Complete news archive
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Latest SRTx fixings released
Index values indicate gradual tightening in spreads and impr...
The latest fixings for the SRTx (Significant Risk Transfer Index) have been released. There have been incremental but modest improvements in spread and risk indexes and a tempering of values in volatility indexes, which had risen in November’s fixings (SCI 2 November) in response to conflict in the Middle East.
This month’s survey responses point to .......
News 4 December 2023
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SCI Start the Week - 4 December 2023
A review of SCI's latest content
Last week's news and analysis
News 4 December 2023
Arch agony
Cancellation of 8 ILNs leaves investors stewing
Basel 4 series: Preparing - video
Market participants share their insights about how to prepare for Basel 4
Global Risk Transfer Report: Chapter five
In the fifth of six chapters examines trends in North .......
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Risk transfer round-up - 1 December
The week's CRT developments and deal news
Market news
A pair of auto loan CLNs hit the market this week, including US Bank’s inaugural capital relief trade. Dubbed US Bank Auto Credit-Linked Notes Series 2023-1 (USCLN 2023-1), the synthetic securitisation has a couple of unusual features.USCLN 2023-1 transfers credit risk to noteholders via a financial guaranty on a US$2.46bn reference pool comprising 97,444 prime auto .......
News 1 December 2023
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Job swaps weekly: Sirius execs join forces to launch Karis
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees the launch of a new real estate debt advisory firm, Karis Capital UK, led by a number of outgoing Sirius Group executives. Elsewhere, Invesco has lured a Munich-based Patrizia director to its EMEA structured debt finance team, while Sumitomo Mitsui Banking Corporation (SMBC) has appointed a Clifford Chance senior associate as .......
Market Moves 1 December 2023
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Arch agony
Cancellation of 8 ILNs leaves investors stewing
The decision last week by Arch Capital to cancel eight Bellemeade insurance-linked notes (ILN) issued between 2018 and 2021 has not gone down well with all investors, say market sources.
Arch was able to redeem the note at par, but some were trading at a premium to par, leaving some investors highly dissatisfied with the decision. They now have a sizeable hole to .......
News 30 November 2023
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Positioned for quality and liquidity
Kate Galustian, lead portfolio manager for BlackRock Senior...
Q: When you announced BlackRock Senior Securitised Fund (SCI 20 November), BlackRock stated that this new vehicle will predominantly invest across continental Europe and the UK. To what extent was that driven by current opportunities specific to that geographic market, and could you provide an outline as to what those are?
The Structured Credit Interview 30 November 2023
A: The fund was designed in collaboration with .......
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Rules of conflict
Final SEC "conflict of interest" ruling offers crumbs of comfort
The SEC’s final “conflict of interest” ruling, designated Rule 192 and released at the beginning of this week (SCI 29 November), waters down some of the most onerous restrictions but still represents a serious imposition for securitized markets participants, say those in the field.
The new rule prohibits so-called “securitization participants” from engaging in “conflicted transactions” during the life of an .......
News 30 November 2023
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SIFMA calls for STC framework
Market updates and sector developments
A new SIFMA blog highlights three actions that will mitigate what the association calls the “perverse incentives” created by the lack of appropriate risk-sensitivity of the SEC-SA framework, under the US Basel 3 Endgame (B3E) proposal. The blog describes the proposal as “the most restrictive approach to set capital requirements for banks’ securitisation exposures in the developed world”.
As .......
Market Moves 29 November 2023
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Basel 4 series: Preparing - video
Market participants share their insights about how to prepare for Basel 4
In the third instalment of SCI’s Basel 4 video series, ex-issuer Frank Benhamou provides a brief outline of what’s new in Basel 4 and SCI’s Kenny Wastell asks market participants about what they can do to prepare for the regulatory changes.
....... News Analysis 29 November 2023
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Global Risk Transfer Report: Chapter five
In the fifth of six chapters surveying the synthetic securit...
IACPM’s latest risk-sharing survey notes that 2022 highlighted not only a substantial growth in SRT product utilisation by banks, with €200bn in new issuance, but also some structural changes in the risk-sharing activity of banks. Nevertheless, a number of regulatory challenges remain outstanding.
SCI’s Global Risk Transfer Report examines how the risk transfer community is addressing these .......
Talking Point 29 November 2023
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Treasury overhang
Unprecedented Treasury supply dominates agency MBS story for 2024
The enormous Treasury issuance expected next year forms a long shadow falling over the agency MBS market, say investors.
