Non-conforming comfort

Aussie non-conforming RMBS thrives as wider sector stalls

Until this year, the Australian securitisation market had been recovering gradually from the depths of the global financ...

Spanish SRT deal completed

Banco Santander has closed its first Spanish unsecured consumer loan significant risk transfer securitisation of 2016. T...

Property prospects

Hiring remains flat, but CMBS up-tick possible

CMBS could provide a hiring boost in the US in 2017, while structured finance recruitment is likely to remain mostly fla...

Upwardly mobile

Debut mobile ABS could be first of many

The first UK mobile handset securitisation closed in November, signalling the beginning of a burgeoning mobile ABS secto...

State rescue?

Nationalisation could delay BMPS securitisation

The Italian parliament has approved €20bn to prop up the country's most fragile banks while it readies a possi...

CLO BWIC volume tallied

JPMorgan figures as of 15 December suggest that US CLO BWIC volume is down by 25% in 2016 to US$26.99bn, while European...

Capturing the liquidity premium

Interest rate rises could increase volatility in the structured credit market, creating opportunities for relative value...

MPL ABS 'compares well' in 2016

Despite significant turbulence earlier in the year, marketplace lending ABS has maintained steady growth and better or s...

Mixed blessing

Retention rules not so onerous for CRE CLOs

Risk retention requirements raise interesting issues for the CRE CLO sector. The typical CRE CLO model already includes...

SCI Start the Week - 19 December

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

Pipeline While the pace of pipeline additions has slowed over the last couple of weeks, new deals do continue to be ann...

Proving compliance

Demonstrating significant risk transfer discussed

How to demonstrate significant risk transfer (SRT) was a hot topic at SCI's Capital Relief Trades Seminar last month. Pa...

Comfort zone

Investor interest in SFR muted, despite potential

A backdrop of declining homeownership in the US and a growing number of renters is driving growth in the single-family r...

Coupon clippers

Euro CLO refi activity to accelerate

Refinancing activity is expected to accelerate in Europe in the coming year as the cost of funding encourages more CLO m...

Learning by doing

Issuers weigh capital relief opportunities and challenges

Capital relief trades, also called risk sharing trades, can provide issuing banks with several advantages. However, the...

NPL ABS volumes gauged

Current global non-performing loan assets could translate to potential securitisation volumes of US$270bn-US$900bn, assu...

Second Salisbury prices wider

Lloyds has closed a capital relief trade referencing a £2.1bn granular portfolio of UK SME loans. The 10-year S...

Inaugural online RMBS prepped

SoFi is in the market with its inaugural RMBS transaction, dubbed SoFi Mortgage Trust 2016-1. The US$168.79m deal compri...

Contagion risk examined

The latest Office of Financial Research working paper analyses counterparty exposures in the credit default swap market...

Houston exposure eyed

Morningstar Credit Ratings added seven US CMBS loans backed by Houston collateral to its watchlist in November, totallin...

SCI Start the Week - 12 December

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

PipelinePipeline entrants were mixed last week. Three ABS, four CMBS and two RMBS were newly announced. The ABS compri...

Odd-lot strategies

Price exploitation likely more widespread

The US SEC recently fined PIMCO US$20m for misleading investors about the value of MBS odd lots in its BOND Total Return...

Improved flexibility?

Legal changes driving Greek NPL expansion

KKR Credit's Pillarstone unit recently bolstered its senior team in Greece. The move reflects rising interest in the Gre...

Pairing up

ABS, bank partnerships to lift marketplace lending

Marketplace lending and fintech will play an increasing role in the future of the securities market, according to US SEC...

Evolving analytics

Valuation and risk landscape discussed

FINCAD has recently incorporated MBS into its F3 pricing, valuation and risk analytics solution. SCI asked James Church,...

Reputation management

MPL ABS growth likely, subject to strong macroeconomics

Marketplace loan ABS performance will generally remain stable into 2017, with loan originations and issuance growing, ac...

SCI Start the Week - 5 December

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

SCI content this week is sponsored by BNY Mellon. All content this week is being made available free of charge, with no...

Servicers brace for CMBS wall

Some US$12bn of the US$92bn of US commercial loans maturing during 2017 could default and end up in the hands of special...

Tip of the iceberg?

ABS impact investment to rise as green bonds gain traction

Securitisation is increasingly recognised as providing the 'double bottom-line' benefits sought by impact investors. Ind...

CRR boost?

The European Commission's CRR 2 reforms, which it unveiled last week, include proposals that appear to increase the attr...

Rare Irish RMBS priced

Lone Star has privately placed a rare Irish non-conforming RMBS. Dubbed European Residential Loan Securitisation 2016-1,...

Digging deeper

US CLOs becoming 'riskier', but investors remain optimistic

A recent JPMorgan study of 48 US CLOs shows that from 2013 to date there has been an average increase in WARF score from...

Developing marketplace

Key themes discussed as marketplace lending sector evolves

Representatives from Orchard Platform, MountainView and Global Debt Registry joined SCI over the summer to discuss marke...

Innovative Griffon deal welcomed

Griffon Funding - which Barclays closed in September - has been hailed as an innovative model for ba...

SCI Start the Week - 28 November

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

Pipeline With the week dominated by Thanksgiving, there were few pipeline additions. These amounted to three ABS, an IL...

Euro risk retention 'agreement reached'

The European Parliament appears to have reached a consensus on its approach to securitisation. The MEPs responsible for...

Car trouble?

Auto loan deterioration affects ABS value

US auto ABS issuance is booming, but collateral continues to deteriorate and delinquencies have climbed by more than 10%...

Draft ILS regulations released

As part of the Chancellor's Autumn Statement, the UK government has launched a consultation setting out its proposed cor...

Constructive outlook for Euro ABS

This year has been a year of 'two halves' for the international ABS market, according to JPMorgan European securitisatio...

On the agenda

Efforts to tackle European NPLs gather pace

Efforts by European policymakers to tackle the region's non-performing loan burden appear to be gathering pace. Establis...

