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Auto ABS widening underlined

21 August 2014

US ABS bid-list supply rose to around US$95m yesterday, with a block of auto floorplan bonds making up about half of the volume. Auto loan tranches accounted for the majority of the remaining BWIC items and reflected the recent spread widening seen in the sector. The floorplan paper out for the bid yesterday was AMOT 2010-2 A, which was talked at...

© Elf

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Call for Fed MBS exclusion

20 August 2014

The US fixed income indices commonly used by money managers exclude Fed Treasury holdings when calculating their composition but include its RMBS holdings. However, money managers would likely be overweight MBS rather than underweight if the Fed's RMBS holdings were also excluded. The Fed's Treasury holdings have historically been excluded from f...

© L.Miguel Bugallo Sanchez

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Call likelihood gauged

20 August 2014

US RMBS clean-up call activity picked up in 2Q14, with 10 deals called during the period versus six in the previous quarter. Together with lower rates, one factor that may be contributing to the up-tick is rising prices for non-performing/re-performing loans. "If rates stay range-bound and NPL/RPL markets remain strong, call activity will likely...

© Shoshie8

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Watching waterfalls

20 August 2014

Call for increased derivatives disclosure in securitisations
A first step towards creating a safe and transparent ABS market in Europe, in line with recent ECB rhetoric, could be greater scrutiny of cashflow waterfalls. A list of items that securitisation issuers should disclose has been put forward to facilitate such scrutiny. "Derivatives contracts at the top of cashflow waterfalls mean that most securit...

© Roger McLassus

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