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Issue 780 - 11th February

  • News Analysis

    • RMBS

      • Compounded calculations

        First RMBS tied to Sonia index issued

        The first RMBS to use the recently introduced Bank of England Sonia index to calculate the interest paid on sterling floating rate notes closed last month. Nationwide’s Silverstone Master Issuer Series 2022-1 is set to be the first of many...

    • Capital Relief Trades

      • CLN uplift

        CLN deal volumes grow

        Global CLN deal volumes witnessed a boost last year following recent lows. However, additional risk factors lie behind the surface along with accompanying mitigants. According to Scope ratings, global CLN deal volumes crossed the US$46bn figure in...

    • CLOs

      • Positive change

        Investor demand set to broaden CLO ESG screening

        CLO ESG screening has to date largely been conducted on an exclusion basis. However, a shift towards positive screening is anticipated, as CLO managers work to meet rising investor demand and comply with the Sustainable Finance Disclosure Regulation....

    • Structured Finance

      • Increasing allocation

        Innovation, transparency attracting institutional investors

        The majority of institutional investors polled in a recent Aeon Investments survey have increased their allocation to structured credit investments across different asset classes over the past 18 months. When asked why there is growing interest in st...

    • Capital Relief Trades

      • Spread surge

        GSEs face sharply higher costs for CRT as spreads widen

        The last couple of weeks have seen significant spread widening in the GSE CRT market, making the mechanism less friendly to the balance sheets of Freddie Mac and Fannie Mae. This week, Freddie Mac priced its second DNA STACR of the year at levels c...

  • News

    • ABS

      • Wider spreads coming

        European ABS/MBS market update

        The hawkish pivot of the ECB, combined with lingering inflation-driven volatility conspired to drive spreads wider and dampen activity in the European ABS/MBS primary market over the past week. The two transactions in the near-term visible pipeline w...

    • Structured Finance

      • SCI Start the Week - 7 February

        A review of SCI's latest content

        Last week's news and analysis Big business Strategic shift favours alternative credit M&A activity Climate stress tests launched ECB releases climate scenarios Fannie CAS prices New high LTV CAS, second CAS of 2022, prints...

    • Capital Relief Trades

      • Tender two

        Freddie concludes second STACR tender offer

        Freddie Mac concluded its second tender offer of old STACR notes yesterday (February 8) at 5pm EST. Twelve tranches, all M2s and M3s, from 2015, 2016, 2017 and 2018 had been offered for tender, though the bulk - 10 of the 12 - date from 2016 and 20...

      • Super-size STACR

        Biggest ever $1.9bn STACR prices

        The largest STACR in the history of the programme, designated STACR 2022-DNA2, has been priced. Sized at $1.9bn in five tranches, it outweighs any deal since the first STACR printed in the summer of 2013, confirmed the GSE. It will settle on Februa...

      • Risk transfer round up-10 February

        CRT sector developments and deal news

        Credit Suisse is believed to be readying a significant risk transfer transaction backed by US leveraged loans from the Kronen programme. The latter would follow another US leveraged loan SRT from the same programme that was executed in December 2021....

  • The Structured Credit Interview

    • CLOs

      • Emulating efforts

        Jim Wiant, ceo, partner and portfolio manager of Capital Four US, answers SCI's questions

        Q: Capital Four launched its first US CLO last year. What were the motivations behind expanding into the US market? A: If you look at Capital Four’s history and its path to growth, since 2007 the firm has meaning...

  • Market Moves

    • Structured Finance

      • CIP, Whitecroft partner for infrastructure SRT

        Sector developments and company hires

        Copenhagen Infrastructure Partners (CIP) is marketing its inaugural debt fund – the CI Green Credit Fund I (CI GCF I) – having secured €320m in seed capital. Targeting a size of €1bn, the fund will provide privat...

      • KIS embraces asset management

        Sector developments and company hires

        Kuvare Insurance Services (KIS) has launched a third-party asset management business. Over the past two years under the leadership of president and cio Brian Roelke, KIS has built a seasoned team of insurance industry professionals and asset class sp...

      • Agencies win 'valid-when-made' cases

        Sector developments and company hires

        Agencies win ‘valid-when-made’ cases The US OCC and FDIC yesterday received favourable court rulings in cases challenging their ‘valid-when-made’ rules. In each case, the plaintiffs were three states &ndas...

      • HKMC inks infrastructure MoUs

        Sector developments and company hires

        HKMC inks infrastructure MoUs The Hong Kong Mortgage Corporation (HKMC) has signed a memorandum of understanding on an infrastructure loans framework with 14 partner banks. The MoUs set out the principal terms for potential infrastructure loan coope...


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