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Issue 156 - October 14th

• News Analysis

  • CDPCs

    • Capturing market share

      Deleveraging poses challenges for changing credit insurance model

      The traditional credit insurance model is changing, with both CDPCs and monolines pursuing new ways...

  • Investors

    • Harvesting returns

      CLO investors benefit from pre-summer purchases

      Investors that entered the CLO market before the fierce summer spread rally are now beginning to rea...

  • Documentation

    • The big squeeze?

      Thomson auction to inform debate about value of restructuring credit event

      The forthcoming Thomson CDS auctions have raised a number of thorny commercial and legal issues, inc...

  • RMBS

    • Risk review

      Stricter TALF criteria shrugged off, but wider concerns remain

      Stricter criteria for submitting ABS to the TALF is expected to discourage top-tier issuers from usi...

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• News

  • Investors

    • PPIF managers advised to wait for price weakness

      PPIF managers that have already announced equity raises are expected to start investing within the n...

  • Operations

    • Concerns grow over HAMP effectiveness

      The Congressional Oversight Panel (COP) has released its October oversight report, which expresses c...

  • Regulation

    • RFC extended on credit ratings proposals

      The US SEC last week adopted some of its proposed amendments that remove references to credit rating...

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• Job Swaps

  • Advisory

    • CRE advisory formed

      MBH Enterprises has announced the formation of Ventras Capital Advisors, a company that will special...

  • CLO Managers

    • Investor disputes Alesco CDO amendments

      Cohen & Co's proposed collateral amendments to four Trups CDOs - Alesco Preferred...

  • • Change of collateral manager for Duane Street

      Prudential Investment Management is set to assume the collateral management responsibilities for the...

  • • Babson set to take on more CLOs

      Jefferies Capital Management is set to hand over the collateral management duties of St James River...

  • CLOs

    • Two new CLO funds to launch

      Pearl Diver Capital, a UK-based structured finance asset management firm, plans to launch two new CL...

  • Distressed assets

    • Distressed CRE fund launched

      Foxcode Real Estate has launched a new private real estate fund. Based in Miami, the fund expects to...

  • • WestLB announces 'bad bank' plans

      The supervisory board of WestLB has announced that it intends to ring-fence non-strategic assets wit...

  • • Distressed analytics head appointed

      BTIG has appointed Vikas Tandon as md and head of high yield and distressed analytics within its glo...

  • Emerging Markets

    • Boutique eyes Asia-Pacific expansion

      A new boutique investment bank focused on distressed trading and advisory in the Asia-Pacific region...

  • Listed products

    • Additional share raise for CLO vehicle

      T2 Income Fund reports that it has conditionally raised £11m, before expenses, by way of a...

  • Operations

    • Warehouse pilot programme unveiled

      Freddie Mac has partnered with warehouse lender NattyMac, a Guggenheim Partners company, in a new pi...

  • SIVs

    • K2 SIV managers reprimanded over insider trading

      The UK's FSA has censured Darren Morton, a director, and Christopher Parry, a vp at Dresdner Kleinwo...

  • • Asset substitutions for restructured SIV

      HSBC, as programme manager, effected two separate asset substitutions in the portfolio of Mazarin Fu...

  • Structuring/Primary market

    • Americas fixed income heads appointed

      Nomura has hired industry veterans Charles Spero and Jeffrey Michaels as mds and joint heads of fixe...

  • • Barclays said to be spinning off CLO portfolio

      Barclays is planning to spin off £4bn of CLOs, according to an FT article. The report detai...

  • Trading

    • Structured credit pros flock to new brokerage

      Amias Berman & Co (ABCo) has been granted regulatory approval to commence its international...

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• News Round-up

  • ABS

    • South African auto ABS rated

      Moody's has assigned provisional global scale ratings (GSR) and national scale ratings (NSR) to the...

  • • Aircraft leasing mergers have long-term advantages

      Aircraft leasing mergers have short-term uncertainties, but longer-term advantages for aircraft ABS,...

  • Alternative assets

    • Two timeshare ABS completed

      Wyndham Worldwide Corporation has completed two term securitisation transactions involving the issua...

  • CDS

    • CDS liquidity scores signal financials renaissance

      Fitch Solutions has published its latest update on global CDS spreads/liquidity scores, in which it...

  • • Counterparty risk index stable for now

      The CDR Counterparty Risk Index (CRI) remains just higher than its recent lows. With US members of t...

