22 February 2012
RMBS
FHFA acting director Edward DeMarco yesterday sent Congress a strategic plan for the next phase of the conservatorships of Fannie Mae and Freddie Mac. However, it appears not to be the concrete plan of action that some were hoping for.
The FHFA pla...
20 February 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineIt has been another busy week for the pipeline, with six new deals remaining on Friday. Two auto ABS (R$930m Driver Brasil One FIDC and €92.3m TruckLease Compartment No 2), two cell tower CMBS (US$107m GTP Cellular Sites series 2012...
17 February 2012
Structured Finance
Attractive opportunities seen across asset classes
A more 'risk-on' attitude has been evident across the securitisation markets recently, despite the sector facing many of the same headwinds this year as in 2011. While the sovereign debt crisis might mean that certain jurisdictions are off-limits for...
17 February 2012
RMBS
Relative merits of covered bonds versus RMBS discussed
Interest in covered bonds continues to grow, partly due to favourable regulatory treatment. However, panellists at a recent covered bond seminar hosted by S&P highlighted the potential dangers of over-promoting the instruments at the expense...
17 February 2012
CMBS
Blackrock's iShares has launched an exchange-traded fund referencing the Barclays Capital US CMBS (ERISA Only) Index. Should the product grow significantly from its initial size of US$7.4m, it could prove a useful addition to the array of trading ins...
16 February 2012
CMBS
The strong rally in the US CMBS market has eased off over the last two weeks. Trading is currently concentrated around AM and AJ tranches, with activity expected to pick up again in the near future.
"The CMBS market has changed a lot over the last...
16 February 2012
CLOs
RBS analysts have run a series of scenarios to investigate the impact of another credit cycle similar to the one seen in 2008-2011. They find CLOs to be highly resilient during periods of high defaults and advocate investing as far down the capital s...
16 February 2012
RMBS
UK RMBS issuers began providing loan-level data and cashflow models to investors - as required by the Bank of England (SCI 31 October 2011) - in November. JPMorgan ABS strategists have analysed the loan tapes, with the aim of prov...
15 February 2012
Structured Finance
Richard Cooperstein, president of RangeMark Analytics, answers SCI's questions
Q: How and when did RangeMark Analytics become involved in the structured finance markets?
A: RangeMark Analytics was formed when I joined RangeMark Financial Services along with my analytics platform - Fixed-Income Valuation Platform (SCI...
14 February 2012
Risk Management
DVA best practises still evolving
Debt value adjustment (DVA) became a hot topic when banks announced their 3Q11 earnings, due to the magnitude and direction of the amounts reported. Best practises for pricing and hedging DVA have yet to be established, with swings in this component...
14 February 2012
CLOs
Last week was one of the busiest the US secondary CLO market has seen since 2Q11. Bid list volume was US$1.3bn, the largest weekly amount in a year.
Trading off the lists was strong and 99% of paper was traded, with the Street taking down about hal...
14 February 2012
CMBS
The Retreat at Stonebridge Ranch loan securitised in the Freddie Mac SPC Series K-704 CMBS was transferred to special servicing yesterday. It is believed to be the first time this has happened to a large loan securitised in the Freddie Mac K series.
...
13 February 2012
RMBS
The rally in US non-agency RMBS continued last week, but may now be getting ahead of itself. Subprime prices were up by half a point or a point on the week, while average generic spreads on non-investment grade bonds were between 25bp and 50bp.
RMB...
13 February 2012
CDS
Index CCDS launch approaches
Credit derivative dealers and CVA desks are gearing up for the introduction of index-linked contingent CDS (CCDS), which it is hoped will not only constitute an effective hedge for CVA regulatory capital charges, but will also be more liquid and cost...
13 February 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineMany deals entered the pipeline last week only to price by the end of it. Only two transactions remained on Friday: a £1.01bn whole business securitisation sponsored by Center Parcs (CPUK Finance) and a US$75m ILS from Munich Re (Que...
10 February 2012
ABS
Thierry Berthold, co-head of insurance and European structured credit solutions at Natixis in Paris,...
There is good reason to be optimistic for the catastrophe bond market in 2012, particularly in Europe. Asset managers are showing an increasing willingness to accept cat bonds as a viable asset class and the increase in new capital via dedicated ILS...
