Weekly Issue Archive »

Issue 178 - March 31st

• News Analysis

  • Monolines

    • Decisive action

      Market weighs consequences of Ambac restructuring

      ISDA has declared a bankruptcy credit event on Ambac Assurance Corporation (AAC) following a move by...

  • ABS

    • Continued bid

      Canadian ABS to survive BDC programme end

      Canadian securitisation is expected to survive after the Business Development Bank of Canada (BDC)'s...

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• Market Reports

  • CLOs

    • Increasing activity

      European CLO market activity in the week to 30 March

      The past week has seen much positive activity in the European CLO sector in terms of pricing levels...

  • RMBS

    • Forbearance to the fore

      US RMBS market activity in the week to 24 March

      US RMBS market sentiment last week was dominated by the announcement of Bank of America's principal...

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• News

  • ABS

    • Active Euro ABS investor base analysed

      The European ABS investor base is dominated by UK and Dutch tactical investors, according to a recen...

  • CDS

    • Falling correlation monitored

      A significant portion of the fall in default correlation has now taken place, according to structure...

  • Insurance-linked securities

    • Hurdles remain for life settlement securitisations

      Far from its growth spurt in 2005 and 2006, life settlement as an asset class still holds some chall...

  • Investors

    • New source of investors seeking SF exposure

      Several consecutive months of positive returns reported by permanent capital vehicles with exposure...

  • RMBS

    • American General deals no panacea for what ails MBS

      Two MBS offerings lining up for American General Financial Services are not exactly causing a rethin...

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• Provider Profile

  • Trading

    • High-touch coverage

      Mike Foggia, evp, and PK Jain, md, at Advisors Asset Management, answer SCI's questions

      Q: How and when did Advisors Asset Management (AAM) become involved in the structured credit market?...

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• Job Swaps

  • ABS

    • ABS flow trader recruited

      BNP Paribas has hired Llywelyn ap Gwilym as an ABS securities flow trader. He will join on Tuesday 6...

  • • Boutique adds in Euro ABS sales

      Jefferies has hired Cyril Paillard as md in MBS/ABS sales in Paris, covering institutional clients i...

  • Advisory

    • Law firm hires SF counsel

      Sidley Austin has appointed Antony Bryceson to its London office as counsel, working in the investme...

  • CDO

    • Structured credit pro hired

      Heritage Capital has appointed Rolf Friedrich as md in the capital markets group covering Germany an...

  • • RPI in profit

      Royal Park Investments (RPI) is expected to book a pre-tax gain of €800m, implying an afte...

  • CDS

    • FGIC spins off CDS exposure

      The second monoline to act last week to mitigate its CDS exposure following Ambac's move (s...

  • • EM credit trading desk prepped

      Macquarie Group is believed to have hired two senior traders from Citi ahead of its launch of an eme...

  • CLO Managers

    • US manager sells CDO management rights

      Crystal River Capital has entered into an agreement with Ranieri Partners Management under which Ran...

  • CLOs

    • New addition to boost US sales strategy

      Naseem Haffar has been hired as US head of loan sales and trading for SG CIB. Haffar has a wealth of...

  • CMBS

    • REITs tap final TALF CMBS subscription

      Two REITs have announced TALF-funded CMBS investments ahead of today's (31 March) conclusion of the...

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• News Round-up

  • ABCP

    • Stable growth expected for Euro ABCP market

      Fitch says the €40bn European ABCP market may see a return to stable growth during the rem...

  • ABS

    • ABS market recommendations released

      The Association of Mortgage Investors, representing institutional investors and asset managers, has...

  • • Avis could revisit market following multi-tranche deal

      Avis Budget Group could possibly return to the ABS markets with another offering by the end of this...

  • • Assured wraps primary ABS

      Assured Guaranty (AGC) has provided a financial guaranty insurance policy for a US$200m aut...

  • • Agency seeks film rating reviews

      DBRS is requesting comments on its proposed rating methodology for global film rights transactions,...

  • • Fitch to comply with amended SEC rules

      Fitch has confirmed its compliance with a number of amendments to rules governing the regulation of...

  • • New pan-European ABS indices introduced

      Barclays Capital has launched new pan-European benchmark bond indices measuring both fixed and float...

