Weekly Issue Archive »

Issue 687 - 9th April

  • News Analysis

    • Capital Relief Trades

      • Stochastic modelling

        IFRS 9 challenges persist amid pandemic

        Supervisors have advised banks to embed the effects of government programmes, such as payment moratoriums, when determining whether assets can be moved from stage one to stage two under IFRS 9. The move has been welcomed by capital relief trade issue...

  • Market Reports

    • Structured Finance

      • Improving sentiment

        European ABS market update

        European ABS secondary market sentiment improved last week, with the return of investor appetite, and spreads across most sectors stabilised or tightened. However, the primary market remains on hold, with no new publicly distributed transactions sold...

  • News

    • ABS

      • Logistical challenges

        Container ABS disruption weighed

        The marine container industry is facing substantial logistical challenges due to the impact of Covid-19 on multiple aspects of global trade. The impact of stress in the supply chain on container ABS is expected to vary, depending on the concentration...

    • Structured Finance

      • SCI Start the Week - 6 April

        A review of securitisation activity over the past seven days

        Last week's stories Breathing space? EU banks benefit from Basel 3 delay Capacity constraints Covid-19 not yet posing solvency issues CECL delayed EU banks await IFRS 9 relief Credit challenges CLOs show resilience in stress s...

    • CLOs

      • Statics deployed

        Simpler CLO structure in vogue, but creates its own challenges

        The first US CLO to price since the Covid-19-driven market collapse utilises a static structure and similar deals are expected to follow. However, such transactions could suffer greater ratings volatility than those with revolving portfolios. On Th...

      • Mixed results

        Coronavirus consequences for European CLOs examined

        Outstanding European CLO transactions are expected to remain resilient despite downgrades and defaults being seen in lower-rated tranches. Equally, a trend towards diversification could help. A new report from Scope Ratings, ‘Covid-19: sh...

    • NPLs

      • HAPS halt?

        Greek NPE ABS plans disrupted

        The non-performing exposure reduction plans of the four systemic Greek banks are expected to be delayed by deteriorating market conditions. The banks had been ramping up preparations to execute around €32.5bn of securitisation volume in the...

    • RMBS

      • Modelling delinquency deluge

        Mortgage market advisers and consultants are struggling to find any models that work for the current...

        “Our clients are modelling a range of scenarios but are preparing themselves for the worst case including sustained levels of unemployment. Hopefully it won’t be that bad, but they need to prepare themselves,” says Berna...

  • Market Moves

    • Structured Finance

      • Negative outlook for asset performance

        Sector developments and company hires

        Negative outlook for asset performance Fitch is updating its rating assumptions for all global structured finance sectors to incorporate the economic impact of the coronavirus and related mitigation measures. The agency expects the global pandemic...

      • CLO stress scenario updated

        Sector developments and company hires

        CLO stress scenario updated Fitch is set to apply an updated stress scenario to all CLO portfolios involving issuers with greater vulnerability to disruptions caused by coronavirus. The agency’s previous scenario focused on seven industr...

      • EIF calls for guarantee applications

        Sector developments and company hires

        EIF calls for guarantee applications The European Commission has unlocked €1bn from the European Fund for Strategic Investments (EFSI) that will serve as a guarantee to the EIF and allow it to issue special guarantees to incentivise lenders...

      • TALF 2.0 eligibility expanded

        Sector developments and company hires

        TALF 2.0 eligibility expanded The US Fed has expanded the range of assets that are eligible collateral for TALF 2.0 to include the triple-A rated tranches of both legacy conduit CMBS and newly issued static CLOs. The size of the facility will remain...


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