Weekly Issue Archive »

Issue 692 - 15th May

  • News Analysis

    • Structured Finance

      • Liquidity support

        Amendments mitigate forbearance impact

        A number of UK securitisation issuers are enhancing their deals to mitigate the negative impact on revenue of coronavirus-induced payment holidays. Among the first-movers to support public transactions were Santander and Volkswagen Financial Services...

    • NPLs

      • Questionable idea?

        Central bad bank proposal raises concerns

        The ECB is exploring the idea of a bad bank to relieve European bank balance sheets following expected asset-quality deterioration, due to the coronavirus fallout. Nevertheless, such a proposal would have to explain how purchase prices can be aligned...

    • Structured Finance

      • Unknown unknowns

        Covid-19 modelling challenges persist

        Banks are running simulations in an effort to address the credit risk modelling challenges of the coronavirus crisis (SCI 8 April). However, this is yet to clarify whether lenders can use both through-the-cycle (TTC) and point-in-time (PIT) modelling...

      • Tortuous TALF 2.0

        Markets question TALF usage

        The Federal Reserve this Tuesday (May 12) published more details about the terms of its $100bn new emergency lending facility generally referred to as TALF 2, and while these details were welcomed there are a still a lot of questions in the market ab...

  • Market Reports

    • ABS

      • Auto ABS boost

        European ABS market update

        Yesterday’s print of BMW Bank’s latest auto loan ABS marks a significant step in the reopening of the primary European securitisation market. The STS transaction was placed with 33 accounts, with the final spread tightening to one...

  • News

    • ABS

      • Waivers required

        WBS covenant breaches eyed

        The probability of covenant breaches within UK whole business securitisations has increased, due to coronavirus-related restrictions on businesses. However, covenant breaches do not necessarily result in negative rating actions. There are multiple...

    • Structured Finance

      • SCI Start the Week - 11 May

        A review of securitisation activity over the past seven days

        Last week's stories CRM tool CBILS guarantees eligible for CRR recognition EC decision awaited Preferential capital treatment mooted for STS synthetics Known unknown Lack of data in MM CLOs leaves future open to interpretation Modifica...

      • Portfolio resilience

        Technology-driven investment gaining traction

        Pagaya has expanded to the US West Coast, beefing up its origination group. At the same time, the fintech firm is seeking opportunities in new asset classes and new partnerships. As part of its expansion, Pagaya has appointed Jason Hass as svp of o...

    • Capital Relief Trades

      • SRTs unlocked

        BMO launches capital relief trade

        Bank of Montreal has finalised a US$132m five-year financial guarantee dubbed Manitoulin Muskoka Series 2020-1. The trade is the first transaction to close in the SRT space following the coronavirus outbreak. The portfolio is believed to reference...

      • Risk transfer round-up - 13 May

        CRT sector developments and deal news

        Bank of Montreal is rumoured to be prepping a corporate loan capital relief trade for 3Q20. The lender’s last risk transfer trade was completed in January and was called Manitoulin Algonquin 2020-1 (see SCI’s capital relief trades...

    • NPLs

      • Positive outlook

        Survey indicates distressed debt pick-up

        A new survey of private markets suggests that a pick-up in distressed debt activity is likely over the medium term due to the Coronavirus crisis. However, live deals are being renegotiated or postponed, with servicers adopting more consensual resolut...

    • RMBS

      • Forbearance frontiers

        4.7m home loans now in forbearance

        Almost 4.7m US homeowners are in forbearance plans as of May 12, an increase of 200,000 in seven days, according to Black Knight, which provides data and analysis on the mortgage markets. This represents 8.8% of all active mortgages and ov...

  • Talking Point

    • Capital Relief Trades

      • Drafting issues

        Assia Damianova, special counsel at Cadwalader, Wickersham & Taft LLP, considers the potential e...

        CRTs typically consist of a credit transfer instrument entered into between the credit institution and an SPV, with notes issued by the SPV to investors, the payments in respect of which are linked to payments on the credit transfer instrument. Most...

  • Market Moves

    • Structured Finance

      • Residual value buffer provided

        Sector developments and company hires

        Residual value buffer provided Volkswagen Financial Services UK will calculate a collateral residual value buffer to be made available to its UK auto ABS issuers in respect of the monthly period in which a payment holiday with a term extension is...

      • SFSF investments disclosed

        Sector developments and company hires

        SFSF investments disclosed The AOFM has disclosed the recent investments it has made under the Structured Finance Support Fund. In the primary market, the fund was the sole third-party investor in the A2 tranches of FirstMac 2020-1 (it also invested...

      • TALF CLO rules clarified

        Sector developments and company hires

        TALF CLO rules clarified The US Federal Reserve has clarified its CLO eligibility rules for TALF. It defines its stipulation that all or substantially all of the leveraged loans underlying CLOs must have been “newly issued” as th...

      • Corporate actions slow down

        Sector developments and company hires

        Corporate actions slow down Negative rating actions on corporate loan issuers continue to accumulate within US BSL CLOs, though the pace is moderating, according to S&P. Since early March, more than 28% of US BSL CLO collateral has been down...

      • Conflict of interest charge settled

        Sector developments and company hires

        Conflict of interest charge settled The US SEC has charged Morningstar Credit Ratings for violating a conflict of interest rule designed to separate credit ratings and analysis from sales and marketing efforts. Morningstar has agreed to pay US$3.5m...


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