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Issue 519 - 16th December

  • News Analysis

      • Odd-lot strategies

        Price exploitation likely more widespread

        The US SEC recently fined PIMCO US$20m for misleading investors about the value of MBS odd lots in its BOND Total Return ETF. Valuing odd lots - particularly MBS - can be somewhat of a grey area and it is likely that PIMCO is not...

    • Capital Relief Trades

      • Learning by doing

        Issuers weigh capital relief opportunities and challenges

        Capital relief trades, also called risk sharing trades, can provide issuing banks with several advantages. However, the transactions are not always well understood by the wider market and even those banks that are involved are learning lessons with e...

      • Coupon clippers

        Euro CLO refi activity to accelerate

        Refinancing activity is expected to accelerate in Europe in the coming year as the cost of funding encourages more CLO managers to employ the option. Anticipating the impending refinancing wave is deemed significant from both a market value and portf...

    • Structured Finance

      • Comfort zone

        Investor interest in SFR muted, despite potential

        A backdrop of declining homeownership in the US and a growing number of renters is driving growth in the single-family rental (SFR) securitisation market. However, limited volume, call risk and operational issues mean that the sector can be overlooke...

  • SCIWire

    • Secondary markets

      • Euro ABS/MBS ticks over

        The European ABS/MBS secondary market continues to tick over. As with the previous week it's been...

      • US CLOs stay strong

        The US CLO secondary market remains strong. "There's not a huge amount going on because of the tim...

      • Euro secondary unmoved

        The Fed's announcement yesterday appears to have had little effect so far as the European securitisa...

      • US CLOs keep tight

        US CLO secondary spreads are keeping tight as demand continues. "Secondary is still very tight des...

  • News

    • Structured Finance

      • SCI Start the Week - 12 December

        A look at the major activity in structured finance over the past seven days

        PipelinePipeline entrants were mixed last week. Three ABS, four CMBS and two RMBS were newly announced. The ABS comprised: A$306.9m FP Turbo Series 2016-1 Trust, US$100m Scala Funding Company Series 2016-1 and US$505.15m TCF Auto Receivables Owner...

    • Capital Relief Trades

      • Second Salisbury prices wider

        Lloyds has closed a capital relief trade referencing a £2.1bn granular portfolio of UK SME loans. The 10-year Salisbury II Securities 2016 deal pays Libor plus 12%, above the plus 10.25% print of the lender's previous Salisbury Securities 20...

    • CDS

      • Contagion risk examined

        The latest Office of Financial Research working paper analyses counterparty exposures in the credit default swap market and examines the impact of severe credit shocks on the demand for variation margin. In contrast to the prevailing view that CCPs c...

    • CMBS

      • Houston exposure eyed

        Morningstar Credit Ratings added seven US CMBS loans backed by Houston collateral to its watchlist in November, totalling US$263.5m in UPB, which was over two times the balance added for the second-most active market - Washington, DC. Over the past 1...

    • NPLs

      • NPL ABS volumes gauged

        Current global non-performing loan assets could translate to potential securitisation volumes of US$270bn-US$900bn, assuming a 15%-50% discount to the par value, according to S&P estimates. However, given that new NPLs may only arise as insti...

    • RMBS

      • Inaugural online RMBS prepped

        SoFi is in the market with its inaugural RMBS transaction, dubbed SoFi Mortgage Trust 2016-1. The US$168.79m deal comprises 36 classes of mortgage-pass through certificates backed by prime jumbo mortgage loans originated via SoFi's online le...

  • Job Swaps

    • ABS

      • Firm hires aviation pro

        Cross Ocean Partners has hired Brandt Wilson as partner and head of asset investment strategies.&...

    • Structured Finance

      • Italian expertise enhanced

        Tikehau Capital has appointed Andrea Potsios as senior advisor to reinforce its Italian team's exper...

      • EM team bulks up

        Nomura has hired Dimitrios Vlachos as an associate for its emerging markets division. He joins the s...

      • Solutions group formed

        CST Trust Company has entered the Canadian custody market as a National Housing Act (NHA) MBS custod...

      • Replacement chiefs named

        Och-Ziff Capital Management has named Alesia Haas cfo and David Levine chief legal officer. Current...

    • Risk Management

      • CME management beefs up

        CME Group has appointed Kim Taylor and Julie Winkler to new roles on its management team. The pair w...

      • Executive promotions inked

        PennyMac Mortgage Investment Trust has announced changes in the roles of six executive officers in c...

  • News Round-up

    • Structured Finance

      • Euro issuance drops

        €40.2bn of securitised product was issued in Europe in 3Q16, according to AFME's latest se...

    • CLOs

      • Innovative CLO structured

        AllianceBernstein subsidiary AB Private Credit Investors has priced its inaugural middle-market CLO....

      • Maturity wall shrinking

        Almost US$190bn of US CRE loans in CMBS loans have been paid off or liquidated from the start of 201...

    • NPLs

      • Mammoth NPL ABS planned

        UniCredit has unveiled plans to divest €17.7bn of NPLs, as part of an effort to deleverage...

      • Non-QM market 'maturing'

        Caliber Home Loans has closed the US$225.75m COLT 2016-3 Mortgage Loan Trust, the first post-crisis...


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