Premium pricing

Above-par issuance techniques explored

Above-par issuance is becoming a staple of the European primary ABS market. Deals backed by auto loans, mortgages and cr...

Election may yield positive results for SF

The recent election of a Republican government "should be good for economic growth" and securitisation, with credit spre...

FX issues

Currency risk hindering Polish mortgage portfolio sales

Recent speculation that Deutsche Bank could be selling its Polish unit has highlighted the FX issues associated with she...

SCI Start the Week - 21 November

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

Upcoming SCI eventSCI's latest Capital Relief Trades Seminar, 'Navigating the Cash vs Synthetic Debate, Weighing the Cos...

Container ABS decline persists

Container ABS volumes have continued to fall in Q3. This follows sluggish demand for containers, which has provided head...

Disruptive opportunities

Bijesh Amin, co-founder of Indus Valley Partners, discusses the emerging high-frequency lending mode...

Alternative asset managers see scope for investment opportunities in structured credit resulting from post-crisis regula...

Fine tailoring

CLOs to remain buoyant into 2017, despite loan fund competition

Open-ended loan funds in Europe have grown in volume, attracting institutional investors hungry for yield, while fears o...

Fresh faces

New breed of RMBS issuer steps up

A slew of issuance from private equity companies and other non-traditional issuers is changing the face of the European...

'Transformational' capital offered

TCA Fund Management Group has closed the first investment made by its new fund. Touted as a hybrid opportunity fund, it...

SCI Start the Week - 14 November

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

Upcoming SCI event Panellists are being finalised for SCI's latest Capital Relief Trades Seminar, 'Navigating the Cash...

Innovative aircraft ABS well-received

The US$800m Blackbird Capital Aircraft Lease Securitization 2016-1 priced last week, with the senior notes heavily overs...

Transfer pricing

Italian ABS hindered by NPL valuation issues

The securitisation of non-performing loans (NPLs) has been deemed a credible solution for Italian banks seeking to offlo...

KKR targets shipping loans

Pillarstone, the platform set up by KKR to buy non-core and underperforming assets in Europe, seems set to take on under...

Uncertain intentions

Valuers assess US election implications

The US has had its 'Brexit moment', according to a panel of valuations experts at a Duff & Phelps press briefing...

SCI Start the Week - 7 November

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

Pipeline There was another pickup in pipeline additions last week, as four new ABS, three RMBS and six CMBS were announ...

External mandates

Growing number of AIFMs consider external valuers

Since AIFMD came into force, institutions have interpreted the requirement for the 'proper and independent' valuations o...

Pooling requirements to boost confidence

Recent changes announced by Ginnie Mae to pooling requirements of streamline refinanced loans are logical, according to...

Deep pockets?

Alternative investors could fill CMBS refinancing gap

As a wave of US CMBS loans originated from 2004 to 2008 is set to mature over the next 18 months, there are concerns abo...

Converging approach?

Current status of capital relief trades discussed

Representatives from Chorus Capital, Citi and Clifford Chance recently discussed the current status of capital relief tr...

Combo repacks emerging

Several CLO combo notes on downgrade watch, following Moody's updated methodology for the instrument (SCI 10 October), h...

GSEs announce validation frameworks

Both Fannie Mae and Freddie Mac have announced new validation tools aimed at making the mortgage origination process smo...

SCI Start the Week - 31 October

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

Pipeline As with the preceding week, last week's additions to the pipeline were relatively modest. The final count cons...

CMBS market craving liquidity

Investors believe CMBS offers the best relative value compared to other asset classes, according to a recent Deutsche Ba...

SFR refi incentive boosted

Total home equity has increased by 27% since issuance across the 71,955 properties underlying the 18 single-family renta...

Timeshare default repurchases climb

Timeshare ABS default rates are rising and there is a growing trend of default repurchases and substitutions, although W...

Servicer performance scrutinised

A new Morningstar Credit Ratings study of aggregated consent-processing times of four large-volume US CMBS master servic...

Safe haven?

Securitised sovereign bonds could bring economic stability

A European bond comprised of securitised sovereign bonds from multiple European countries could help bring funding and e...

Bail-in priced in?

European bank CDS put to the test

Mounting concerns over Deutsche Bank's financial health, along with bail-in speculation have coincided with significant...

Utilisation drop hits container deals

Two container ABS deals - BEACN 2012-1A and GCA 2013-1A - have been called so far this month, removing about U...

SCI Start the Week - 24 October

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

Pipeline The balance appeared to shift last week, as fewer deals joined the pipeline and far more departed. The week's...

Rights issues

Tax lien ABS growing, but third-party servicers scarce

The US tax lien ABS sector has grown steadily since 2014 in terms of both issuance and investor interest. While it provi...

Liquidity review

Fund valuation considerations highlighted

The use of liquidity data in determining asset values is subject to increasing industry analysis and the US SEC's finali...

Refinancing activity accelerates

US CLO refinancing volume has shot up this month, impacting 14 deals for a total value of US$6.2bn so far, versus US$3.7...

China tests 'may lie ahead'

While China's slowing economic growth has coincided with a slowdown in CLO activity in the country, other Chinese securi...

New standard to drive transparency?

A new Mortgage Industry Standards Maintenance Organization (MISMO) XML commercial rent roll standard is due to be releas...

Structuring alpha

Robert Allard, founding partner and ceo at Firebreak Capital, answers SCI's questions

Q: How did Firebreak Capital become involved in the securitisation market? A: Firebreak Capital is categorised as a pri...

SCI Start the Week - 17 October

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

Pipeline The long list of additions to the pipeline last week was once more driven by auto ABS. There were 18 ABS addit...

Scaling up

Platforms eager to issue further marketplace ABS

Funding Circle and Zopa intend to tap the securitisation market on a regular basis, following their debut transactions t...

Euro RMBS shelves debut

The inaugural rated deals from two new European RMBS programmes have been announced. Both platforms are backed by asset...

Pari passu loans proliferating

A combined US$64.1bn (original balance) of pari passu loans have been issued across single-asset/single-borrower (SASB)...

Excess baggage

Reg AB 2 loan-level disclosures weighed

Loan-level disclosure requirements under Regulation AB 2 are expected to have a limited impact on ABS issuers and invest...

