Weekly Issue Archive »

Issue 724 - 24th December

  • News Analysis

    • Capital Relief Trades

      • Divergent regimes?

        STS synthetics onshoring awaited

        Formal adoption by the EU of the STS synthetics regime will not realistically occur until 1Q21, after the text has been translated into the languages of the various member states - despite the recent trilogue agreement regarding targeted changes to t...

    • ABS

      • Unexpected impact

        Business interruption claims weigh on cat bonds

        The ILS market has not been immune to the turbulence created by Covid-19 this year. However, the fallout from the pandemic has affected the sector in somewhat unexpected ways. Given the mortality risk associated with the coronavirus, the impact of...

    • Capital Relief Trades

      • Synthetic CMBS returns

        Barclays reopens CRE CRT market

        Barclays has completed three capital relief trades from the Colonnade programme that reference the same mixed portfolio of corporate, commercial real estate and social housing loans. The lender has hedged more than US$450m of combined first loss tran...

      • Trilogue agreement finalised

        Excess spread concerns highlighted

        The trilogue agreement on the European Commission’s ‘quick fix’ proposals was finalised last week and has received an overall positive reception from capital relief trades players, given that it extends the STS framework...

  • News

    • Structured Finance

      • SCI Start the Week - 21 December

        A review of securitisation activity over the past seven days

        Last week's stories Agricultural SRT prepped Lloyds readies Fontwell II Baltic SRT finalised First synthetic under Luxembourg law Bellemeade 2020-4 comes in at $337m 3-tranche MILN has higher than usual LTV pool Call for further improv...

      • Secondary supply

        Euro ABS trading set to dominate

        European ABS secondary spreads have completed a three-quarter circle from their coronavirus-related spike in March, relative to their tightest levels observed in February. The market saw a notable rise in trading volumes, following the coronavirus sh...

    • Capital Relief Trades

      • Slovakian SRT finalised

        Erste Group completes synthetic ABS

        Erste Group has completed a €48m mezzanine guarantee for its Slovakian subsidiary Slovenská sporitelňa (SLSP) with the EIF. The synthetic securitisation references a €755m portfolio of roughly 2,500 Slovakian SME...

      • Agricultural SRT priced

        Lloyds finalises Fontwell II

        Lloyds has priced the second transaction from its Fontwell programme. Dubbed Fontwell II Securities 2020, the eight-year synthetic securitisation is backed by a static £1.4bn portfolio of UK agricultural mortgages (SCI 17 December). Despite...

    • RMBS

      • Fed frenzy

        Ongoing Fed bid for GSE paper stronger than faster prepayments in 2021

        Price action in GSE-issued MBS in 2021 will be dominated by the opposite pressures of faster prepayments on the one hand and continued Fed action on the other, but of these two the latter will be the stronger, says Brendan Doucette, portfolio manager...

  • Market Moves

    • Structured Finance

      • Romanian NPE deal sealed

        Sector developments and company hires

        Romanian NPE deal sealed National Bank of Greece (NBG) has entered into an agreement with Bain Capital Credit for the disposal of a Romanian-risk corporate non-performing loan portfolio. Dubbed Project Danube, the transaction has a total GBV of ci...

      • RBS settles RMBS claims

        Sector developments and company hires

        RBS settles RMBS claims The securities division of Maryland Attorney General Brian Frosh has entered into an US$18m settlement with RBS Financial Products, resolving claims that RBS misled investors in its issuance and underwriting of financial cris...

      • RFC issued on GSE living wills

        Sector developments and company hires

        RFC issued on GSE living wills The US FHFA is seeking comment on a notice of proposed rulemaking that would require Fannie Mae and Freddie Mac to develop resolution plans (or ‘living wills’) that would facilitate a rapid and orde...


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