMBS Criteria
• Global Methodology And Assumptions: Assessing Pools Of Residential Loans
• Request for Comment: Global Methodology And Assumptions: Assessing Pools Of Residential Loans (The Netherlands, Belgium, And France)
We also added to the folder the latest editions of our RMBS index reports, as well as links to episodes of our recently-launched “CLOs Uncovered” podcast.
On Jan. 25, 2019, S&P Global Ratings published its "Global Methodology And Assumptions: Assessing Pools Of Residential Loans" (global RMBS criteria). The global RMBS criteria apply to the analysis of residential mortgage-backed security (RMBS) and covered bond transactions in the jurisdictions that fall within the scope of the criteria. We answer some frequently asked questions (FAQs) relating to the global RMBS criteria. The FAQs are designed to be read in conjunction with "Global Methodology And Assumptions: Assessing Pools Of Residential Loans." The global RMBS criteria apply to all jurisdictions with some exceptions. In addition to the jurisdictions named in the article, the global RMBS framework applies to all jurisdictions where we have yet to rate RMBS or covered pools. Read more here.
A Cycle Turn Will Test European CLO 2.0 Defaults
Collateralized loan obligations (CLOs) have historically been popular with the investment community thanks to a robust performance for more than 20 years. Even with the 2008-2009 turmoil and some recent hiccups like the 2014 oil crises and the ongoing agony from the retail industry, CLOs have performed remarkably well, benefiting from extremely low default rates, ratings stability, and generally consistent high returns for equity investors. Read more here.
U.K. RMBS Refinance Risk Is All About The Call
In U.K. RMBS, when it comes to reducing risk associated with a long period until the transaction's maturity, one might say that it's all about the call. The call option gives the holder the ability to repurchase the assets from a securitization at a defined point in the future for a predefined amount and in doing so repay the investors at par. The call option date is typically set at around three or five years from the date the transaction closed.
Read more here.
U.K. Nonconforming RMBS: One In Four Borrowers Are Just About Managing To Make Their Monthly Payments
Based on an analysis of data from the end of 2018, the total outstanding current balance of the mortgage loans in pre-2010 U.K. nonconforming residential mortgage-backed securities (RMBS) transactions S&P Global Ratings analyzed was £14.6 billion. Approximately 24.7% by balance (£3.61 billion) and 24.1% by number of borrowers have been in arrears at least once during the past two years.
View full article.
 Latest Podcasts
CLOs Uncovered Podcast - Episode 3
In today’s episode, Hina Shoeb and Sandeep Chana focus on the highlights and themes that resonated from S&P’s Leveraged Finance Conference with a guest speaker - Ramki Muthukrishnan, who was also a panellist at the conference. We think that some of the key themes covered in this episode will dominate the theme at Global ABS. Listen in to this episode’s Podcast and find out more by visiting us at Global ABS.
Listen now.
 New Issues And Presales
S&P Global Ratings has assigned its preliminary credit ratings to Polaris 2019-1 PLC's class A to F notes as well to its class X notes (which are not collateralized). At closing, Polaris will also issue unrated class Z notes. The transaction securitizes a pool of U.K. mortgage loans. All of the loans in the pool have been originated by Pepper (UK) Ltd. in the U.K. The originator is also servicer in the transaction. This is the first residential-mortgage-backed securities (RMBS) transaction originated by Pepper (UK) Ltd. in the U.K. that we rate. The issuer will pay interest monthly in arrears on the interest payment dates (IPD) beginning in July 2019. View full report.
S&P Global Ratings has assigned preliminary credit ratings to EOS (European Loan Conduit No. 35) DAC's class RFN, A, B, C, and D notes. At closing, EOS (European Loan Conduit No. 35) will also issue unrated class X notes. The transaction is backed by one senior loan, which Morgan Stanley Principal Funding Inc. (Morgan Stanley) originated in March 2019 to facilitate the refinancing of the property portfolio by M7 Real Estate Ltd. (M7). The senior loan backing this true sale transaction equals €416 million and is secured by 165 office, light industrial, warehouse, and retail properties in the Netherlands, Germany, and Finland. Read more.