Mall performance gauged

Regional mall liquidations amounting to US$3.89bn have since 2010 resulted in US$2.88bn in CMBS losses, or a 74% loss se...

Changing places

Consultancies driving European valuation recruitment

Valuation consultancies have been a key recruitment growth area over the past year - either through incumbent...

SCI Start the Week - 10 October

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

Pipeline The pipeline was once again dominated by auto-related ABS last week. Trios of CMBS and RMBS were also announce...

Deleveraging opportunity

Iain Balkwill, partner at Reed Smith, argues that securitisation is the answer to European NPL woes

The balance sheets of European banks are currently stocked with huge volumes of non-performing loans (NPLs), which have...

What's in a name?

Classification confusion constraining MPL ABS

Uncertainty over how to define marketplace loans - as securities or whole loans - is restricting sec...

Seller-financed deal debuts

Amherst is in the market with its inaugural single-family rental securitisation, dubbed AMSR 2016-SFR1 Trust. The US$489...

Risk retention preparedness polled

With the US risk retention effective date just under three months away, JPMorgan CLO analysts say they have uncovered so...

Plan B

Contingent NAV strategies readied

Over a year has passed since BNY Mellon suffered its NAV outage, resulting in almost a week of NAV calculation disruptio...

SCI Start the Week - 3 October

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

PipelineAuto-related ABS dominated the pipeline last week, with a couple of consumer ABS, some RMBS and a CLO also makin...

Liquidity focus

Frank Dos Santos, head of North America business strategy for fixed income pricing at IHS Markit, an...

Q: How and when did your firm become involved in the pricing and valuations business? How has the service evolved in rec...

Top marks

SLABS extension success exceeds expectations

The final maturity dates on nine FFELP student loan ABS deals were extended earlier this month (SCI 14 September), as th...

STACR liquidity boost

Fitch recently assigned ratings to seven previously unrated notes from seven Freddie Mac STACR RMBS issued between 2013...

Treasure hunt

Investors seek other assets as UK RMBS shrinks

The UK RMBS universe is set to shrink throughout 2016, exacerbated by limited supply and the redemption of the ̈́...

SCI Start the Week - 26 September

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

Pipeline Pipeline activity seemed elevated again last week. There were eight new ABS added, along with six RMBS, a CM...

Reported CLO WAS levels diverging

Deal-reported weighted average spread (WAS) of collateral in European CLOs has been rising, while for US CLOs it has bee...

CDS index rolls provide opportunities

The roll to CDX IG27 may be uneventful in terms of names changes, but Morgan Stanley analysts believe that it does offer...

High CLO supply

US CLO supply last week was the highest for the year as four new issues and two refis priced for a total of US$3.61bn. T...

SCI Start the Week - 19 September

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

Pipeline After the flood of additions in the week before, last week's pipeline activity was calmer. There were three ne...

Horizontal interest

Sponsors assess horizontal risk retention benefits

An increasing number of US sponsors are expected to retain a horizontal rather than a vertical risk slice in upcoming se...

Agency investing

Growing agency CMBS market attracts investors

Combined Fannie Mae and Freddie Mac CMBS issuance is expected to come close to US$100bn for the year, with agency CMBS c...

Weather prediction

JLT's weather ILS the first of many?

The first weather catastrophe bond for 17 years has hit the market. It is hoped that the deal will kick-start an expansi...

End of the road?

ABSPP volumes down, success of programme questioned

The ECB's ABSPP is entering its third year in November and since inception has been joined by three other asset purchase...

Housing boost for Spain

The bottoming-out of house prices in Spain will reduce the expected severity of mortgage defaults, resulting in the impr...

SCI Start the Week - 12 September

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

Pipeline A flood of ABS and CMBS additions swelled the pipeline last week. There were 18 of the former and seven of th...

Cannibal territory?

Covered bond growth poses threat to RMBS

The pace of the ECB's investment in the ABSPP and CBPP3 appears to be slowing, yet the impact the programmes have had on...

Prepayment spikes

Shift in focus for agency CRT investors?

Investors in US agency credit risk transfer (CRT) RMBS are taking note of recent STACR prepayment spikes. Robust perform...

Mall sentiment eyed

The price of CBL & Associates Properties' stock moved higher over the course of August, while the Markit CMBX.BB...

SCI Start the Week - 5 September

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

Pipeline It was another quiet week for the pipeline as the Labor Day weekend came into view. At the final count there w...

Triple crown

Rising rates spur CLO resets, equity squeeze

Rising interest rates are having a three-pronged effect on the US CLO market. Not only are step-up coupons increasingly...

CMBS defaults anticipated

More than a quarter of current US non-agency CMBS loans maturing through year-end 2017 will face difficulty refinancing,...

Picking up PACE

Ygrene seeking to make its mark in ABS

Ygrene Energy Fund is planning a securitisation before year-end that will offer a unique pool of PACE assets. At the sam...

August boost as CLO activity drops

Secondary CLO activity in 2016 so far is down on 2015 in both TRACE reported volume and BWICs. However, the traditional...

Payment history scrutinised

The ability and willingness of catastrophe bond issuers to pay claims in a timely manner continue to be questioned, acco...

Mid-market CLO breaks new ground

Churchill Asset Management returned to the US CLO market last week with a deal of several 'firsts'. It is Churchill's fi...

Second-loss CAS bonds rated

Marking a first for the market, Fitch has assigned ratings to eight previously unrated M2 bonds from five Fannie Mae cre...

Coupon floor fix?

Obvion is in the market with its latest Dutch prime RMBS - Storm 2016-II. Provisionally sized at €1....

Internal versus external

Third-party valuation engagements assessed

The AIFMD's stipulation that alternative investment funds must engage the services of a third-party valuation firm has p...

Secondary education

Liquidity, accurate valuations could stabilise sector

The first half of 2016 brought several challenges for the marketplace lending industry in the US, with the Q2 results of...

HLTV refinance programme planned

Fannie Mae and Freddie Mac are set to implement next year a new refinance offering aimed at borrowers with high loan-to-...

