Weekly Issue Archive »

Issue 684 - 20th March

  • News Analysis

    • Structured Finance

      • Liquidity concerns

        European ABS pipeline coming to a halt

        The European ABS primary market is grinding to a halt amid coronavirus-related volatility, with many transactions postponed. Among the relief measures implemented by the Bank of England and the ECB last week, the new UK Term Funding Scheme for SMEs (...

      • Even playing field?

        Reg AB relaxation set to release RMBS

        The relaxation of FDIC rules regarding bank compliance with SEC Regulation AB when issuing RMBS (SCI 4 March) evens the playing field between bank and non-bank issuers. The move is expected to clear the way for greater bank-sponsored issuance to emer...

    • Capital Relief Trades

      • Short-term volatility

        SRTs on hold, although 2H20 rebound expected

        Capital relief trade issuance has been postponed until the second half of the year due to the coronavirus crisis, as market participants expect disruption to be relatively short-lived. Nevertheless, more targeted government and central bank action to...

      • Credit event definitions

        UTP category brings less uniformity

        The EBA’s guidelines on default definitions have brought less uniformity to credit event determinations in synthetic securitisations, despite the benefits of subsequent procedures such as principal adjustments for investors. However, from a...

      • Economically efficient

        Study supports reduction of PD estimates

        A new study undertaken by Open Source Investor Services (OSIS) suggests that capital relief trades are a good alternative to traditional issuance of new capital in the majority (75%) of cases reviewed and in 40% of cases the instrument works well dur...

  • News

    • Structured Finance

      • SCI Start the Week - 16 March

        A review of securitisation activity over the past seven days

        SCI NPL Securitisation Awards 2020 As a result of COVID-19, the SCI NPL Securitisation seminar has unfortunately had to be postponed and along with it the inaugural SCI NPL Securitisation Awards ceremony. Nominations remain open and a revised...

      • Pandemic response

        DNB lowers bank buffers amid outbreak

        Dutch central bank DNB has lowered the capital buffers for Dutch banks and postponed the introduction of the risk weight floor for mortgages, following ECB action on the Coronavirus crisis. Combined, these measures will free up €8bn in capit...

      • Risk off

        Securitisation markets seize up

        Amid a global sell-off, securitised asset classes where liquidity is scarce and asymmetry of positions particularly acute have suffered grievously. The FOMC decision to increase TBA purchases has so far eased only the agency RMBS sector (SCI 17 March...

    • Capital Relief Trades

      • Close relationship

        CRT documentation should evidence intentions

        When structuring a capital relief trade, the documentation should evidence the intentions of the parties. Given the risk-sharing nature of such transactions, investors benefit from forming a close relationship with the originating bank and being comf...

    • CMBS

      • Elevated risk

        US conduit hotel loans vulnerable

        Hotel loans securitised in US conduit CMBS are more vulnerable to coronavirus disruption than hotel loans in single-borrower CMBS, according to DBRS Morningstar. The agency estimates that the impact of the virus threatens to increase the overall CMBS...

  • Market Moves

    • Structured Finance

      • Greencoat liquidator appointed

        Sector developments and company hires

        EMEA Ocorian has appointed Abigail Holladay as director of transaction management. Based in London, Holladay will manage restructuring transactions across Europe. She has previously held senior positions at Law Debenture and Deutsche Bank. Hollada...

      • Fed rolls out CPFF

        Sector developments and company hires

        CMB purchase programme The Bank of Canada has announced that it stands ready, as a proactive measure, to provide support to the Canada Mortgage Bond (CMB) market to ensure that it continues to function well. This would include, as required, purchase...

      • EIB mulls SME ABS purchase plan

        Sector developments and company hires

        Dealer credit facility launched The US Fed has established a Primary Dealer Credit Facility (PDCF) available from 20 March, which will offer overnight and term funding with maturities up to 90 days. The facility will be in place for at least six mon...

      • Further central bank support unveiled

        Sector developments and company hires

        Bridging loan deal inked UK challenger lender Glenhawk has closed a private revolving securitisation of bridging loans, with senior funding provided by JPMorgan. Glenhawk offers short-term property development and homeowner loans, and has recently b...

      • NPL supervisory flexibility introduced

        Sector developments and company hires

        Canadian purchase programme The Canadian government has launched a revised Insured Mortgage Purchase Program (IMPP), under which it will purchase up to US$50bn of insured mortgage pools through the Canada Mortgage and Housing Corporation. The move a...


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