Weekly Issue Archive »

Issue 786 - 25th March

  • News Analysis

    • Capital Relief Trades

      • Risk transfer reboot

        CRT pipeline back on track

        The capital relief trades pipeline witnessed a brief pause in 1Q22 because of the geopolitical uncertainty following Russia’s invasion of Ukraine according to investors, but the market is now back on track with more deals set to come as iss...

    • Structured Finance

      • Inequitable frameworks

        Data analyses demonstrate punitive ABS treatment

        AFME has published two independent data analyses, undertaken by Risk Control, in response to the European Commission’s call for advice regarding bank and insurance prudential capital treatment and the liquidity coverage ratio (LCR). Both re...

    • ABS

      • Ratings cap?

        Risks in BNPL-backed securitisations weighed

        The buy now, pay later (BNPL) market is growing rapidly, matched by an evolving regulatory environment. While issuance of securitisations backed by BNPL assets is expected to rise in Europe over the coming years,  such transactions will brin...

  • News

    • ABS

      • Window of opportunity

        European ABS/MBS market update

        This week is seeing clear evidence of a pickup in activity in the European and UK ABS/MBS primary markets. In what feels like an intermediate period of opportunity for issuers, the announcement of a flurry of transactions should test investor appetit...

    • Structured Finance

      • SCI Start the Week - 21 March

        A review of SCI's latest content

        Last week's news and analysis Choice offering Rob Reynolds, md and head of CLOs at Pemberton Asset Management, talks to SCI Full stack guarantee launched Millenium bank executes SRT Room to run? MDB CRT challenges persist Some...

    • Capital Relief Trades

      • STACR three

        Freddie Mac completes Q1 CRT borrowing

        Freddie Mac issued a US$1.8bn high LTV STACR transaction late on Friday via Bank of America and Nomura. The bond, designated STACR 2022-HQA1, is the first high LTV deal that Freddie Mac has sold in 2022. It references loans put on in 3Q21 and compl...

      • Risk transfer round up-21 March

        CRT sector developments and deal news

        Santander is believed to be readying a synthetic securitisation backed by Portuguese corporate loans. The bank’s last such transaction was finalized last year and was called Castelo (SCI 4 August 2021). Stelios Papadopoulos&n...

      • SME SRT disclosed

        Last EFSI SRT revealed

        The EIB Group and Banco Nazionale del Lavoro (BNL) have revealed a synthetic securitisation that both finalized in December 2021. Dubbed Minerva two, the STS transaction references a €1.4bn Italian SME portfolio and was the last significant...

      • Landmark SRT launched

        mBank debuts polish synthetic ABS

        mBank and PGGM have finalized a direct CLN backed by a PLN9bn portfolio of large, small and medium sized polish corporate loans. The transaction is the first Polish significant risk transfer trade sold to private investors as well as the first STS sy...

    • Regulation

      • Lumpy SOFR

        New Libor bill fails to clear up potential Libor versus SOFR mismatch

        The signing of the Adjustable Rate Libor Bill (H.R.4616) into law eight days ago introduces important clarity into the Libor transition process, but the structured finance market is very far from out of the woods yet. The bill creates a safe harbou...

  • The Structured Credit Interview

    • Capital Relief Trades

      • Thoughtful approach

        Olivier Renault, md, head of risk sharing strategy at Pemberton Asset Management, answers SCI's ques...

        Q: You joined Pemberton at the beginning of December to establish the firm’s new risk sharing strategy (SCI 1 December 2021). Can you provide some background to this move? A: The aim of the risk sharing strategy is to leverage Pemberton&am...

  • Market Moves

    • Structured Finance

      • Wrapped ratings upgraded

        Sector developments and company hires

        Moody's has upgraded the ratings of 148 classes of US structured finance securities wrapped by Assured Guaranty Municipal (AGM), Assured Guaranty (AGC) and their affiliated insurance operating companies, as well as one class of US securities...

      • Secondary CLO equity fund launched

        Sector developments and company hires

        Accunia Credit Management has launched a CLO equity fund called King’s Garden. The firm is targeting an IRR of at least 15% over the fund’s lifespan by investing in CLO equity tranches in the secondary market. The new strategy c...


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