Weekly Issue Archive »

Issue 688 - 17th April

  • News Analysis

    • CLOs

      • TALF sparks rally

        US CLO seniors tighten, but Fed support may not be enough

        The end of last week saw US triple-A CLO bonds tighten in the secondary market, partly in response to the expansion of TALF to include the asset class (SCI 9 April). There was little price movement yesterday as a result of a quiet day due to the bank...

    • Capital Relief Trades

      • Risk transfer reboot

        Large corporate SRTs prepped

        Capital relief trade issuance is set for a comeback in 2Q20 as a handful of banks are readying large corporate transactions. The reboot in issuance is largely driven by government and central bank programmes and the need to manage bank capital as com...

    • CMBS

      • Forbearance foreseen

        Euro CMBS cash-trap thresholds eyed

        Three UK hotel CMBS and three Italian retail CMBS, representing just under £1bn and just over €1bn of securitised debt respectively, could become subject to cash-trapping if their LTV ratios are tested during the Covid-19 outbreak....

    • Structured Finance

      • Bilateral activity

        Opportunistic capital redeployment underway

        The European ABS market appears poised to diverge between central bank-eligible issuance and opportunistic capital. Risk-off sentiment dominates, but pockets of bilateral activity are occurring. “It's an interesting market at the...

    • CLOs

      • Uncertain ratios

        OC senior test failures accelerate, but options remain for some CLO managers to cure breaches

        As the April reporting season gets underway in earnest, the number of US CLOs failing their OC tests is accelerating and breaches are now also moving up the capital stack. However, despite difficult market conditions, some managers still have some ab...

    • RMBS

      • Price volatility

        Liquidity constraints hit credit risk transfer

        Acute losses have been suffered in the US credit risk transfer market over the last few weeks, as prices on many classes of bonds have executed a vertiginous descent. But the price action does not tell the whole story, and it is too early to say that...

    • CLOs

      • Second wave

        Widespread CLO rating downgrades add further uncertainty

        Extensive CLO downgrades are expected to follow the widespread pandemic-driven negative rating actio...

  • News

    • Capital Relief Trades

      • Discounted opportunities

        Insurers target SRT secondary market

        Insurers are now targeting the capital relief trades secondary market in search of discounted opportunities with an attractive risk profile following the coronavirus crisis. Secondary trades offer diversification and an existing track record of perfo...

    • CMBS

      • Unified approach

        Canadian CMBS servicing challenges surveyed

        The Canadian CMBS market is expected to be more resilient to the coronavirus fallout than its US counterpart. Although tenant defaults and loan delinquencies are similarly likely to spike into 3Q20, to date Canadian servicers have seen relatively few...

    • Insurance-linked securities

      • Coverage cleared

        Debut programmatic ILW trade executed

        Tremor last week executed what is believed to be the first programmatic ILW trade via an online auction. A US$50bn US wind and earthquake contract cleared at a rate on line (ROL) of 12.25% through the platform, having traded at a ROL of 12.5% before...

    • RMBS

      • Forbearance risks

        Pre-2015 GSE deals could suffer losses

        As the coronavirus spreads and servicers offer mortgage forbearance plans to struggling obligors, certain pre-2015 credit risk transfer (CRT) fixed severity deals are set to sustain losses without action from Fannie Mae and Freddie Mac. In contrast,...

  • Market Moves

    • Structured Finance

      • REMIC tax status clarified

        Sector developments and company hires

        REMIC revenue procedure The US Internal Revenue Service has issued a revenue procedure that permits loans subject to certain forbearances and related modifications as a result of the Covid-19 pandemic to be contributed to, and held in, REMICs and gr...

      • Auto ABS rating withdrawn

        Sector developments and company hires

        Auto ABS rating withdrawn Fitch has withdrawn the expected ratings of Swiss Car ABS 2020-1 (SCI 9 April). The rating agency notes that the debt issue is “no longer expected to proceed as previously envisaged”. EMEA Reed Smit...

      • CMBS secured, unsecured sub debt weighed

        Sector developments and company hires

        CMBS secured, unsecured sub debt weighed Senior US CMBS loans with unsecured subordinate debt (such as mezzanine or preferred equity) show significantly lower default rates than senior loans with secured subordinate debt (such as B-notes) at comp...

      • Interest rate mismatches eyed

        Sector developments and company hires

        Interest rate mismatches eyed Moody’s suggests that loan repricing will increase interest rate mismatches for Chinese structured finance deals, posing a higher risk for RMBS than auto ABS, given the longer loan terms and the greater share...


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