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Issue 682 - 6th March

  • News Analysis

    • ABS
      • Pandemic cat bonds triggered

        World Bank ILS could encourage further issuance

        The current Coronavirus (COVID-19) outbreak will likely trigger pay-outs for US$132.5m in pandemic catastrophe bonds sponsored by the World Bank Group's (WBG) Pandemic Emergency Financing Facility (PEF), according to commentary from DBRS Morn...

    • Capital Relief Trades
      • Green light

        OCC gives regulatory approval to JPM CRT

        JP Morgan Chase has won favourable regulatory treatment from the Office of the Comptroller of the Currency (OCC) for its innovatory CRT transaction priced in October, say well-placed sources. “The OCC blessed the deal and JP Morgan receiv...

    • CMBS
      • Retail repositioning

        Euro CMBS sponsor strategies weighed

        The trend towards online shopping has had an impact on traditional retail outlets, such as shopping centres. Sponsors are consequently undertaking repositioning and restructuring activity, but the move could ultimately lead to a reduction in the volu...

    • NPLs
      • NPL reductions eyed

        Greek liquidation law set to facilitate securitisation

        Non-performing loan securitisations are expected to be the primary tool for NPL reductions in Greece over the next 18 months, given the option of derecognising assets without incurring punitive capital charges, the HAPS guarantee and the tough NPL re...

  • Market Reports

    • Structured Finance
      • Virus-related volatility

        European ABS market update

        The European securitisation market appears to be being affected by coronavirus-related volatility. Spreads have widened and there seems to be reduced appetite for risk among participants, as evident from guidance on a couple of transactions being rev...

  • News

    • Structured Finance
      • SCI Start the Week - 2 March

        A review of securitisation activity over the past seven days

        New MRT report SCI has published a new Special Report on the US Mortgage Risk Transfer sector - it can be downloaded for free here. Transaction of the week BofA was in the market with a Dutch CMBS, dubbed Taurus 2020-1 NL. The ̈́...

      • Game changer?

        FDIC rule change to boost bank securitisation

        In what is seen as a fillip to bank issuers of securitised paper, the FDIC has relaxed its so-called safe harbor securitisation rules. The rule change, announced on 30 January, removes the requirement for bank sponsored 144a securitisations to be c...

      • Climate risk

        Climate impact reporting at early stages

        Banks have committed to disclose their climate risk exposures, as recommended three years ago by the Financial Stability Board’s (FSB) task force on climate-related financial disclosures (TCFD). However, standardised reporting of climate ri...

    • Capital Relief Trades
      • Opaqueness premium

        Regulatory RWA variability highlighted

        In its latest Working Paper, the BIS unveils a new measure of risk-weighted asset variability – the variability ratio (VR) - that utilises market data to determine a market-implied estimate of a bank’s RWAs. Using this measure, th...

      • Provisioning hedge

        Landmark Italian SRT inked

        AmTrust International has completed its inaugural capital relief trade, which references a €1bn seasoned low-LTV residential mortgage portfolio originated by an undisclosed leading Italian bank. The transaction is believed to be a first for...

    • CMBS
      • Retail hit

        Potential impact on Italian CMBS eyed

        Retail and tourism are the sectors which have been most affected by the outbreak of COVID-19 (Coronavirus). As such, the virus is expected to have a negative impact on Italian CMBS backed by retail assets. Italian retail property loans that are sec...

    • NPLs
      • Performance issues

        Italian NPL ABS business plans scrutinised

        A recent analysis of 19 Italian non-performing loan securitisations reveals that 15 of these transactions are overperforming in terms of closed borrowers’ profitability. The study suggests that onboarding processes and collection times impa...

      • NPL recognition delayed

        Chinese SMEs supported amid Coronavirus outbreak

        Chinese regulators are allowing the country’s banks to delay the recognition of non-performing loans for SMEs faltering from the Coronavirus outbreak. The measures include tailored aid to SMEs but are further complemented by monetary policy...

  • Market Moves

    • Structured Finance
      • DLT litigation ABS on the cards

        Sector developments and company hires

        Acquisition Pretium Partners has acquired the investment management business of Latigo Partners. Latigo co-founders David Ford and David Sabath are joining Pretium as senior mds, members of the executive committee and remain as portfolio managers...

      • IRPH index ruling 'credit negative'

        Sector developments and company hires

        CMBS property sales KBRA has been notified of the sale of 29 properties in the Eos (ELoC No. 35) CMBS. All of the properties are located in the Netherlands and nearly all (28) are industrial assets. As a result of the sale, an amount equal to &e...

      • Bulgarian micro loan guarantees inked

        Sector developments and company hires

        Bulgarian guarantees The EIF has signed new guarantee agreements with Unicredit Bulbank, United Bulgarian Bank and ProCredit Bank (Bulgaria) to support the fast-growing documentary finance activity in Bulgaria. Under these agreements, the three EIF...

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