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Issue 208 - 10th November

  • News Analysis

    • CLOs

      • Delaying the inevitable?

        Market braces itself for fallout from forced loan extensions

        As the much-debated maturity cliff starts to loom larger on the horizon, focus is increasingly turning to CLO extension risk. While loan extensions might be beneficial in some cases, in others default - whether sooner or later - i...

  • Market Reports

    • ABS

      • New issuance takes precedence in Euro ABS

        The European ABS sector has had a busy week, with a growing volume of new issuance in the primary market taking centre stage. A focus among investors on diversification is helping to boost activity. "The market is relatively busy; new issuance is j...

      • New issuance takes its toll on US secondary ABS

        It has been business as usual in the US secondary ABS market over the past week, with levels holding up to some extent. However, as new issuance increasingly dominates the market, a lack of investor interest in secondary activity is beginning to take...

    • RMBS

      • Euro RMBS market nerves hold

        Primary issuance continues to be at the forefront of European ABS market activity, with another week of newsworthy deals. At the same time, traders report a spike in interest in mezzanine paper in the secondary market. "It's been a steady week, wit...

  • News

    • CDS

      • LBO basket trade touted

        Buying CDS protection on potential LBO candidates has been a popular trade over the past few months. To gain from a short position on a basket of LBO candidates, Goldman Sachs credit strategists estimate that investors need more than 17% of names to...

    • CLOs

      • CLO liquidation risk examined

        Moody's has comprehensively reviewed the indentures and related documents for all US cashflow CLOs it rates and concludes that, notwithstanding the presence of overcollateralisation-based event of default (EOD) triggers and OC haircuts in the documen...

      • LCM VIII progresses

        Further details have emerged on LCM Asset Management's highly-anticipated CLO, the US$300m LCM VIII. The deal is expected to close on 23 November via Bank of America Securities. The CLO comprises US$197m triple-A rated class A notes (which are anti...

    • CMBS

      • Language inconsistency highlighted in Euro CMBS

        European Prime Real Estate 1 recently avoided a sequential redemption event upon the occurrence of an NAI shortfall amount. The fact that a CMBS structure did not capture such an event and pay-out accordingly highlights the lack of language consisten...

      • CMBS interest shortfalls likely containable

        Interest shortfalls are on the rise in US CMBS, but are expected to generally be contained at the BB/BBB level. The probability of single-A exposure is potentially higher for the 2007 vintage, according to MBS analysts at Barclays Capital, although m...

    • RMBS

      • Door 'left open' for Fed MBS purchases

        Under its widely-anticipated second round of quantitative easing, the US Fed is to purchase US$600bn Treasuries outright by June 2011, in addition to US$250bn-US$300bn reinvestment of MBS paydowns in US Treasuries. Contrary to the expectations of som...

      • Likelihood of loan repurchases estimated

        MBS analysts at Barclays Capital have formulated what they describe as a "first-cut" approach to estimating the likelihood of first-lien non-agency loan repurchases. This involved comparing the characteristics and distributions of repurchases with ot...

      • Record agency fails prompt charge speculation

        Failures to deliver in agency MBS reached a new high of US$1.1trn last week. MBS analysts at Barclays Capital suggest that this raises the probability of introducing a fail charge to the market. Historically, fails remained somewhat low until 2H09...

      • Master trusts' ability to pay examined

        In the absence of sponsor support, CPR speeds have a significant bearing on the ability of RMBS master trusts to repay bonds on their scheduled maturities. European ABS analysts at Deutsche Bank suggest that certain UK trusts - such as Holm...

  • Talking Point

    • ABS

      • Roundtable discussion

        The importance of loan-level data for ABS investors

        Large amounts of aggregation and the absence of loan-level data have traditionally made determining the true value of assets in the ABS market difficult. S&P recently held an event at the London Stock Exchange ("Gearing up for European loan-l...

  • Provider Profile

    • Technology

      • Panoramic approach

        Bob Park, ceo and co-founder of FINCAD, answers SCI's questions

        Q: How and when did FINCAD become involved in the structured finance markets? A: FINCAD is a 20-year-old company. Our core competence is building financial analytics for valuation and risk measurement. We have been selling software for the last 19...

  • Job Swaps

      • Rating agency adds SF trio

        DBRS has made a trio of appointments across its US and European structured finance groups. Mike Ba...

      • CRE firm on hiring spree

        The Situs Companies has opened a new office in Atlanta, Georgia, headed by Tammy Ellerbe. As part of...

    • RMBS

      • Bank adds trading heads

        BB&T Capital Markets has appointed Peter Faherty and Jim Maughan to its fixed income trading...

  • News Round-up

    • ABS

      • CSCF exposure sold on

        The Business Development Bank of Canada (BDC) has announced the sale of C$250m ABS - origi...

      • Mortality CLN issued

        Signum Finance Cayman Limited Series 2010-09 has issued US$200m of credit-linked notes that referenc...


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