British steel

Rate cut troubles for UK RMBS overstated?

The Bank of England's decision to cut interest rates earlier this month was widely viewed as positive for the UK economy...

Call variability observed

Most subprime auto ABS issuers have exercised clean-up calls in a relatively efficient manner, calling deals at the clea...

Nordea completes synthetic deal

Nordea Bank has sold a synthetic securitisation referencing €8.4bn in SME and corporate loans. Investors have...

Singular circumstances

Regulatory changes fuelling rise of 'special situations'

European banks are fundamentally changing the way they structure and sell securitisations. A rise in bilateral trades an...

FFELP SLABS 'info lacking'

Model risk remains high and collateral transparency remains limited in FFELP student loan ABS, say Wells Fargo structure...

ECON amendments weighed

The European Parliament's ECON committee recently published 526 amendments to the proposed new European securitisation r...

SCI Start the Week - 22 August

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

Pipeline The outstanding deal pipeline has shrunk significantly over the past few weeks as the yearly August slowdown h...

Retention span

CMBS compliance window closing

The race to originate and structure US CMBS is reaching a critical stage, with the implementation of risk retention rule...

SCI Start the Week - 15 August

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

Pipeline The rate of additions to the pipeline has slowed down. Last week there were two new ABS, three RMBS and two CM...

Optimistic outlook

Investors bullish on MPL, but changes needed

Many interesting topics were raised about the current state and potential future of marketplace lending at SCI's Marketp...

Money market tranches touted

The basis between money market ABS tranches (MMABS) and corporate CP appears to be widening ahead of the implementation...

Investors rally to Ocwen

RMBS investors in deals serviced by Ocwen are holding meetings in the wake of the publication of an open letter from Uni...

SCI Start the Week - 8 August

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

Pipeline A further 11 deals joined the pipeline last week. This was split into three ABS, three RMBS, four CMBS and a C...

MBS hedge funds rebounding

Preqin's 2Q16 Hedge Fund Survey shows that hedge funds in the credit strategy category experienced four consecutive quar...

NPL renaissance

€9bn Italian ABS provides fresh impetus

Banca Monte dei Paschi di Siena (MPS) announced last week that it plans to offload its entire portfolio of sofferenze (b...

COLT confidence

Rated non-prime RMBS shifts market dynamics

The issuance of Lone Star Fund's COLT 2016-1 in June marked a turning point for the US non-prime RMBS space, as the deal...

Demand expected for jumbo Hawksmoor

Initial price thoughts have been released for the first post-Brexit UK non-conforming RMBS, Hawksmoor Mortgages 2016-1....

Tightest CLO for nearly a year

Babson Capital has brought its latest US CLO to the market, with the senior tranche pricing at the tightest spr...

SCI Start the Week - 1 August

A look at the major activity in structured finance over the past seven days. Print last week's news ...

Pipeline The final week of July brought six new ABS deals to the pipeline, as well as two CMBS and four CLOs. The ABS...

CLO trading flexibility 'reducing'

US CLO 2.0s are losing trading flexibility because of leveraged loan quality deterioration and diminished spreads, says...

Foreign policy

US agency MBS picking up European, Asian demand

A surge in foreign interest in US agency MBS over recent months is adding a broader dynamic to the sector. Asian and Eur...

Benchmark beginnings

Positive reception for debut device payment ABS

Verizon's debut securitisation of device payment plan agreements (DPPAs) earlier this month marked the successful launch...

Auditing issues

Subordinate assumptions, transparency examined

Auditing the accuracy of a client's most complex fair value measurements is no mean feat. There are several factors that...

SCI Start the Week - 25 July

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

Pipeline Last week's pipeline activity was largely in line with the week before it. There were four new ABS added to th...

Volume growing

ABS issuance heading up Down Under

Australian primary ABS issuance has climbed steadily since 2008 - with a brief dip in 2012, when banks favoure...

Ralph Lauren exposure gauged

Ralph Lauren last month announced plans to restructure, including the closure of about 50 of its retail locatio...

Fragile China

NPL deals expose country's wider debt issues

Non-performing loan securitisations ended an eight-year hiatus in China in late May when Bank of China (BOC) and China M...

CDQ development

Originator consolidation to drive issuance up?

The €1.47bn Towers CQ transaction, which closed last month, is the first Italian salary assignment loan ABS to...

Weighing it up

European ABS offerings, future in the balance

The European secondary ABS value proposition is changing. Increasingly, credit is not investors' primary concern as rela...

SCI Start the Week - 18 July

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

Pipeline Last week's pipeline additions included a decent mix of MBS names. In the end there were six new ABS, three RM...

Step-up tranches refinanced

Four US CLOs - ACAS CLO 2013-2, Carlyle Global Market Strategies CLO 2014-3 and Neuberger Berman CLO XII and X...

Reputation management

Side pocket pros and cons debated

Side pockets are a portfolio management tool that can benefit both investors and managers alike. But having fallen from...

Next steps

Madden ruling creates landscape of uncertainty

On 27 June the US Supreme Court decided not to hear the Madden vs Midland case, resulting in a continued lack of clarity...

STC risk weights reduced

The Basel Committee has scaled down the risk weights for 'simple, transparent and comparable' (STC) securitisations and...

Financial worries

Derivatives uncertainties arise from Brexit

The UK's vote to leave the EU has ignited debate as to what deal the British government will carve out for its financial...

SCI Start the Week - 11 July

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

Pipeline Pipeline activity picked up again last week, with ABS leading the charge. There were nine ABS added to the p...

Manager options outlined

If Brexit concludes with the UK outside of the EU passporting regime, UK entities may be limited in acting as managers o...

Risk retention expectations surveyed

Just over half (51%) of the respondents polled in Morgan Stanley's latest US CRE survey believe the market will pay up f...

Big appetite

ABS investors hungry for more deals

While political developments on the other side of the Atlantic may have increased risk, US ABS still provides ample oppo...

SCI Start the Week - 4 July

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

Pipeline Additions to the pipeline were limited once again last week, although two large Chinese deals added variety. T...

