SCI Start the Week - 6 March

SCI Start the Week - 6 March

Monday 6 March 2023 11:01 London/ 06.01 New York/ 19.01 Tokyo

A review of SCI's latest content

Inaugural SRTx fixings released
The inaugural fixings for the SRTx (Significant Risk Transfer Index) have been released. The index values suggest that pricing volatility is rising and credit risk is worsening for US capital relief trades at a higher level than for European CRTs. For further information on SRTx or to register your interest as a contributor to the index, click here.

New SCI In Conversation podcast available
In this episode, Waterfall Asset Management partner Keerthi Raghavan discusses the headwinds and tailwinds currently facing the US ABS market. In a bonus feature marking International Women’s Day on 8 March, we also chat to Linklaters managing associate Ruhi Patil about what this year’s campaign theme - ‘embrace equity’ - means to her. The episode can be accessed wherever you usually get your podcasts, including Apple Podcasts and Spotify (just search for ‘SCI In Conversation’), and is available here.

Last week's news and analysis
Affordability anxiety
Non-QM originators augment affordability products, raising loss prediction
Back to STACR
Freddie targets 70/30 bonds versus reinsurance split as supply drops
Balance sheet optimization continues
Piraeus Bank discloses synthetic securitisation
Banks seek CRT clarity
"Reservation of authority" at heart of regulator distaste for CRT, say sources
Confidence and convenience
Octaura Holdings answers SCI's questions
Independent considerations
auxmoney, answers SCI's questions
Lightning rod?
Dealer incentives eyed in CAC complaint
Window of opportunity
German auto ABS dominates primary issuance

For all of last week’s stories including ‘Market moves’ and ‘Risk transfer round-up’ click here.

Recent premium research to download
Digitisation and securitisation - February 2023
Blockchain and digitisation are increasingly being incorporated into the securitisation process. This Premium Content article explores the benefits and challenges that these new technologies represent.

Alternative credit scores - January 2023
The GSEs are under considerable political pressure to extend credit to the underserved. But what does this mean for CRT investors, issuers and rating agencies? This Premium Content article investigates.

CEE CRT activity - January 2023
Polish SRT issuance boosted synthetic securitisation volumes last year. This Premium Content article assesses the prospects for increased activity across the CEE region.

SCI Markets
SCI Markets provides deal-focused information on the global CLO and European/UK ABS/MBS primary and secondary markets. It offers intra-day updates and searchable deal databases alongside CLO BWIC pricing and commentary. Please email David McGuinness at SCI for more information or to set up a free trial here.

SRTx benchmark
SCI has launched SRTx (Significant Risk Transfer Index), a new benchmark that measures the estimated prevailing new-issue price spread for generic private market risk transfer transactions. Calculated and rebalanced on a monthly basis by Mark Fontanilla & Co, the index provides market participants with a benchmark reference point for pricing in the private risk transfer market by aggregating issuer and investor views on pricing. For more information on SRTx or to register your interest as a contributor, click here.

Upcoming SCI events
SCI’s 2nd Annual ESG Securitisation Seminar
25 April 2023, London

SCI’s Transport ABS Seminar
May 2023, New York

SCI's 9th Annual Capital Relief Trades Seminar
19 October 2023, London