10 February 2012
CMBS
Large 'geo-series' CRE sales posted on auction.com helped drive US CMBS conduit liquidation volumes in 2011. The signs are that in the first part of this year at least they will continue to have a major impact on the sector.
Auction.com has already...
10 February 2012
RMBS
The US federal government and 49 state attorneys general (all states except Oklahoma) have reached a US$25bn agreement with the nation's five largest mortgage servicers to address mortgage loan servicing and foreclosure abuses (SCI passim). The move...
9 February 2012
CLOs
There has been a rally in European CLOs over the last couple of weeks. Activity has picked up dramatically after the slow start to the year and one trader believes this could be just the beginning.
"CLO-land has seen quite a bit of activity over th...
8 February 2012
RMBS
Loss severity varies across US mortgage servicers by about 14 points: servicers with lower advance rates tend to have lower severity prints, while those with longer timelines have higher prints. ABS analysts at Bank of America Merrill Lynch expect lo...
8 February 2012
CMBS
The elevated levels of liquidation volumes in the US conduit CMBS universe seen last year have continued into 2012 and, at the same time, loan loss severities have been rising steadily since the middle of last year. A new report from US CMBS...
8 February 2012
Structured Finance
Sovereign default and re-denomination risk remain
European structured finance trading and issuance trends have been impacted by wider concerns stemming from the European sovereign debt crisis - particularly towards the end of 2011, when spreads moved steadily wider and issuers shied away f...
7 February 2012
Structured Finance
Acceptance of lower-rated securities, different criteria to broaden
Sovereign rating ceilings - once a consideration only for emerging market credit structures - began to matter last year for the first time in European ABS. Given the consequent difficulty of securing a triple-A rating for many iss...
7 February 2012
CLOs
The threat of a new recession in Europe has highlighted that the performance of a few issuers could have negative repercussions for the entire European CLO universe, according to Moody's in its latest CLO Interest publication. Having studied the broa...
6 February 2012
CMBS
An increase in dispositions of larger CMBS loans in the coming months would not be a surprise, according to Citi securitised products analysts. They argue that there are three drivers behind such an expectation.
First, while special servicers may c...
6 February 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
Principal Residential Investment Mortgages 1, a €178.6m RMBS, entered the pipeline last week. It was joined by Rhode Island Student Loan Authority 2012A, a US$17.94m student loan ABS. Credit Suisse Asset Management's latest CLO, M...
3 February 2012
CLOs
The latest Wells Fargo Structured Products Monthly examines TRACE trade data for the structured credit sector from mid-August 2011 onwards. US CLO analysts at the bank find that, thus far, the data largely matches conventional wisdom espoused by CLO...
3 February 2012
CMBS
Sainsbury's has disclosed that it may not redeem the Eddystone Finance CMBS on its April 2013 step-up date. How principal will be allocated to the notes post non-call remains unclear, however.
European CMBS strategists at Barclays Capital believe t...
2 February 2012
CDS
CDS indices experienced a strong rally during the first month of the year, with credit investors adding risk on both sides of the Atlantic. Indeed, the CDS-cash basis turned significantly more negative in January, as CDS outperformed the cash market....
1 February 2012
CMBS
The latest documents released as part of PJ Alliance's bankruptcy filing reveal a new reorganisation plan, which is expected to be reflected in a modification of the US$475m Alliance SAFD-PJ portfolio loan securitised in CSMC 2007-C2. Although conces...
1 February 2012
RMBS
The latest Granite UK RMBS investor report shows that the master trust passed a minor milestone in December, by finally completing the top-up of reserve funds to their increased levels following the breach of the arrears and step-up triggers. The com...
30 January 2012
CMBS
January has proved to be a productive month for US CMBS and last week was no exception to that trend. New issuance has been well received and spreads in both the primary and secondary market are tightening.
"The huge change in sentiment lately has...
30 January 2012
CLOs
Positive market sentiment drives CLOs tighter
Buoyed by bullish sentiment in the broader capital markets, US CLOs have started 2012 on a positive footing. Primary issuance spreads are narrowing relative to late-2011 levels, while robust secondary market activity has been subject to increasing bi...
30 January 2012
RMBS
HAMP programme guidelines have been expanded, with the intention of helping a broader array of borrowers receive loan modifications. The changes are expected to be potentially significant for modification volumes.
Among the key changes announced on...