Countrywide cash benefits 'broad'

Holders of 512 legacy Countrywide deals receiving allocated shares of US$7.7bn in settlement proceeds are not the only b...

UK CLO exposure examined

Morgan Stanley figures show that UK exposures account for 13.7% of European CLO 2.0 collateral. Variation among portfoli...

New York foreclosure boost

New York Governor Andrew Cuomo last week signed a series of laws that could have a sweeping impact on the foreclosure pr...

Damage control

Brexit hits European ABS recovery, capital markets reform

The UK's vote to leave the EU has caused untold damage to the recovery of the European securitisation market. Not only w...

Reclassification challenges outlined

A number of financial institutions have reclassified their structured finance books in accordance with IFRS 9, in order...

Recruitment rocked

Brexit compounding ABS hiring issues

The recruitment outlook for structured finance took a potentially big blow when the UK decided to leave the EU last week...

Credible values

AIFMs evaluate Brexit implications

Alternative investment fund managers (AIFMs) are facing a number of uncertainties following the UK's vote to leave the E...

Settlement reinvestment options weighed

Current holders of non-agency RMBS from 512 Countrywide deals have finally received almost US$8bn in cash payments, five...

False alarm?

Basel CRT warning played down

The Basel Committee caused somewhat of a stir earlier this month when it warned banks against increasing their use of ca...

SCI Start the Week - 27 June

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

Pipeline Pipeline additions were limited last week. The only ABS was €1bn Silver Arrow 7, while the RMBS we...

Brexit effects

The immediate financial market reaction to the UK's decision to leave the EU has been pronounced, with spreads on senior...

Sufficient scrutiny?

MPL verification enhancements sought

The resignation of Lending Club ceo Renaud Laplanche and the subsequent disclosure of 'control deficiencies' at the plat...

Stepping up

Double boost for FFELP SLABS market

Industry efforts to address the FFELP student loan ABS maturity issue have stepped up a gear with the launch of Nelnet's...

SCI Start the Week - 20 June

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

Pipeline The industry conference in Barcelona reduced primary market activity last week. There were four ABS as well as...

Euro ABS prospects polled

In its first annual survey of European structured finance and covered bond market participants, DBRS finds that 79% of p...

Trigger point

Novo Banco outcome still raising questions

Two controversial credit event determinations earlier this year in connection with the retransfer of Novo Banco bonds le...

Attack force

Contrasting legal approaches add to uncertainty

The High Court in London decided five cases brought by class X noteholders in 2006 and 2007 vintage European CMBS in Apr...

SCI Start the Week - 13 June

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

Pipeline The total number of deals joining the pipeline remained consistent last week, although ABS accounted for a sma...

Going green

Evolution of renewables ABS discussed

Representatives from Renovate America, Kramer Levin and T-Rex recently discussed the development of the renewables ABS m...

Gap exposure weighed up

Morningstar Credit Ratings has identified 231 CMBS loans totalling US$13.89bn with exposure to struggl...

BTL stampede

Loan issuance surges ahead of tax deadline

Buy-to-let (BTL) lending in the UK surged in the weeks leading up to the recent stamp duty changes, with implications fo...

Non-prime RMBS debuts

Caliber Home Loans is in the market with the first post-crisis RMBS backed by newly originated non-prime mortgage loans....

REMIC guidance provides clarity

REMICs have long operated with only limited tax guidance, but two significant pieces of guidance have come out this mont...

Rapporteurs push for tougher stance

The European Parliament's ECON Committee rapporteurs have published their first drafts for resolutions on the proposed n...

Risky retail

US retail exposure driving CLO differentiation

US CLO exposure to retail names has come under closer scrutiny in the last couple of months as store closures and the sh...

Euro secondary liquidity 'healthy'

Around 80% of European ABS BWICs have successfully traded over the last year, a sign that liquidity in the market remain...

UK BTL portfolio sale planned

UKAR plans to follow last year's £13bn Granite portfolio sale (SCI 15 November 2015) with the offloading of a f...

Trups trinity

CDO trio, attractive spreads spark optimism

The Trups CDO sector has shown signs of resurgence in recent months. A trio of new deals, improved performance and attra...

Euro SF risk overestimated?

The amended external ratings based approach (EBRA) for calculating regulatory capital changes in European structured fin...

SCI Start the Week - 6 June

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

Pipeline The holiday-shortened week resulted in a slowing of the pace of pipeline additions. As well as eight new ABS t...

Spring surge

US CLO rally riding into summer

The rally in the US CLO market is being reflected in new issuance, with investors witnessing some of the tightest spread...

CDS liquidity moving to indices

The buy-side's ability to source single-name CDS liquidity and form prices remains centralised around banks' ability to...

Building boom threatens hotel CMBS

Burgeoning hotel room supply could increase risk for the US$3.68bn of fixed-rate loans backed by Manhattan hotels and se...

Gateway mod pulled

The February modification of the US$94.3m Gateway Salt Lake loan, securitised in JPMCC 2010-C1, has been rescinded. Trep...

Fair value?

Call for standardised approach to MPL valuations

In a sector where there is no standardised pricing methodology or standardised pricing reference data, a wide variety of...

'Wrong' Madden verdict 'should stand'

The US solicitor general says that the controversial decision in Madden v Midland Funding (SCI passim) was incorrect and...

Retention relief?

CMBS preservation bill hangs on Congress

The US CMBS market is seeking some breathing space as issuers ramp up their compliance measures ahead of the implementat...

Transparency drive

Robert Vincini, head of pricing service specialists at Thomson Reuters, answers SCI's questions

Q: How and when did your firm become involved in the pricing and valuations business? How has your service evolved in re...

SCI Start the Week - 23 May

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

Pipeline ABS additions to the pipeline carried on last week at a good pace, as 11 such deals joined. There was also a s...

Risk retention class debuts

Colony Starwood Homes is in the market with its first single-family rental securitisation - the US$535.9m Colo...

Groundbreaking SLABS hits

SoFi's second ABS of the year has hit the market, making it the ninth rated term ABS the online lender has completed. Du...