Presale: Cold Finance PLC
S&P Global Ratings has assigned preliminary credit ratings to Cold Finance PLC's class A, B, C, D, and E notes. At closing, Cold Finance will also issue unrated class R notes. The issuer will on-lend the note proceeds to the borrowers (Wisbech Propco Ltd., Real Estate Gloucester Ltd., Harley International Properties Ltd., and Yearsley Group Ltd.) through an issuer/borrower loan. The borrowers will mainly apply the proceeds of this loan toward the prepayment of a bridge loan, provided by Goldman Sachs, for the acquisition of U.K.-based Yearsley Group and for the refinancing of the Gloucester and Wisbech properties. Payments due under the issuer/borrower loan primarily fund the issuer's interest and principal payments due under the notes. Read article.
New Issue: Lanark Master Issuer PLC (Series 2019-2)
S&P Global Ratings has assigned its 'AAA (sf)' credit ratings to Lanark Master Issuer PLC's 2019-2 class 1A and 2A notes. A pool of first-ranking mortgages, secured on properties in England, Scotland, and Wales, backs the notes. Clydesdale Bank PLC and Yorkshire Bank Home Loans Ltd. originated the mortgages in the master trust. Clydesdale Bank, a wholly owned subsidiary of CYBG PLC, offers a comprehensive range of banking and other related services. Its mortgage business focuses on residential prime owner-occupied borrowers, as well as buy-to-let mortgage products originated through its branch network and intermediaries. This is the 13th public issuance from the Lanark Master Trust, which was established in 2007. Read article.
New Issue: Shawbrook Mortgage Funding 2019-1 PLC
S&P Global Ratings has assigned credit ratings to Shawbrook Mortgage Funding 2019-1's (SMF 2019-1) class A to C notes. At closing, the issuer also issued unrated class Z notes. SMF 2019-1 is a residential mortgage-backed securities (RMBS) transaction, which securitizes a portfolio of about £296 million buy-to-let (BTL) mortgage loans secured on U.K. properties (excluding Northern Ireland). Our ratings on SMF 2019-1's class A to C notes reflect the application of our updated global criteria for analyzing residential loans, while our preliminary ratings were based on the application of our superseded European residential loans criteria (see "Global Methodology And Assumptions: Assessing Pools Of Residential Loans," published on Jan. 25, 2019). Read article.
New Issue: BUMPER UK 2019-1 Finance PLC
S&P Global Ratings has assigned its 'AAA (sf)' and 'AA (sf)' credit ratings to BUMPER UK 2019-1 Finance PLC's (BUMPER UK 2019's) class A and B notes, respectively. At closing, BUMPER UK 2019 also issued unrated class C notes. This is LeasePlan UK Ltd.'s (LPUK) fourth public term securitization in the U.K. and the tenth public transaction originated by LeasePlan group in Europe. The collateral comprises U.K. auto lease receivables, related residual values, and balloon payments. LPUK originated the lease contracts for its U.K. corporate, government, small and midsize enterprise (SME), and retail customers. All of these lease contracts contain a servicing component and a financing component. In this transaction, the servicing component is not securitized. Read article.
 Recent Rating Actions
OVERVIEW On June 4, 2019, Cajamar Caja Rural committed to maintain a minimum level of overcollateralization commensurate with the maximum potential notches of collateral-based uplift. As a result of this commitment and to reflect the improved creditworthiness of the issuer, we have raised to 'AA' from 'A+' our ratings on Cajamar Caja Rural's Spanish mortgage covered bond program and related issuances. The stable outlook on the ratings reflects that we could lower or raise our ratings if we were to change our view of the creditworthiness of the issuer. Learn more.
We have reviewed GC FTPYME PASTOR 4 using data from the April 15, 2019 payment date report. Following our review, we have affirmed our 'CCC- (sf)' and 'D (sf)' ratings on the class D and E notes, respectively. GC FTPYME PASTOR 4 is a single-jurisdiction cash flow CLO transaction backed by loans to Spanish SMEs. The transaction closed in November 2006 and is currently amortizing. View full report.
For access to more of our research and insights, please visit our dedicated Structured Finance website. If you have any questions regarding the reports included in this email, or would like to get in touch with one of our analysts, please contact us.
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Kind regards,
Andrew South
Head of Structured Finance Research, EMEA
S&P Global Ratings
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Contacts
Head of EMEA Structured Finance
Commercial
+44 207 176 3591
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