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Issue 722 - 11th December

  • News Analysis

    • RMBS

      • Next step

        Call for greater EPC data disclosure

        The European Commission last month launched a consultation on the first two sets of criteria for economic activities to qualify as economically sustainable under the EU's Taxonomy classification system, including for the first time a formal d...

    • Capital Relief Trades

      • Morgan manoeuvres

        JPM's heavier than most capital burden underpins its keenness for CRT

        JP Morgan Chase has led the charge in the US CRT market in the last 12 months, but its urgency to make use of the mechanism has a lot to do with its specific and onerous regulatory capital burden, say market sources. It is the biggest bank in the U...

    • Structured Finance

      • ESN debate

        Could structures cannibalise true sale ABS?

        The European Parliament recently called for legislation to establish European Secured Notes (ESNs) to facilitate SME funding. The EBA is also supportive of an ESN funding option, alongside traditional covered bonds, but there are concerns about the p...

    • CLOs

      • Real return

        Money managers unlikely to be able to resist CLOs

        The rapid Covid-driven blow-out in US CLOs, followed by an equally dramatic reverse, wrong-footed many real money managers and skewed their perception of the sector’s risk-reward profile. Consequently, some have been hesitant to return to t...

    • NPLs

      • NPL momentum

        Call for specific securitisation framework

        Regulatory support for the non-performing loan securitisation market has coalesced over the last few weeks, with the publication of the Basel Committee’s technical amendment (SCI 27 November) and Wednesday’s announcement that the...

    • Capital Relief Trades

      • Landmark SRT completed

        Unusual synthetic securitisation inked

        The EIB and the EIF have finalised a €795m guarantee with ING that will support new lending to Dutch SMEs and midcaps. The transaction is the EIB Group’s largest ever synthetic securitisation and will enable the Dutch lender to pro...

  • News

    • ABS

      • Finish line

        Trilogue agreement finalised

        Negotiators from the European Parliament’s Economic and Monetary Affairs Committee (ECON) have reached an agreement with the European Council on targeted changes to the securitisation regulation and the CRR, with respect to the creation of...

    • Structured Finance

      • SCI Start the Week - 7 December

        A review of securitisation activity over the past seven days

        Last week's stories Collections conundrum Italian NPL ABS amortisation eyed (Full story below) Covid communications The pandemic has meant greater negotiation over terms between CRT buyers and sellers High-quality counterparties Insurer i...

    • Capital Relief Trades

      • Synthetic RMBS debuts

        Raiffeisen completes capital relief trade

        Raiffeisen has completed a €182m unfunded mezzanine guarantee that references a static €3.3bn portfolio of Austrian residential mortgages. Dubbed ROOF Mortgages 2020, the transaction is the lender’s first syntheti...

      • Risk transfer round up-December 9

        CRT sector developments and deal news

        Santander is believed to have postponed the pricing of Project Spitfire as the lender and the investors were reportedly not able yet to negotiate a pricing for the equity tranche. The synthetic securitisation is allegedly backed by UK auto loans. The...

    • Insurance-linked securities

      • Bellemeade bonanza

        The latest Arch trade covers the same insurance vintage as June's 2020-1

        Arch Capital is in the market again with its latest mortgage insurance-linked note (MILN), designated Bellemeade 2020-4.The transaction entered marketing yesterday (December 10), is due to be priced next week and should close around December 22. Th...

  • Talking Point

    • Structured Finance

      • Leveraged finance: stepping into the void

        Contributed thought leadership by Ocorian

        As funds continue to reallocate capital to direct lending strategies, Sinead McIntosh, business development director at Ocorian, a global leader in corporate and fiduciary services, fund administration and capital markets, highlights the crucia...

  • Market Moves

    • Structured Finance

      • CMBS value deficiencies compared

        Sector developments and company hires

        CMBS value deficiencies compared DBRS Morningstar has identified US$9.79bn in US CMBS loans transferred to special servicing since March, whose collateral was subsequently reappraised. Although updated appraisals on properties backing these loans su...

      • ADI securitisation review underway

        Sector developments and company hires

        ADI securitisation review underway The Australian Prudential Regulation Authority is undertaking a review of securitisation practices, having recently identified repurchased residential mortgage loans at some authorised deposit-taking institutions t...

      • Disclosure charges settled

        Sector developments and company hires

        Disclosure charges settled BlueCrest Capital Management has agreed to pay US$170m to settle US SEC charges concerning inadequate disclosures, material misstatements and misleading omissions. These charges concern the firm’s transfer of t...

      • CLO liquidity complexity examined

        Sector developments and company hires

        CLO liquidity complexity examined CLO secondary market activity is booming across the board, but the underlying liquidity picture is a complex one, according to a new report by JPMorgan CLO research analysts. CLO BWIC trading volume has already...


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