Weekly Issue Archive »

Issue 709 - 11th September

  • News Analysis

    • RMBS

      • Dispersion emerging

        Mortgage payment holidays rolling off

        A significant number of borrowers across Europe have resumed their mortgage payments, after exiting payment holiday schemes. However, dispersion across RMBS pools is emerging, due to the different lending practices of each lender. Julian Craughan,...

    • Capital Relief Trades

      • APAC SRTs eyed

        Balance sheet optimisation in focus

        Asia Pacific banks are eyeing synthetic securitisations to optimise their balance sheets and as Basel 4 is incorporated into local laws. However, portfolios tend to be structured as blind pools, which could potentially limit future investor interest....

    • CLOs

      • Missing piece

        Lack of equity investors holding back CLO growth

        The CLO primary market is fully back to post-summer business with three new deals pricing yesterday, 10 September and a bulging pipeline either side of the Atlantic. However, the lack of equity investors is holding the sector back from greater long-t...

    • Structured Finance

      • LLPA exceptions

        Record origination in Q2 as rates scrape the lows

        The controversial adverse market fee announced by the GSEs in August initiated an immediate 12.5bp increase in 30-year mortgage rates and a drop in rate-lock activity, according to Black Knight, the mortgage data and research firm. “When...

  • News

    • ABS

      • ILS burden eased

        Trapped capital securitisation debuts

        Bermuda-based ILS Capital Management has completed a US$57m first-of-its-kind trapped capital securitisation. Trapped capital has historically been considered a burden in the ILS sector. The debut transaction encompasses 51 contracts and represents...

      • Auto opportunities

        Euro residual values holding up

        The European second-hand car market has been relatively strong since lockdown ended, supporting auto ABS residual values, according to panellists at S&P’s recent European Structured Finance Virtual Conference. Mezzanine tranches in...

    • Structured Finance

      • SCI Start the Week - 7 September

        A review of securitisation activity over the past seven days

        SCI CRT Awards The submissions period for the 2020 SCI CRT Awards is now open. The qualifying period for the awards is the 12 months to 30 September 2020. Pitches and/or any queries should be emailed to cs@structuredcreditinvestor.com by 9 October...

    • Capital Relief Trades

      • Volksbank debuts

        Delayed Italian SRT inked

        Volksbank has completed a financial guarantee with the EIF and the EIB that references a static €700m Italian SME portfolio of roughly 3600 borrowers. The transaction is the Italian bank’s first significant risk transfer transactio...

      • Risk transfer round-up - 9 September

        CRT sector developments and deal news

        Commerzbank is rumoured to have significantly upsized a corporate and SME significant risk transfer trade that is expected to close in 4Q20, following the alleged replacement of PGGM as counterparty with another private investor. The German lender&am...

    • RMBS

      • Pent-up demand

        European RMBS market update

        The European securitisation market reopened post-summer with a blow-out print for ARA Venn’s latest STS Dutch prime RMBS, the €300m Cartesian 5. The books for the class A notes were 5.5x covered, with orders reaching €1.5b...

  • Market Moves

    • Structured Finance

      • Euro CLO payment mismatch grows

        Sector developments and company hires

        Euro CLO payment mismatch grows The payment frequency mismatch between underlying loans and European CLOs is growing as loan issuers switch to semi-annual payments to manage risks in the Covid crisis, according to Fitch. The agency reports an increa...

      • Multi-level Libor exposure eyed

        Sector developments and company hires

        Multi-level Libor exposure eyed Japanese securitisations with exposure to Libor on multiple levels will face the highest risks in the transition away from the benchmark rate when it is phased out at end-2021, Moody's notes. Around 20% of J...

      • SYME securitisation underway

        Sector developments and company hires

        SYME securitisation underway Supply@ME Capital (SYME) reports that it has received offers, subject to contract, from a number of large, global institutional investors for a securitisation note issuance via StormHarbour, in order to monetise more t...


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