Collateral concerns cause downgrades

The ratings on the class E notes of Mountain Hawk I CLO and on the class D and E notes of Mountain Hawk II CLO have been...

CDO trading abuses alleged

Megan Messina, a Bank of America md and co-head of structured credit products, has filed a discrimination lawsuit agains...

Upgrades boost Spanish RMBS

The Spanish RMBS sector continues its recovery, with Moody's last week upgrading 200 classes of Spanish RMBS across 91 d...

Call for clarity

Valuation uncertainty adds to liquidity debate

Banks' diminished market-making capacities and shrinking inventories are taking their toll on liquidity, particularly in...

SCI Start the Week - 16 May

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

Pipeline While ABS additions to the pipeline were steady last week, they were joined by a greater variety of deals than...

Court rejects class X claims

A second judgment in less than a month has gone against CMBS class X noteholders. Last month, a judge ruled against the...

Value to be had in card ABS

The first euro-denominated credit card ABS of the year priced this week, helping to chip away at the dearth of primary s...

Treasury paper released

The US Treasury has released a white paper on marketplace lending, which continues the work initiated by last year's req...

China NPL challenges considered

The Bank of China (BOC) has announced that it is proactively preparing for the pilot implementation of its NPL...

SFIG TRID framework 'adequate'

SFIG's draft proposal to standardise the framework for reviewing and grading loans for TILA-RESPA Integrated Disclosure...

Oil boom remits 'muted'

April remittance reports showed muted activity for US CMBS 2.0 loans secured by properties located in oil boom regions c...

IFRS 9 calculation warning

A recent study undertaken by Kamakura Corporation underlines the risks of using credit spreads to assess obligor creditw...

Insurers' structured holdings slip

Life insurers held more than US$380bn of structured products securities at the end of 2015, which Wells Fargo analysts n...

Firm foundations

RMBS breaks records, prepares for post-referendum issuance

The £6.2bn Towd Point Mortgage Funding 2016-Granite1 RMBS that priced last month is the largest new issue in it...

SCI Start the Week - 9 May

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

Pipeline Last week's pipeline additions consisted of eight ABS, two RMBS and a single CMBS. The ABS were: US$300m Exe...

Mobile phone EIP ABS mooted

As the business model of US wireless carriers moves to further embrace equipment instalment plans (EIPs), they become mo...

Compromised compliance

Buyside valuation controls scrutinised

It is almost two years since the transitional period for AIFMD expired in Europe and the majority of AIF managers now co...

Middle ground

Issuance, investors challenging CLO mid-market

Issuance within the US CLO market has dampened so far in 2016 as the sector suffers from the reverberations of wider cre...

Accounting factor

Fair value, MOA lead retention options

Many US securitisation market participants are becoming bogged down in the numerous accounting considerations associated...

Liquidity tops investor concerns

While investor fears over China-related uncertainty have subsided, concerns regarding liquidity and central bank policie...

CLO cashflow diversion eyed

Silver Spring CLO recently became the first post-crisis US CLO to experience full cashflow diversion from the equity. Th...

SCI Start the Week - 25 April

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

Pipeline Last week's pipeline additions were concentrated in ABS. There were six new ABS announced, as well as an ILS a...

Efficiency drive

Offshoring, automation shaping new IPV landscape

Pricing and valuation operations have become an increasingly essential component of investment banks since the financial...

Green shoots

Renewables ABS on the EU agenda

A combination of private placements and the banking market should be able to meet the European renewables sector's finan...

2016 vintage touted

Recent capital markets volatility has resulted in tighter lending conditions where US CMBS originators are becoming more...

Cat bond issuance hits record

Catastrophe bond issuance set new records for issuance in 1Q16, according to Aon Benfield's quarterly report on the sect...

Sport Chalet exposure gauged

Morningstar believes that 11 CMBS loans - several of which have significantly elevated risk of term or maturity default...

US CLO calls climb

US CLO calls continued to increase last year, as JPMorgan analysts estimate 76 CLO 1.0s and 13 CLO 2.0s were called. Whi...

Chasing ubiquity

Marketplace lending sector prospects discussed

Representatives from Prosper Marketplace, MountainView Capital and Credit Suisse recently discussed the growth of market...

Bidding goodbye?

BDCs face uncertain future as market turns

BDCs and other listed vehicles are coming under increasing pressure - not least from their shareholders &#...

SCI Start the Week - 18 April

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

Pipeline Last week there were nine ABS deals added to the pipeline. A further three RMBS and two CMBS also joined. Th...

IMA-CVA abandoned

Industry disappointed by CVA framework revision

The Basel Committee's recent decision to drop the use of IMA-CVA from its proposed CVA risk framework has taken many in...

Italian policy changes welcomed

The Italian government is proposing to create a €5bn fund capitalised by the strongest financial institutions...

Marketplace challenges weighed

Expanded access to the ABS markets will be important to the industry's growth, according to a new survey of marketplace...

Consolidation concerns

M&A may compromise pricing vendor choice and innovation

The consolidation of evaluated pricing firms poses a number of concerns for the securitisation and derivatives markets....

On the rebound

US CLO spreads, issuance rallying

The December to February period was the worst experienced by the US CLO market since the financial crisis, but the subse...

Hedging operation

Debut oprisk ILS prepped

Credit Suisse is prepping a unique Sfr700m ILS deal. Referred to as OperationalRe, it will utilise catastrophe bond and...

Appetite strong for marketplace loans

A poll of 300 institutional investors suggests that appetite for marketplace loans remains strong. The second survey con...

SCI Start the Week - 11 April

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

Pipeline Pipeline activity picked up again last week. There were 10 ABS additions, as well as an RMBS, two CMBS and t...

Special forces

ABS dealer tiering emerging via departures, specialisation

Credit Suisse's recent decision to exit securitised trading in Europe highlights the reshaping of the ABS frontier that...

China NPL rules mooted

Chinese authorities are pushing to incorporate NPLs as a fully-fledged product within the country's growing securitisati...

STS alarm bells ring

A list of potential pitfalls in the European Commission's STS framework has been published in a letter by 32 signatories...

