Weekly Issue Archive »

Issue 701 - 17th July

  • News Analysis

    • Structured Finance

      • Dual-speed transition?

        Libor replacement risks highlighted

        The Alternative Reference Rates Committee's timelines for transitioning from Libor to SOFR is behind those of the sterling market’s for transitioning to SONIA, implying that the adoption of many risk-free rate best practices will ta...

    • Capital Relief Trades

      • Fannie takes a step back

        As Freddie issues a new STACR, Fannie revises CRT approach due to new capital rules

        Uncertainty surrounding the impact of the re-proposed capital rules for the GSEs released by the Federal Finance Housing Authority (FHFA) on May 20 is causing Fannie Mae to hold back from CRT issuance, confirm market sources close to the agency. &a...

    • CLOs

      • Structural changes

        New US CLO docs anticipating Volcker

        Most of the US CLOs currently marketing are already being structured to incorporate changes resulting from the revised Volcker rule (SCI 26 June). At the same time, new deal documentation is also enabling greater flexibility for managers to participa...

    • Capital Relief Trades

      • Risk transfer return

        Intesa debuts post-Covid Italian SRT

        Intesa Sanpaolo has returned to the synthetic securitisation market with a new transaction from its GARC programme. Dubbed GARC Leasing-1, the €107m cash collateralised equity tranche references a static €1.5bn portfolio of lease fi...

    • RMBS

      • October cliff edge looms

        The apparent recovery of many parts of the MBS market may be a false dawn

        Mortgage-backed securities have in general rebounded with confidence in recent weeks, but there is an undercurrent of alarm in the market that the resurgence might have over-reached itself. Despite the last non-farm payroll report, much economic data...

    • CLOs

      • No rush

        CLO investors have time on their side for resets and refis

        Post-Covid US CLO issuance is gathering pace for new deals, but refinancings and resets are few and far between so far. There are opportunities for both types of restructuring, but for the vast majority of deals, there is no rush for equity investors...

  • News

    • ABS

      • Pandemic protections?

        Structural features mitigate auto ABS risks

        Structural features are overall mitigating Covid-19-related risks in auto ABS transactions, thanks to credit enhancement and other protections that largely offset any deterioration in collateral performance. However, delinquencies and defaults are ex...

    • Structured Finance

      • Seeking clarity

        Call to reassess repo language

        The AG MIT CMO versus Royal Bank of Canada case, which recently settled (SCI 3 June), highlights how Covid-19 disruption has caused confusion over what constitutes a ‘recognised market’ for the purpose of selling securiti...

      • SCI Start the Week - 13 July

        A review of securitisation activity over the past seven days

        Last week's stories Arch restarts MILNs Relaunched Bellemeade Re 2020-1 priced Collection boost? NPL ABS performance remains volatile CPR for CRT from Freddie Freddie Mac's new upsized STACR shows market is healthy Forbearance plans pl...

    • Capital Relief Trades

      • ACIS activated

        Freddie Mac brings first ACIS CRT deal since March

        Following its recent re-opening of the CRT bond market with a $1.1bn STACR deal, Freddie Mac last Friday (July 10) priced its first ACIS deal since March. Like the STACR deal, this transaction was also over-subscribed and issue size was doubled to $4...

      • Risk transfer round up - 15 July

        CRT sector developments and deal news

        Credit Agricole is rumoured to be readying a corporate capital relief trade that is expected to close in 2H20. The French lender’s last risk transfer trade was closed in March 2018 with the IFC (see SCI’s capital relief trades dat...

  • The Structured Credit Interview

    • Structured Finance

      • Conflict-free trading

        Benjamin Arnold, founding partner and ceo of Meraki Global Advisors, answers SCI's questions

        Q: How and when did Meraki Global Advisors become involved in the securitisation market? A: Meraki Global Advisors was founded with the rebellious determination to deliver conflict-free trading to asset managers. Meraki is a global multi-asset outso...

  • Market Moves

    • Structured Finance

      • LCX platform expanded

        Sector developments and company hires

        LCX platform expanded LendingClub has expanded its LCX platform to make it easier for registered institutional investors to analyse, price and bid on loans at pre-issuance, down to the individual loan level. When it was first launched, LCX enabled...

      • Euro CLO par burn rises

        Sector developments and company hires

        Euro CLO par burn rises After a relatively stable Q1, European CLO managers burnt an average -19bp of par in Q2 (compared to -3bp in Q1), according to JPMorgan’s latest report on the sector. Among 44 European managers, 14 managers built pa...


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