Weekly Issue Archive »

Issue 612 - 12th October

  • News Analysis

    • RMBS

      • Trading opportunities

        Credit risk transfer continues to evolve

        Freddie Mac’s recent STACR 2018-DNA3 RMBS marked a further evolution of its credit risk transfer programme in terms of structure and leverage. As the sector continues to mature, a number of different trading opportunities are emerging. In...

    • CLOs

      • Casting a wider net

        US CLO managers target European opportunities

        Although considerably smaller than the US, the European CLO market is on course for a post-crisis record year. A wave of US CLO managers, many with money to put to work in the wake of risk retention’s repeal back home, are moving across the...

    • Insurance-linked securities

      • Disparity highlighted

        Flood ILS impact gauged

        The damage from Hurricane Florence was estimated by Moody’s to be between US$38bn-US$50bn, with 474,000 mortgaged properties affected. However, the only catastrophe bond that was impacted as the hurricane dissipated was the US$500m FloodSma...

    • NPLs

      • Greek GACS?

        Greek government considering asset protection scheme

        The Greek government is considering the creation of an asset protection scheme as part of the state’s non-performing loan reduction strategy. The scheme will involve state guarantees on bonds issued by SPVs, rendering it similar to the Ital...

  • Market Reports

    • Structured Finance

      • Primary surge

        European ABS primary market update

        European primary ABS activity is finally picking up. The PBD Germany Auto ABS transaction is expected to price either tomorrow or Wednesday, while the latest RMAC RMBS has grabbed the spotlight. “The market is much busier this week than i...

      • Secondary ticking up

        European securitisation market update

        A handful of BWICs are out for the bid today as activity in the European ABS secondary market picks up. Of note, the SILVA 2017-1UK A auto bond – with an original size of £80.8m - is set to be auctioned at 2pm London time today. ...

    • CLOs

      • Little differentiation

        European and US CLO market update

        Robust demand is being seen in both the European and US CLO markets this week. Equity arbitrage is up to 16% in the European CLO market and there is currently a zero percent default rate for some portfolios. “This is an equity investor&am...

      • Manager differentiation?

        US CLO primary market update

        US CLO spreads are tightening, despite increased supply. Fresh primary market issuance is emerging daily. “Even though there is lots of supply, spreads are still tightening - although we are not really sure why. We think they should be wi...

  • News

    • Structured Finance

      • SCI Start the Week - 8 October

        A review of securitisation activity over the past seven days

        Market commentary The European ABS primary market saw a lull in activity last week, which left some traders uncertain as to what the final quarter of the year will bring (SCI 3 October). “I’m seeing a little bit of primary market...

    • Capital Relief Trades

      • Risk transfer round-up - 12 October

        CRT sector developments and deal news

        Deutsche Bank is believed to be prepping a trade finance transaction from its TRAFIN risk transfer programme for 4Q18. The rumoured deal would be the German lender’s first TRAFIN deal in three years and follows two issuances in June from th...

    • CLOs

      • iTraxx 'best imperfect' hedge

        Main, Crossover indices show Euro CLO correlation

        With a number of macroeconomic and political issues leading to volatility across the financial spectrum this year, so CLO investors are thinking more about potential hedging options. In the area of European CLOs, iTraxx Main and Crossover indices hav...

  • Market Moves

    • Structured Finance

      • Market moves - 12 October

        Company hires and sector developments in structured finance

        Cliff edge concerns ISDA has published a paper highlighting widespread concerns in Europe that the UK may withdraw from the EU without a withdrawal agreement under Article 50 of the Treaty on European Union and without any transition, or implementa...


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