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Issue 179 - April 7th

• News Analysis

  • RMBS

    • Questions of principal

      Could US forbearance initiatives be replicated in European MBS?

      The non-agency mortgage principal forbearance initiatives currently underway in the US are being see...

  • • HMBS potential

      Reverse mortgage securitisation hinges on housing

      The secondary market for reverse mortgages is still very much a negotiated market. However, particip...

  • LCDS

    • Shot in the arm

      New terms expected to revitalise LCDX tranche trading

      The new bullet LCDS standard terms documentation (SCI passim) was published on 5 April, in tandem wi...

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• News

  • CLOs

    • Increased clarity around CLO consolidations

      Increased clarity regarding the estimated market price of CLO management mandates has emerged due to...

  • CMBS

    • First step towards multi-borrower revival

      A new US$309.7m 144A CMBS offering from RBS Securities marks an important first - albeit '...

  • Insurance-linked securities

    • Cat bond sees good execution

      State Farm Fire & Casualty's new Merna Re II catastrophe bond (see SCI issue 177) saw "good...

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• Provider Profile

  • Technology

    • Demystifying the black box

      Jeremy Hintze, coo at ClearStructure, answers SCI's questions

      Q: How and when did ClearStructure become involved in the structured credit/ABS market? A: ClearStr...

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• Job Swaps

  • CDS

    • Three credit funds launched, another prepped

      BlueMountain Capital Management has raised more than US$250m for three new funds. In addition, the f...

  • • ISDA DC members named

      ISDA has announced the firms that will be members of its five regional Determinations Committees, wh...

  • CLOs

    • CDO acquisitions confirmed

      GSO/Blackstone Debt Funds Management has completed its acquisition of the collateral management agre...

  • Distressed assets

    • Distressed real estate funds closed

      Starwood Capital Group has closed an aggregate of US$2.8bn for its two newest funds: Starwood Global...

  • RMBS

    • New MBS fund launched

      DoubleLine Funds Trust has launched two open-end mutual funds - the DoubleLine Total Retur...

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• News Round-up

  • ABS

    • Hybrid financing facility closes

      Consumer Portfolio Services (CPS) has entered into a new US$50m financing facility. The firm describ...

  • • ECB repo clarifications 'increase ABS eligibility'

      The ECB's recent clarification of ABS eligibility criteria for its repurchase facilities will signif...

  • • Aircraft lease ABS criteria updated

      Fitch has updated its global aircraft operating lease ABS rating criteria. The updated criteria repo...

  • • US auto ABS delinquencies continue to improve

      Delinquency and annualised net losses (ANL) posted year-over-year improvements for the fourth consec...

  • • 24 deals downgraded after Greek review

      The increased credit risk of the Greek sovereign has prompted Moody's to downgrade 24 structured fin...

  • • Stable performance for golf course-backed deals

      The performance of Japanese transactions backed by golf courses is stable, according to a new report...

  • • Canadian credit card ABS stabilising

      Canadian credit card debt performance stabilised in Q409 as the charge-off rate index pulled back to...

  • CDO

    • Maiden Lane holdings revealed

      The New York Fed has made available to the public information on all of the holdings of the Maiden L...

  • • ABS CDO notes repurchased

      IMC Asset Management has bought back a portion of Faxtor ABS 2003-1's €223m Class A-1E not...

  • CDPCs

    • New triple-A rated CDPC prepped

      Moody's has assigned a provisional triple-A counterparty rating to Martello Capital, a newly created...

  • CDS

    • Euro CDS clearing launch confirmed

      LCH.Clearnet has confirmed that it successfully cleared its first CDS index contracts on 29 March, f...

  • • Buy-side clearing account class approved

      The US Commodity Futures Trading Commission (CFTC) has approved final rules that enhance certainty r...

  • • Succession event determination postponed

      ISDA's Americas Determinations Committee has agreed to postpone the deadline for voting on whether a...

  • • Troubled companies index improves again

      The Kamakura index of troubled public companies improved in March for the eleventh time in the last...

  • • Processing platform completes clearing house links

      Tradeweb has confirmed its completion of electronic links to the major derivatives clearing houses....

  • • Bank offers OTC settlements platform

      JPMorgan's securities services business has launched DerivClear, a centralised OTC derivatives platf...

  • CLOs

    • Headline risk still plagues CLO market

      CLO tranches continue to look cheap for their risk compared to similarly-rated corporates, according...

  • • Significant Euro CLO overlap noted

      S&P notes that portfolio characteristics determine the extent to which underlying collateral...

  • • Negative outlook, despite Spanish SME stabilisation

      Fitch says Spanish SME delinquency rates are now showing signs of stabilisation, but maintains its n...

  • CMBS

    • CMBX remittances raise concerns

      Credit deterioration within the CMBS sector remains a growing concern, according to ABS analysts at...

  • • US CMBS delinquencies hit new high

      According to the April 2010 Trepp delinquency report, the delinquency rate for CMBS loans rose sharp...

  • • Signs of Japanese CMBS recovery?

      A new report on Japanese CMBS shows that nine of the loans backing Moody's-rated transactions, amoun...

  • Correlation

    • Correlation stress tests should be 'realistic'

      ISDA, AFME and the British Bankers' Association (BBA) have provided initial analysis and feedback to...

  • Emerging Markets

    • Call for derivatives innovation in Islamic finance

      Moody's says in a new report that a combined use of securitisation and derivatives offers considerab...

  • LCDS

    • LCDX, MCDX roll

      The Markit LCDX.NA and MCDX.NA indices rolled into their fourteenth series on 5 April. LCDX tranche...

  • RMBS

    • Latest FDIC structured sale closed

      A RoundPoint Financial Group subsidiary has purchased a 50% stake in US$490.7m of residential loans...

  • • Integration unlikely to affect GRAN/AIREM investors

      ABS analysts at RBS believe that the planned integration of Northern Rock Asset Management and Bradf...

  • • RBA rate hike won't wreck RMBS

      Moody's says the Reserve Bank of Australia's (RBA) decision on 6 April to raise official interest ra...

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• Research Notes

  • CDS

    • Basis basics in a normalised world - part 2

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

      Measuring the basis: factors to consider The simplest measure of the basis (raw basis) is the diffe...

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