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SCI Start the Week - 2 September

Category: ABS Capital Relief Trades CLOs

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A review of securitisation activity over the past seven days

Market commentary
A new Fitch study shows that there is a wide range in trustee reported market values for defaulted loans held by US middle market CLOs, highlighting the illiquidity of the sector. For example, term loans of Dimensional Dental Management are held in eight MM CLOs of four managers, with reported marks for the same loan varying from 70 to 97 (SCI 29 August).

Nevertheless, Fitch points out that substitution provisions are observed in most MM CLOs it rates, enabling managers to provide a backstop to illiquid distressed or defaulted assets and work out a resolution outside of the CLO structure with fewer limitations.


Stories of the week
Back to work
UK deal flow restarts ahead of expected busy months ahead
Esoteric opportunities
Structured solutions to address corporate risk transfer needs
Multifamily delinquencies ticking up
Growing student housing vacancies major factor
Regulatory boost
Italian SRT issuance picks up

Other deal-related news

  • Satori Capital has announced an investment and acceleration partnership with Cicero Capital Partners. Satori is a multi-strategy firm with more than US$1bn in AUM and Cicero actively manages a portfolio of CMBS and other commercial real estate structured opportunities (SCI 27 August).
  • DBRS has changed the trend on the class B, C, D and E notes issued by Elizabeth Finance 2018 to negative from stable. DRBS notes that the change is a result of the further deterioration of the UK retail sector, which could affect the performance of the Maroon loan by increasing: (1) the re-letting risk for the upcoming lease break options of some of the largest tenants in the portfolio and (2) the number of retailers entering into company voluntary arrangements or deciding to consolidate their space across the country (SCI 29 August).
  • The EBA predicts that activity in the securitisation market should pick up in 2020 and 2021. The largest issuance volumes in 2019 are expected in the Netherlands, amounting to close to €7bn. Banks in France, Spain, the UK and Italy plan to substantially increase issuance volumes in 2020 and 2021 (SCI 29 August).
  • A new regulation has been introduced in Portugal providing for the execution of regulation 2017/2402 of the European Parliament and of the Council, which lays down a general framework for securitisation. It also creates a specific framework for STS securitisation (SCI 30 August)



BWIC volume


Upcoming SCI event
Capital Relief Trades Seminar, 17 October, London