Granite resurfaces in unique RMBS

Cerberus European Residential Holdings is bringing to market a deal which is essentially a refinancing of the G...

SCI Start the Week - 4 April

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

Pipeline The week following Easter marked a slow-down in the pace of deals joining the pipeline. At the last count ther...

ABS platform to host loan auction

Securitisation platform Ldger is set to host the first live auction of marketplace loans on 6 April. The auction will co...

Reckless driving?

Cracks appearing in subprime auto ABS

Concern is mounting over rising US subprime auto ABS delinquencies. However, issuance in the sector remains vibrant and...

Data firms diversify

Orchard has revealed that it has applied for a broker-dealer license, indicating a change of tack for the data and analy...

CMBS 2.0 delinquencies spike

US$152m of US CMBS 2.0 collateral across 17 loans became newly delinquent in March, including six loans secured by prope...

CHAI print points to value

In its latest monthly update, PeerIQ suggests that the recent CHAI 2016-PM1 print illustrates the thawing that has occur...

Antitrust objections filed

A number of potential claimants in the CDS antitrust lawsuit have filed objections to the preliminary settlement order (...

Trust issues

Redwood exit signals CMBS origination pull-back

The US CMBS market has encountered a rocky start to 2016, with new issue pricing spreads performing unpredictably. A num...

CMBS TRS index introduced

Markit and Trepp have launched a new total return swap index referencing US last cashflow triple-A rated CMBS bonds issu...

Modification behaviour gauged

One in every three US mortgages liquidated today has been modified at least once, so deciphering whether a servicer will...

Land of the few

Marketplace ABS 'a long way away' for Europe

Marketplace lending ABS is providing a new source of yield for investors - although, as a new and largely unte...

London calling

GLA sets sights on RMBS

The Greater London Authority (GLA) has announced its intention to invest in senior UK RMBS, signalling a move towards di...

SCI Start the Week - 21 March

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

PipelineThe pipeline was dominated by auto-related ABS entrants last week. A couple of CMBS and RMBS a piece were also m...

SFR exposure encouraged

SFR transactions offer value to STACR, CAS, legacy RMBS and consumer ABS deals, argue Wells Fargo analysts. However, the...

CMBS 'looking cheap'

US CMBS spreads remain significantly wide of competing corporate spreads. Despite extra volatility justifying some sprea...

Indices ready to roll

Markit iTraxx indices roll to Series 25 on Monday 21 March. There are set to be 12 name changes for the Crossover index...

Mixed approaches to Valeant risk

Valeant, the single biggest obligor in US 2.0 CLOs, continues to generate negative headlines. However, CLO managers appe...

Final curtain?

FRTB to constrict liquidity, trading

The Basel Committee's finalised fundamental review of the trading book (FRTB) marks another milestone in regulators' lon...

Safe harbour RMBS debuts

JPMorgan is in the market with what is believed to be the first US RMBS structured to comply with the FDIC's 'safe harbo...

ABS bound

European marketplace lending to see securitisation stimulus

KPMG and Cambridge University's alternative finance centre both agree that securitisation will play a vital role in the...

SCI Start the Week - 14 March

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

Pipeline Last week's pipeline additions were heavily weighted toward ABS. There were seven new ABS, one ILS, three RMBS...

ECB looks to provide boost

A new set of measures announced by the ECB could boost ABS supply. The central bank is launching a second TLTRO programm...

CLOs cut oil exposure

While the oil and gas sectors have been a relatively small part of the leveraged loan universe, US CLO exposure to these...

Increased appetite

European direct lenders moving towards US model

Direct lenders tend to focus on assets that aren't mainstream securitisation candidates and in that sense can be complem...

Energy boost

Renovate America capital markets md Craig Braun and capital markets svp Adam Garfinkle answer SCI's ...

Q: How and when did Renovate America become involved in the securitisation market? Braun: We started originating PACE l...

SCI Start the Week - 7 March

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

Pipeline With many market participants decamped to Las Vegas for the industry conference, pipeline activity last week w...

First CMBS 2.0 loan sees loss

February US CMBS 2.0 remittances show that 15 loans totalling US$103m became newly delinquent during the month, while ei...

Risky business?

Risk-sharing deal opportunities grow

Capital relief trade opportunities are increasing as more jurisdictions open up. However, with this expansion comes incr...

UK ILS consultation opens

HM Treasury has opened a consultation on its proposal for a new regulatory and tax framework for ILS in the UK....

P2P cut-back

Market consolidation dominates discussion

As marketplace lending continues to rapidly evolve in Europe, the fate of small lenders is an emerging theme. SCI's inau...

Foreclosure precedent set

A recent ruling by the California Supreme Court affirming the right of mortgage borrowers to continue challenging forecl...

SCI Start the Week - 29 February

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

Pipeline The number of ABS deals joining the pipeline slowed last week. The distribution across sectors was the most ev...

Interest diversion cushions assessed

Jamestown CLO IV is thought to have become the first post-crisis US CLO to fail its interest diversion (ID) test - by 32...

Supply and demand

Capital relief trade pricing, liquidity discussed

Demand for capital relief trades has outweighed supply in recent years, driving prices lower, according to panellists at...

Puerto Rico counter offer criticised

A number of mutual funds that hold over US$10bn invested in Puerto Rico and its public corporations have warned against...

Mortgage movers

Non-bank lenders reshaping UK RMBS

Tough capital constraints are weighing on the incentive of large incumbent lenders to maintain a strong presence in the...

Solar effect

BBOXX ceo and co-founder Mansoor Hamayun answers SCI's questions

Q: How and when did BBOXX become involved in the securitisation market? A: You need to look at the core of our busine...

Downgrade possible

Marketplace ABS ratings review sparks concerns

Moody's has placed the subordinated notes of three marketplace lending securitisations on review for possible downgrade,...

Brexit implications weighed

The UK will hold a referendum on 23 June to decide whether to stay within the EU. Uncertainty about a potential 'Brexit'...

Stabilisation sought

CLO equity arb, risk retention remain challenging

Signs of stabilisation in the US CLO market are emerging, after a volatile start to the year that brought spread widenin...