Estimated 10-year Treasury issuance is now projected to be US$1.34trn in 2024, some US$90bn more than earlier estimates and breaking previous records. Assuming the Federal Reserve extends quantitative tightening, overall 10-year Treasury supply will exceed US$1.5trn.
“The biggest risk to agency MBS is Treasury supply. .......
Talking Point 27 November 2023
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SCI Start the Week - 27 November
SCI event tomorrow
Join us for our European CRE Finance Seminar in London tomorrow, 28 NovemberLast week's news and analysis
News 27 November 2023
Basel 4 series: Industry impacts - video
Exploring the effects of Basel 4 on market participants and their clients or members
BlackRock launches Article 8 ABS fund
Updates on .......
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Job swaps weekly: EverBank lures Forbright's Walsh
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees EverBank hiring a senior Forbright Bank executive as head of structured real estate finance. Elsewhere, National Australia Bank (NAB) has made two senior promotions within its securitisation teams in Melbourne and New York, while Piraeus Bank has elevated an Athens-based director to the role of senior director, head of securitisations and transaction structuring.
EverBank, .......
Market Moves 24 November 2023
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Basel 4 series: Industry impacts - video
Exploring the effects of Basel 4 on market participants and their clients or members
In the second instalment of SCI's Basel 4 video series, The D. E. Shaw Group's Syril Pathmanathan provides a brief outline of what's new in Basel 4 and SCI's Kenny Wastell asks market participants about the extent to which Basel 4 will affect them and their clients or members.
....... News Analysis 22 November 2023
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Global Risk Transfer Report: Chapter four
In the fourth of six chapters surveying the synthetic securi...
IACPM’s latest risk-sharing survey notes that 2022 highlighted not only a substantial growth in SRT product utilisation by banks, with €200bn in new issuance, but also some structural changes in the risk-sharing activity of banks. Nevertheless, a number of regulatory challenges remain outstanding.
SCI’s Global Risk Transfer Report examines how the risk transfer community is addressing these .......
Talking Point 22 November 2023
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Hotel upgrades
Uplift in fortune seen for lodging CMBS
The lodging sector is one of the few bright spots in the US CMBS landscape. This Premium Content article uncovers the reasons why.
The US lodging sector has enjoyed an uplift in fortunes over the past 18 months, with pent-up demand from holidaymakers driving a post-Covid recovery. Despite a slight uptick in delinquencies in recent months, sector-specific metrics ......
News Analysis 21 November 2023
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Gaining traction
The rise of project finance SRT
Synthetic securitisation is expected to play a key role in assisting Europe’s transition towards a more sustainable economy. This Premium Content article explores the significance of project finance SRT transactions within this context.
Given the challenging macroeconomic conditions over the past 12 months and the unprecedented write-down of Credit Suisse’s AT1 bonds, banks are increasingly adopting synthetic ......
News Analysis 21 November 2023Premium Content
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Fannie signs off for 2023
Multi-family CAS and last 2023 CIRT for the GSE
Fannie Mae has executed its third multi-family CAS deal and also its ninth and final CIRT trade of the year.
Placed by structuring manager and lead bookrunner Bank of America, the US$595m MCAS 2023-01, consists of 423 multi-family loans with an unpaid principal balance (UPB) of US$24bn.
The US$154.6bn M7 tranche was priced at SOFR plus 400bp and has 3.5% credit support. The .......
Market Moves 20 November 2023
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Global goals
Chris Whitcombe, head of European and US ABS at Challenger I...
Q: Challenger IM recently launched its first securitisation-only investment fund – the Challenger IM Global ABS Fund (SCI 1 November). What makes now the right time?
The Structured Credit Interview 20 November 2023
A: At Challenger IM, we manage assets for leading global and Australian institutions. We have been actively investing in ABS since 2005, including the private ABS market for the last decade. So, although .......
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BlackRock launches Article 8 ABS fund
Market updates and sector developments
BlackRock has launched the BlackRock Senior Securitised Fund (BSSF), its new flagship securitisation fund, in the existing BlackRock Specialist Strategies Fund range. The firm says that BSSF is designed to meet the strong demand for securitised assets from both institutional and wealth clients seeking to diversify their fixed income exposures. Clients have demonstrated a desire for the diversification benefits, .......
Market Moves 20 November 2023
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SCI Start the Week - 20 November
A review of SCI's latest content
New SCI video series
In the first instalment of SCI's Basel 4 video series, Alantra md Holger Beyer provides a brief outline of what's new in Basel 4 and SCI's Kenny Wastell asks market participants whether the new regulations will be a game changer for the SRT market.Last week's news and analysis
News 20 November 2023