Weekly Issue Archive »

Issue 540 - 19th May

  • News Analysis

    • NPLs

      • IFRS 9 to spur 'underperforming' loan sales

        The implementation of IFRS 9 is expected to increase provisioning for a new loan category dubbed 'underperforming loans'. As lifetime losses will have to be addressed in this category, it is likely that these assets will become non-core and therefore...

    • RMBS

      • CRT customisation gains traction

        The GSE credit risk transfer (CRT) market has continued to evolve since it began in 2013, with Fannie Mae and Freddie Mac respectively issuing US$23.9bn and US$19.8bn in CAS and STACR securities to date. The sector has taken a further step forwards i...

      • Big appetite for BTL RMBS pair

        The two UK buy-to-let RMBS issued by Blackstone and Prudential last month (SCI 4 April) provided a significant source of paper for the market. With UK Asset Resolution (UKAR) set to offload more loans later this year there could be future RM...

    • Structured Finance

      • STS discussions stumble on hierarchy

        The Strasbourg Trilogue discussions on simple, transparent and standardised (STS) securitisation have been postponed until 30 May, due to disagreements between the European Parliament on the one hand and the European Commission and Council on the oth...

  • News

    • ABS

      • Premium finance debut ABS lined up

        Premium Credit is bringing to market is first term ABS, an unusual deal backed by premium finance contracts (see SCI's deal pipeline). While the size of the deal has yet to be confirmed, both Moody's and DBRS have assigned triple-A ratings to the sen...

      • Subprime underwriting differences revealed

        Regulation AB 2 loan-level disclosures have shed light on performance differences across transactions originated by the largest US subprime auto loan ABS issuers that would not have been apparent under previous disclosure requirements. A new Moody's...

    • Structured Finance

      • Regulatory proposal for SPVs 'credit negative'

        Proposed European regulatory changes to classify SPVs as financial counterparties have created significant uncertainty and are credit negative, rating agencies warn. Should the European Commission's (EC) intended amendments to EMIR be carried out, tr...

      • SCI Start the Week - 15 May

        A look at the major activity in structured finance over the past seven days.

        Pipeline There was a bit more variety to the pipeline's additions last week, although ABS once again led the charge. There were 10 ABS deals added to the list, along with a further four ILS, two RMBS and five CMBS. The ABS were: US$1.05bn Ally Aut...

    • Capital Relief Trades

      • Risk transfer round-up - 19 May

        Sources expect three true sale significant risk transfer trades to be issued by Italian banks this year, with NPLs as the underlying asset. Banca Popolare di Bari is rumoured to be one of them. "Given that the senior tranche will be retained under...

    • NPLs

      • Atlante momentum waning?

        Italian bank rescue fund Atlante II has completed the purchase of its debut €2.2bn non-performing loan securitisation, clearing the way for UBI Banca's acquisition of three small rivals rescued in late 2015. The investment is believed to be...

    • RMBS

      • Optionality driving RMBS focus

        The legacy US non-agency RMBS market is experiencing a 'perfect storm' of events, given the current low rate, low volatility environment. Strong performance and increasing optionality has prompted a renewed focus on the product. The last 12 months...

      • Structured sale to be resecuritised

        Freddie Mac is auctioning an approximately US$292m pool of seasoned re-performing loans from its mortgage investments portfolio in its second such structured sale. The transaction will involve a two-step process and ultimately result in the issuance...

  • Job Swaps

    • Structured Finance

      • Job swaps round-up - 19 May

        CDO manager transfers Dock Street Capital Management has replaced Vertical Capital as portfolio advisor to Summer Street 2005-HG1 and Vertical CDO 2003-1. Moody's confirms that the move will not impact the ratings on the ABS CDOs. EMEA BlueMoun...


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