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Issue 733 - 12th March

  • News Analysis

    • CLOs
      • CLOs/CBOs solid

        US CLO primary rumbles on as CBOs perform strongly

        The US CLO refi/reset machine rolled on last week with primary spreads narrowing at the top of the stack. At the same time, the CBO sub-sector continues to perform well. The US CLO primary saw another bumper week last week, with 15 refis/resets and...

    • Capital Relief Trades
      • Texas blazes the trail

        The first CRT deal from a US regional fires the starting gun

        Texas Capital Bank has become the first US regional bank to issue a credit risk transfer deal, breaking the ice in what is expected to be an increasingly active area of the US CRT market. A $275m CLN references a $2.2bn mortgage loan exposure and t...

    • RMBS
      • Alignment issues

        EEM performance concerns emerge

        The European Mortgage Federation-European Covered Bond Council (EMF-ECBC) last month formally launched its Energy Efficient Mortgage (EEM) label. However, concerns are emerging that the label is being driven forward potentially at the expense of envi...

    • Capital Relief Trades
      • Texas two-step

        TCBI's debut is the curtain raiser for a new CRT strategy

        Texas Capital Bank’s (TCBI) debut in the CRT market - making it the first US regional bank to successfully execute such a deal (SCI 11 March) - is not a none-off but the beginning of a long-term strategy, Madison Simm, evp, business optimis...


  • News

    • ABS
      • Collection hitch

        January NPL collections fall

        Italian non-performing loan collections in January have plunged, following a December boost (SCI 26 February). Given a third pandemic wave that is about to hit the Italian economy, NPL ABS collections are still 46% below pre-Covid levels - a trend th...

    • Structured Finance
      • SCI Start the Week - 8 March

        A review of securitisation activity over the past seven days

        Last week's stories Benchmark legislation Congress to rescue Libor-based contracts, but questions remain Ever-changing moves Euro CLOs remain fluid Middle market opportunities MM CLOs still offer relative value and continued innovation ...

      • Supply fatigue?

        European ABS market update

        Execution for the two UK securitisations priced last week indicated a limited appetite for paper, following the heavy supply seen in previous weeks (SCI 23 February). A weaker tone in European ABS secondary spreads also emerged. “The mark...

    • Capital Relief Trades
      • Third wheels

        JPMorgan takes to the road again with another auto-linked credit note

        JP Morgan Chase is to issue its third auto loan-linked CRT transaction in the last eight months, designated Chase Auto Credit-Linked Notes Series 2021-1, in another indication of the growth of the CRT market in the US. The note references 161,885 r...

      • Risk transfer round-up - 8 March

        CRT sector developments and deal news

        Citi is believed to be arranging capital relief trades for a German bank and a Greek bank, which would render it the latest of the large banks to expand their foothold as third-party arrangers, along with Deutsche Bank, JPMorgan and BNP Paribas (SCI...

      • Risk transfer round-up - 9 March

        CRT sector developments and deal news

        Details have emerged regarding a synthetic securitisation backed by project finance contracts that Santander finalised in December 2020. The capital relief trade consists of a €1.4592bn senior tranche, an €89.5m placed mezzanine tra...

    • RMBS
      • Cladding issues

        Fire-safety requirements to have 'marginal' impact on RMBS

        DBRS Morningstar has investigated the pervasiveness of the impact on UK mortgage borrowers of cladding on high-rise apartment blocks, following the Grenfell Tower fire in June 2017. The study is based on an analysis of 64 securitised UK mortgage port...


  • The Structured Credit Interview

    • CLOs
      • Strategic expansion

        Capital Four ceo Sandro Naef and Capital Four US ceo Jim Wiant answer SCI's questions

        Q: How and when did Capital Four become involved in the structured credit market? A: We have been investing in CLO liabilities for more than a decade. In terms of managing CLOs ourselves, it was a natural evolution a couple of years ago to also star...


  • Market Moves

    • Structured Finance
      • Loyalty programme financing prepped

        Sector developments and company hires

        Loyalty programme financing prepped American Airlines is prepping an unusual US$7.5bn secured financing backed by license-payment obligations from American and cashflow generated by the AAdvantage Loyalty programme. AAdvantage Loyalty IP is an SPV i...

      • Asset and liability origination tie-up agreed

        Sector developments and company hires

        Asset and liability origination tie-up agreed Apollo and Athene have entered into a definitive agreement to merge in an all-stock transaction that implies a total equity value of approximately US$11bn for Athene. Upon closing of the merger, curren...

      • ESG engagement underway

        Sector developments and company hires

        ESG engagement underway All EU-based open-ended funds managed by Leadenhall Capital Partners have been categorised as being investment products that promote environmental and social characteristics in accordance with the criteria recently set out in...

      • BDC fair value assessed

        Sector developments and company hires

        BDC fair value assessed On the back of tightening BDC spreads and growing investor interest, JPMorgan CLO research analysts have published a report aiming to assess fair value in the sector. In addition, they compare BDCs to their closest relative &...



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