CLO retention rules challenged

The LSTA yesterday testified in front of the US House Committee on Financial Services' capital markets subcommittee to e...

Drifting out

High-beta spread dislocation continues

As markets sell off and become increasingly volatile, European high-beta securitised paper has widened considerably. Thi...

Long iTraxx positions 'vulnerable'

Net long non-dealer positions have been cut by almost US$17bn over the past week or so across the Markit iTraxx Main ind...

Lending harmony?

CMU set to transform SME investment landscape

Funding Circle is optimistic about the finalisation of the Capital Markets Union (CMU) and the possibility of a harmonis...

UK risk over-represented

Some €6.5bn of European ABS paper has traded off BWICs in the last nine months, according to JPMorgan figures,...

SCI Start the Week - 22 February

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

PipelinePipeline entrants were dominated by ABS issuers last week. A handful of CDOs/CLOs and CMBS deals also began mark...

Governmental intervention test resolved

The three-judge external review panel convened by ISDA in connection with the Novo Banco governmental intervention credi...

CMBS spread widening to continue?

An analysis of previous US CMBS corrections undertaken by Morgan Stanley CMBS strategists suggests that the current sell...

SCI Start the Week - 15 February

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

Pipeline As with the previous week, pipeline additions last week were dominated by ABS. There were seven new ABS deals...

Potential PMI boost for RMBS

The recovery of the private mortgage insurance (PMI) industry suggests that there is value to be found in legacy non-age...

Right to return

Non-prime mortgages set for US comeback?

Attempts to reinvigorate the US non-prime RMBS market appear to be gaining traction. However, the sector still needs to...

Gateway mod to realise a loss?

The US$94.2m Gateway Salt Lake loan - securitised in JPMCC 2010-C1 - has been assumed at US$78.5m and modified, followin...

SCI Start the Week - 8 February

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

Pipeline Pipeline additions were heavily skewed to ABS last week. A total of 11 ABS deals were added, while there was...

Repo RMBS debuts

Jefferies Funding is in the market with an RMBS backed by a one-year revolving warehouse facility guaranteed by Jefferie...

CMBS 2.0 delinquencies spike

January saw the largest one-month rise in US CMBS 2.0 loan delinquencies ever, but the corresponding servicer commentary...

Dispute resolution framework inked

Fannie Mae and Freddie Mac have implemented a new independent dispute resolution (IDR) process for handling alleged loan...

SCI Start the Week - 1 February

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

Pipeline The pipeline was slightly quieter last week as fewer deals joined and fewer deals left. At the last count ther...

Court rules against Canary Wharf

Canary Wharf Group sold 10 Upper Bank Street for £790m in June 2014 and used the proceeds to prepay £5...

Antitrust settlement progressing

A distribution plan has been released in connection with the CDS antitrust settlement agreed last year involving a dozen...

NPL guarantee hailed

The Italian government is set to introduce rules establishing a guarantee mechanism, dubbed Garanzia Cartolarizzazione S...

Synthetic disorder

Risk transfer deals seek regulatory breakthrough

Panellists at SCI's inaugural capital relief trades conference last month discussed regulatory developments in the secto...

Reg AB-compliant deals emerge

Four ABS sponsors - Ally, AmeriCredit, Discover and Ford - have completed Reg AB 2-compliant transactions so far this ye...

Retention return?

Retained issuance revival surprises market

Retained issuance volume in Europe was 63% lower in 2015 than it had been in 2014, but this decline was turned on its he...

Eurotunnel refi expected

Eurotunnel has reported strong revenue growth, increasing the likelihood that it will refinance its Channel Link Enterpr...

Energy stress surging

The beginning of 2016 has seen a number of stressed loan issuers - particularly in the oil and gas sector &...

SCI Start the Week - 25 January

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

Pipeline ABS deals accounted for more than half of last week's pipeline additions. There were six new ABS announced, as...

FHLB rule impact gauged

The FHFA has released a final rule which amends its guidelines for Federal Home Loan Bank (FHLB) membership. The rule ad...

Vulcan CMBS prospects eyed

The EuroCastle Office Portfolio in Vulcan (ELoC28) has been sold at a level sufficient to repay the securitised loan in...

Alignment of interest

Marketplace lending regulatory scrutiny discussed

Representatives from Kaye Scholer, Fundation Group and PeerIQ recently discussed the impact of heightened regulatory scr...

Oil slump is CRT concern

Oil prices last week hit their lowest mark for 12 years, with significant implications for CRT deals. Should oil prices...

SCI Start the Week - 18 January

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

Pipeline The pipeline continued to build last week as a number of new deals were added. At the final count there were e...

Finalised FRTB 'still punitive'

The Basel Committee has released the final version of its fundamental review of the trading book (FRTB). While the final...

StuyTown pay-offs emerge

MLCFC 2007-5 has become one of the first CMBS to report distributions from the pay-off of the US$3bn Stuyvesant Town/Pet...

Distressed resolutions gather pace

January US CMBS remittance reports show that several larger loans from CWCapital's bulk liquidations have been resolved....

CLO market concerns catalogued

While the US CLO market recorded its second-highest full-year issuance in 2015, CLO market participants remain concerned...

SCI Start the Week - 11 January

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

Pipeline Pipeline additions picked up last week as market participants returned to their desks for the new year. As w...

Justifiable reliance affirmed

The purchaser of an unrated junior tranche in the CDO transaction STACK 2006-1 adequately pled justifiable reliance by s...

RMBS speeds to jump

Several Alt-A and prime jumbo US RMBS deals could experience significantly higher voluntary prepayment speeds this year...

Marketplace best practices outlined

Orchard Platform has published a paper outlining eight essential best practices for marketplace lending investing. The r...

North Dakota loans eyed

Morningstar Credit Ratings is monitoring nearly US$340m of CMBS exposure to the oil-drilling hubs of North Dakota, where...

CMBS 2.0 remits reviewed

The balance of delinquent and specially serviced US CMBS 2.0 loans more than doubled year-over-year, while paid-off loan...