Weekly Issue Archive »

Issue 592 - 25th May

  • News Analysis

    • RMBS

      • Synthetic access welcomed

        The launch of the CRTx credit risk transfer index (SCI 11 May) has been welcomed by RMBS traders for the ability to put trades on in size and hedge credit events in the underlying. However, its introduction is also expected to precipitate new levels...

    • Structured Finance

      • TRS see sustained uptick

        IHS Markit iBoxx TRS trading volumes have risen sharply in recent years by around US$10bn and activity shows no sign of slowing down (see below chart, which represents the growth of standardised iBoxx TRS volumes). Factors driving this trend include...

    • RMBS

      • RMBS to follow Irish mortgage sale

        Barclays plans to securitise a €5bn legacy portfolio of Irish residential mortgages recently acquired from Lloyds. The deal follows hot-on-the-heels of the Durham RMBS transactions (SCI 11 May 2018), which priced last week. Cecile Hillary,...

    • NPLs

      • Landmark NPL securitisation closed

        Banca Monte dei Paschi di Siena’s landmark non-performing loan securitisation, Siena NPL 2018, features several structural innovations that are expected to be replicated in future NPL securitisations. The €4.33bn...

      • NPL financing hurdle highlighted

        Financing non-performing loan resolutions remains the missing piece in efforts to tackle Europe’s troubled asset burden. While securitisation can help close the NPL bid/ask gap and broaden the investor base, the technology typically isn&...

  • News

    • Structured Finance

      • SCI Start the Week - 21 May

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

        Pipeline The transactions remaining in the pipeline by the end of last week were spread fairly evenly across ABS, CMBS and RMBS. A whole business securitisation was also marketing. The newly-announced ABS comprised US$500m Ally Master Owner Trust...

    • Capital Relief Trades

      • Risk transfer round-up - 25 May

        Standard Chartered is expected to roll over two existing trade finance capital relief trades in 2H18. In particular, Shangren 3 and Sealane 3 will be rolled over into two new deals: Shangren 4 and Sealane 4. Shangren 3 – in which Dutch pens...

    • CLOs

      • Sterling CLO boosts Euro diversity

        The announcement of a rare sterling-denominated deal has further boosted the growth and diversity of the European CLO market. PGIM Fixed Income’s latest transaction - Dryden 63 GBP CLO 2018 – is the first sterling CLO since 2013 a...

  • Talking Point

    • Structured Finance

      • Risk-based pricing after IFRS 9

        Raymond Zhu, senior manager, and Jan-Hinnerk Fahrenkamp, director from Deloitte's Financial Services...

        When IFRS 9 came into force in January 2018, many in the credit risk world thought the hard part was over. After all, conventional wisdom suggested the new standard would cause a one-off shift in expected loss provisioning and life would return to no...

  • Market Moves

    • Structured Finance

      • Market moves - 25 May

        Analytics acquisition IHS Markit has signed a definitive agreement to acquire Ipreo for US$1.855bn from private equity funds managed by Blackstone and the Goldman Sachs merchant banking division. The acquisition is expected to close in 2H18, subjec...


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