  • • Derivatives price comparison venue launched

      An institutional retail derivative trade price comparison venue has launched. DerivativeSupermarket....

  • CLOs

    • Recovery still distant for CLOs, CSOs

      The credit quality of global credit derivatives is stabilising, according to a new Moody's report. H...

  • CMBS

    • Developers Diversified deal seeks TALF eligibility

      Developers Diversified Realty Corporation has completed a US$400m CMBS via Goldman Sachs, it has ann...

  • • US CMBS delinquencies led by hotel sector

      US CMBS delinquencies resumed their upward trajectory to end the month at 3.58%, according to the la...

  • • US CMBS loan delinquencies jump to 3.64%

      Moody's has recorded the aggregate rate of delinquencies among US CMBS conduit and fusion loans at 3...

  • • Increase reported in US CMBS special servicing

      Fitch has reported a 6% increase in US CMBS loans entering special servicing this past month. While...

  • • Japanese CMBS leads APAC downgrades

      Fitch has reported that a total of 119 Asia Pacific tranches (including public, private, internation...

  • Correlation

    • Value in IG9 mezz after sell-off

      The recent bout of volatility has seen investment grade CDS indices come under pressure, with mezzan...

  • Distressed assets

    • Negative equity hindering home price recovery

      Negative home equity is preventing sustained improvement in US mortgage performance, according to a...

  • Documentation

    • SSP settled, another credit event pending

      The final results of the SSP Financing first lien ELCDS auction were announced on 8 October. Six dea...

  • Monolines

    • Assured, FSA cut by a notch

      Fitch has downgraded the insurer financial strength (IFS) ratings of Assured Guaranty and Financial...

  • Operations

    • Support extended for Australian RMBS

      The Australian government has directed the Australian Office of Financial Management (AOFM) to provi...

  • • FASB urged to review MBS treatment

      The Mortgage Bankers Association (MBA) and the CMSA have filed a comment letter with banking regulat...

  • • Call for mandated CDS trade repository

      The DTCC has called for legislative language to be introduced mandating a trade repository for OTC c...

  • • Basel 2 securitisation framework explored

      Fitch has published two papers that explore Basel 2's regulatory capital framework for securitisatio...

  • Ratings

    • Rating methodology revised for VRDBs

      Moody's has revised its methodology for rating the underlying risk of variable rated demand bonds (V...

  • • Australian SF performance remains robust

      A total of 200 publicly-rated tranches backed by assets in Australia or New Zealand were affirmed du...

  • • Stable outlook continues for non-Japan Asia SF

      Fitch has affirmed a total of 16 publicly-rated tranches (including international and national ratin...

  • • Indian SF performance remains stable in Q309

      A total of seven publicly rated series from Fitch-rated Indian structured finance transactions were...

  • Regulation

    • Call for policymakers to account for ABS variations

      In testimony before the US Senate Banking Committee yesterday, CMSA executive committee member Chris...

  • RMBS

    • Provide Gems tendered ...

      Commerzbank has announced a tender offer on a seasoned synthetic German RMBS, Provide Gems 2002-1. T...

  • • South African RMBS could face ratings volatility

      Increased ratings volatility within South African RMBS transactions could occur due to the practice...

  • • Twelve-month lows for Australian RMBS arrears

      Arrears on residential mortgage loans underlying Australian prime RMBS fell to their lowest level in...

  • Structuring/Primary market

    • Not all repacks eligible for ratings, says Fitch

      Fitch has published rating criteria for repackaged senior structured finance notes. A new report det...

  • Technology

    • OTC XML publishing module launched

      Riskart has released in beta test its new XML-based publishing module. This comes following the anno...

  • • Vendor enhances calibration power

      Pricing Partners has introduced Simplex, a new optimisation technique, to the Price-it Library to en...

  • Whole business securitisations

    • ... while Punch buyback oversubscribed

      The results of Punch Taverns' £100m tender offer for the Punch Taverns Finance B Class A8 n...

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• Research Notes

  • CDS

    • Butterflies - the ideal tail risk short?

      Barclays Capital credit strategists Puneet Sharma, Rob Hagemans, Arup Ghosh and Aziz Sunderji find t...

      We have highlighted previously that protecting year-to-date returns using tail risk trades should be...

  • Trading

    • Trading ideas: outsized

      Byron Douglass, senior research analyst at Credit Derivatives Research, looks at a negative basis tr...

      The bond and CDS markets continue to offer relative view opportunities for those willing to filter t...

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