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Issue 596 - 22nd June

  • News Analysis

    • Capital Relief Trades

      • Capital computation

        The complexity involved in executing capital relief trades is driving increased focus on the operational requirements necessary for efficient cost of capital computation. Indeed, implementing a joined-up approach across the front, middle and back off...

    • Structured Finance

      • Questions remain over insurer participation

        The European Commission recently published the Delegated Act on Solvency 2, which improves the capital treatment for certain ABS exposures, as of 1 January 2019. However, market participants suggest that STS securitisations deserve fairer capital tre...

    • Capital Relief Trades

      • PRA's tough stance continues

        Banks have been reviewing the PRA’s significant risk transfer (SRT) consultation, which proposes a full capital charge for excess spread in SRT securitisations and is expected to reduce the capital relief that can be achieved by UK issuers....

      • Mortgage SRT booster voted down

        MEP Caroline Nagtegaal’s amendment 596 to Article 234 of the CRR was rejected by the European Parliament in a vote this week, in order to prevent the establishment of an unwanted precedent. The amendment had been expected to boost significa...

  • News

    • Structured Finance

      • SCI Start the Week - 18 June

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

        Pipeline A mixed bag of securitisations remained in the pipeline at the end of last week. ABS once again accounted for the majority of deals, but a number of CMBS and RMBS were also marketing. The newly announced auto ABS comprised: US$1.11bn Ally...

    • Capital Relief Trades

      • Risk transfer round-up - 22 June

        Intesa Sanpaolo is rumoured to be prepping a capital relief trade referencing corporate assets, with the transaction currently believed to be in the portfolio selection process. The Italian lender is a frequent issuer of synthetic SME securitisations...

  • Talking Point

    • Structured Finance

      • PE players driving growth

        Australian ABS and RMBS issuance saw record volumes of over A$8bn and A$37bn respectively in 2017, according to SCI data. The rise of fintech platforms, non-bank financial institutions and private equity-backed lenders in the country - combined with...

  • Market Moves

    • Structured Finance

      • Market moves - 22 June

        Europe Axa Investment Managers has hired Hans Stoter to global head of fixed income and interim head of multi asset client solutions. He was previously cio at NN Investment Partners. DBRS has hired Edward Dittmer to its CMBS team as svp and will...


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