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Mixed bag out for busy CMBS session

23 July 2014

US CMBS BWIC volume totalled around US$650m yesterday as a mixed bag of securities from various vintages were put out for the bid. SCI's PriceABS data captured a range of price talk and covers. PriceABS picked up 29 unique US CMBS tranches from yesterday's bid-lists, including the BAYC 2006-4A A2 tranche. That tranche was talked at 83, after it h...

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Loan TRS 'welcome' addition

23 July 2014

Total return swaps (TRS) on investment grade and high yield credit indices in Europe and the US have seen moderate success over the past two years. However, the recent extension of Markit's suite of TRS to include leveraged loans is expected to garner more attention - both in terms of addressing loan market hedging demand and helping CLO...

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HARBM 3 hit by lack of credit support

23 July 2014

The Harbourmaster CLO 3 class B tranche last week defaulted at the deal's legal final maturity. The transaction differed in several ways from typical legacy European CLOs, but appears to have primarily succumbed to a lack of credit enhancement. The HARBM 3 class A notes repaid in full, the B1 and B2 notes were redeemed to 51.5% and 52% of their o...

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Falling factors push pricing premium

22 July 2014

Bonds with lower factors are increasingly common on US non-agency RMBS bid-lists. As it becomes more difficult for investors to find large enough bonds to meet reinvestment demand, a pricing premium on larger blocks is developing. Bank of America Merrill Lynch RMBS analysts note that jumbo, Alt-A and option ARM bonds with factors at or below 0.25...

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