Weekly Issue Archive »

Issue 907 - 21st June

  • SRT Market Update

    • Capital Relief Trades

      • Challenger bank debuts

        SRT Market Update

        Allica Bank last month closed its debut SRT transaction, becoming the first UK challenger bank to achieve capital relief under the Standardised Approach for Securitisation (SEC-SA) framework. Named Perseus, the deal is structured as a direct CLN and...

      • Warehouse deal closed

        SRT Market Update

        Goldman Sachs is believed to have completed a CRT referencing a pool of US residential mortgage warehouse lines at the end of April. The portfolio is understood to be sized at US$200m and the sold tranche sized at US$25m, with a 0%-12.5% thickness....

      • Lloyds prints

        SRT Market Update

        Lloyds has priced a pair of SRT transactions from its Musselburgh programme. The recently completed synthetic securitisations are Musselburgh 2024-1 and 2024-2. The first deal has a total portfolio size of £1.5bn and a tranche thickness o...

      • EIB Group and BBVA partnership

        SRT market update

        Details have emerged of an EIB Group investment in Spanish bank BBVA’s synthetic securitisation from March 2024. The international financial institution’s involvement in the transaction included a commitment of €76m from...

  • News

    • Structured Finance

      • SCI Start the Week - 17 June 2024

        A review of SCI's latest content

        *SCI’s inaugural Emerging Europe SRT Seminar takes place in Warsaw tomorrow* Last week's news and analysisCIRT X 4 Fannie Mae completes fourth deal of the year Credit risk sharing: Raising the bar for ESG requirements - video...

    • Capital Relief Trades

      • Fed OKs Merchants

        2023 Merchants Bank CLN approved for RWA calculations

        The Federal Reserve has granted retroactive approval for the Merchants Bank of Indiana Reference Notes, Series 2023-1 CLN, sold in March last year, to be treated as a synthetic securitization for risk weighted asset (RWA) calculations. The letter,...

    • CMBS

      • Double trouble

        Senior UK CMBS noteholders face losses after property sale

        The full write-down of the outstanding balance of the class B to E notes and a partial loss on the class A notes issued by Elizabeth Finance 2018 is anticipated on the October IPD, marking the first post-crisis loss on a triple-A rated (at closing) E...

  • Talking Point

    • Capital Relief Trades

      • Embracing diversity

        Regulators urged to recognise importance of internal models

        Recent proposals regarding the application of the revised Basel 3 standards in the UK and the US favour the standardised approach and include strict restrictions on the use of internal models for calculating regulatory capital. A new paper from PGGM...

  • The Structured Credit Interview

    • Capital Relief Trades

      • Special situations

        Jean-Francois Leclerc and Carlo Perri of Polar Asset Management Partners' structured credit team ans...

        Q: Can you give us some background to SRT at Polar?CP: Polar has been investing in SRTs since the mid-2010s and more broadly in structured credit for over 15 years. Historically, we have focused on what we call ‘special situations&rsquo...

    • RMBS

      • Bereft of banks

        MBS languishes as the market waits for the banks and the Fed

        Like many in the US ABS market, portfolio manager Brendan Doucette is waiting for the Federal Reserve to issue new guidance on Basel III Endgame (B3E). He runs a US$1.5bn book at Boston-based GW&K Investment Management, 90% composed of agen...

  • Market Moves

    • Structured Finance

      • Private credit JV formed

        Market updates and sector developments

        Stifel Financial Corp and Lord Abbett have formed a substantial leveraged lending joint venture, which compliments the existing capabilities of both firms. Called SBLA Private Credit, the JV will focus on both new issue and existing loans to small an...

      • Job swaps weekly: Fitch appoints successor to outgoing Murray

        People moves and key promotions in securitisation

        This week’s roundup of securitisation job swaps sees Fitch Ratings appointing a successor to outgoing BRM head for structured finance Douglas Murray. Elsewhere, Barings has hired a BlackRock director to lead European real estate de...


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