  • • Student loan ABS set for cancellation

      Access to Loans for Learning Student Loan Corporation is seeking to amend the Eleventh Supplemental...

  • • Triple-A ratings possible for Greek SF deals

      Greek structured finance and covered bond transactions could achieve triple-A ratings, subject to su...

  • • Valuation platform adds liquidity metrics

      Liquidity metrics for all CDS, evaluated bonds, loans and ABS are to be included in Markit's pricing...

  • CDO

    • Euro CDO RACs explored

      Increasing demand for rating agency confirmations (RACs) on European rated CDO transactions occurred...

  • • CDO risk model launched

      Moody's Analytics has released RiskFrontier 2.4, an update to its portfolio management and economic...

  • CDS

    • California treasurer issues CDS dealer RFC

      California state treasurer Bill Lockyer has written to Bank of America Merrill Lynch, Barclays Capit...

  • • Ambac credit event declared, Aiful settled

      ISDA's Americas Determinations Committee has voted that a bankruptcy credit event has occurred with...

  • • Euro CDS clearer set to open this week

      LCH.Clearnet is expected to officially launch its clearing services for European CDS this week. The...

  • • Approval and caution for EU derivatives regs

      The UK House of Lords EU Committee has confirmed its support of the European Commission's plans to r...

  • • Greece sovereign CDS divergence explained

      Greece's sovereign CDS liquidity significantly diverged from the broader developed market sovereign...

  • CLOs

    • CLO amends WAR calculations

      A supplemental indenture has been entered into between Madison Park Funding I and the Bank of New Yo...

  • • 93% of Euro CLOs downgraded

      S&P has published an update of its rating transitions for European cashflow corporate CLOs t...

  • CMBS

    • Euro CMBS 'threatened' by excessive caution

      Fitch says the credit profile of European CMBS is being threatened by property valuers and loan serv...

  • • Euro CMBS loan repayments to remain low

      Repayment of matured European CMBS loans is expected to remain at low levels until at least the end...

  • • CMBS certificates default on interest shortfalls

      S&P has lowered its ratings of five classes of certificates from five separate US CMBS trans...

  • Indices

    • Default trend reversal in latest ABX remits

      ABX remittance reports for the March distribution date (February collection period) show a turnaroun...

  • Insurance-linked securities

    • Latest cat bond placed

      Swiss Re has privately placed US$120m of protection in the latest offering under its Successor X cat...

  • Monolines

    • Rating agencies act on Ambac

      Moody's has lowered the rating of the senior unsecured debt of Ambac Financial Group to single-C fro...

  • Ratings

    • Moody's assesses SF rating rule implications

      Moody's says it is developing mechanisms in order to comply with the SEC's amended rule 17g-5 for cr...

  • • Fitch publishes SF downgrade tally

      Global structured finance rating activity remained negative in 2009 as the economic downturn deepene...

  • RMBS

    • Obvion offering Dutch RMBS

      Ratings have been assigned to Dutch RMBS STORM 2010-1. The deal has been arranged by Rabobank, which...

  • • Dolphin RMBS refinanced

      Fortis called the class A1, A2, B1, B2, C1, C2, D1, D2, E1 and E2 notes from Dolphin Master Issuer S...

  • • Servicer dilemma for EM RMBS

      Kazakh MBS 2007-1, a US dollar-denominated RMBS backed by Kazakh mortgages, is facing a servicer qua...

  • • Daily valuations offered for growing HMBS market

      Interactive Data is now providing daily independent evaluations for fixed-rate reverse MBS (HMBS) is...

  • Whole business securitisations

    • Gas WBS debuts

      Barclays Capital and RBS on 25 March launched what is believed to be the first-ever securitisation o...

  • • Pub's new strategy branded credit-negative

      Fitch says the new strategic programme announced on 24 March by Mitchells & Butlers Group (M...

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• Research Notes

  • CDS

    • Basis basics in a normalised world - part 1

      In the first of this two-part series, Morgan Stanley credit derivatives strategists Sivan Mahadevan,...

      From the beginnings of the corporate CDS markets, one of the most basic valuation measures has invol...

  • Trading

    • Trading ideas: short again

      Dave Klein, senior research analyst at Credit Derivatives Research, looks at an equity basket trade

      Continued equity outperformance results in shorts outnumbering longs again in our weekly equity bask...

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