Weekly Issue Archive »

Issue 691 - 7th May

  • News Analysis

    • CLOs

      • Known unknown

        Lack of data in MM CLOs leaves future open to interpretation

        US middle market CLOs currently appear to be in a better position than their broadly syndicated loan peers, with considerably fewer negative rating actions to date. However, while the sector undoubtedly benefits from some strengths, increasing transp...

    • NPLs

      • NPA opportunities

        Global investors target Indian distressed debt

        The coronavirus fallout is set to severely impact credit delivery and asset quality in India, with over US$30.5bn of loans expected to become stressed over the next 12 months. Securitisation could help the banking sector address its non-performing as...

    • RMBS

      • On the rack

        Recent limitations on liability leave unanswered questions for mortgage servicers

        The 21 April FHFA announcement that agency mortgage servicers will have to fund no more than four months of missed payments on a loan in forbearance (SCI 22 April) only partially lifts the dark cloud over the servicers, say market sources. &ldq...

    • Capital Relief Trades

      • EC decision awaited

        Preferential capital treatment mooted for STS synthetics

        The EBA’s framework for STS synthetic securitisations (SCI 6 May) is broadly in line with those of the discussion paper that was published in September 2019 (SCI 25 September 2019). Notably, the authority seems to endorse preferential capit...

  • News

    • ABS

      • Modifications up

        MPL impairments bucking the trend

        US marketplace loan payment impairment rates have increased amid the coronavirus fallout but remain below the changes in unemployment figures. Recent dv01 performance data also shows that modifications comprise over 70% of all payment impairments, th...

    • Structured Finance

      • SCI Start the Week - 4 May

        A review of securitisation activity over the past seven days

        Last week's stories Cautiousness prevails European CLO market update CRT vol aims for the stars The US credit risk transfer market is at record-breaking volatility De-risking deluge? US CLO managers' initial crash response assessed Gro...

    • Capital Relief Trades

      • Ratings resilience

        Shorter pro-rata periods to benefit SRTs

        A sharp deterioration in asset performance due to the coronavirus fall-out may lead to sequential pay triggers in predominantly pro-rata paying significant risk transfer deals being breached earlier than initially assumed. Shortened pro-rata periods...

      • CRM tool

        CBILS guarantees eligible for CRR recognition

        The UK PRA published at the end of April a statement clarifying whether Coronavirus Business Interruption Loan Scheme (CBILS) and Coronavirus Large Business Interruption Loan Scheme (CLBILS) guarantees are eligible for recognition as unfunded credit...

      • Romanian SRT inked

        Uncapped guarantee completed

        The EIF and nine Romanian banks have completed an uncapped guarantee agreement from the SIUGI programme that covers 60% of a €1.368bn portfolio of Romanian SME credit rights. The banks originating the SME credit rights under this initiative...

      • Risk transfer round-up - 7 May

        CRT sector developments and deal news

        BBVA is rumoured to be readying a capital relief trade for 2Q20. The lender has completed a total of three risk transfer trades since 2017 and all of them have been in conjunction with the EIF (see SCI’s capital relief trades database). ...

    • CMBS

      • Pipeline clearance

        Structural features support CMBS

        The US non-agency CMBS market appears to have stabilised, allowing sponsors to clear out existing pipelines, following structural tweaks in some cases. The sole conduit deal to print last month - Cantor Fitzgerald’s US$271m CF 2020-P1 &...

    • NPLs

      • On hold

        Italian NPL ABS to pick up next year

        Italian non-performing loan securitisations are anticipated to drop by 50%-70% this year, compared to 2019, as the Covid-19 fallout puts bank deleveraging plans on hold (SCI passim). However, NPL ABS issuance is expected to pick up next year. Accor...

  • Market Moves

    • Structured Finance

      • WAM guidelines finalised

        Sector developments and company hires

        WAM guidelines finalised The EBA has published its final guidelines on the determination of the weighted average maturity (WAM) of the contractual payments due under the tranche of a securitisation transaction, as laid down in the CRR. These guideli...

      • Ladder locks in financing

        Sector developments and company hires

        Ladder locks in financing Ladder Capital has entered into a strategic financing arrangement with Koch Real Estate Investments, under which Koch will provide the company with approximately US$206.4m in senior secured financing to fund transition...

      • STS synthetics proposals published

        Sector developments and company hires

        STS synthetics proposals published The EBA has published its proposals for developing an STS framework for synthetic balance-sheet securitisations, which includes the criteria to be considered when labelling a transaction as ‘STS'...


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