30 January 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineA further three deals joined the pipeline last week. Two auto ABS deals (€460m FCT TitriSocram Compartment TitriSocram 2012-1 and €561.8m Red & Black Auto Germany 1) and one RMBS - Lloyds' Arkle 2012-1 &a...
27 January 2012
CMBS
Tiering within European CMBS is gradually forcing the best and the worst loans to leave the universe. Absent new primary issuance, this trend could result in European CMBS morphing into a non-performing loan asset class in which the securitised colla...
26 January 2012
Structured Finance
Traditional recruitment cycle yet to begin
Structured finance recruitment tailed off towards the end of last year and the early signs are that it will take a while to restart this year. Despite the generally muted outlook, pockets of hiring activity remain.
After the groundwork has been don...
26 January 2012
RMBS
RMBS continues to lead the way for the European securitisation markets. Secondary trading in the sector is active, with the benchmark Granite programme in particular attracting interest.
"The market has exhibited a pretty positive tone over the las...
26 January 2012
CDS
CAC proposal could eliminate need to sidestep CDS trigger
Serious questions are being raised about the future of CDS, following a recent credit event (see box) and the ongoing euro area sovereign crisis. However, a recent proposal by the Greek finance ministry could satisfy all parties concerned -...
25 January 2012
RMBS
President Obama's State of the Union address yesterday included a section on mortgage refinancing initiatives. However, while MBS valuations could see a knee-jerk reaction as a result, ultimately the chances of this programme winning Congressional pa...
24 January 2012
Structured Finance
The European securitisation market has begun 2012 on a positive footing: buoyed by a rally in European risk assets that was prompted by the ECB's LTRO programme, both ABS and RMBS have been better bid on the secondary market since the start of the ye...
24 January 2012
CMBS
The wrangling over the JW Marriott Las Vegas Resort & Spa loan, securitised in CSMC 2007-TFLA, continues. CMBS investors are concerned that the case could set a negative precedent that may result in further artificially low valuations benefit...
24 January 2012
CDS
Anu Munshi, partner at B&B Structured Finance, explores the impact of debt restructuring on CDS ...
An old school friend with a great business idea comes to you and three other similarly well-off school friends and asks if you'd lend him money for his business. He needs US$40,000 and expects he can pay it back in one year with 10% interest. The fou...
23 January 2012
CMBS
Thirty European CMBS loans, accounting for €1.8bn, are due to mature this month. Issuer notifications regarding these loans have not been positive to date and this trend is expected to continue for the most part.
Of the loans maturing thi...
23 January 2012
CLOs
Synthetic balance sheet CLOs are one of the few asset classes within the Asia (ex-Japan) structured credit market tipped for growth in 2012 as banks look to employ the structure for regulatory capital relief trades (SCI 23 December 2011). Investor in...
23 January 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineThe increased rate of deals entering the pipeline continued last week with seven new names announced. Two CMBS deals (US$1bn Freddie Mac SPC series K-705 and US$1.154bn GS MST 2012-GC6) were joined by two Canadian ABS transactions (Master Cre...
20 January 2012
CDS
Trade execution, fragmentation in the spotlight
The issues of anonymity and real-time trade acceptance under Dodd-Frank appear to be splitting the OTC derivatives dealer community. At the same time, the competitive landscape is also proving tricky for CCPs.
"Real-time trading is at the heart of...
20 January 2012
CMBS
The European secondary CMBS market has seen a pick-up in activity over the last few days. However, activity is effectively limited to smaller players and broader market involvement still remains elusive.
"The market has not been extremely busy and...
19 January 2012
CMBS
CMBS loan mod, refi likelihood explored
December saw the second highest volume of US CMBS loan modifications ever, after the GGP-related spike in 2010. The most visible increase in liquidations during the month, meanwhile, came from the 2007 vintage - ahead of the wave of five-ye...
19 January 2012
Structured Finance
Corporate trust service providers explore post-crisis landscape
Representatives from leading corporate trust service providers met with SCI late last year to discuss the post-financial crisis trustee and agency landscape. Regulatory and market infrastructure challenges were at the forefront of their minds. (The f...
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SCI - An Introduction
SCI is a publisher of news analysis and data on the structured credit and Asset backed securities (ABS) markets.
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Our coverage is divided into news channels, so if you're looking for coverage of, for example Collateralised loan obligations (CLO), Residential mortgage backed securities (RMBS), Commercial mortgage backed securities (CMBS), Collateralised debt obligations (CDO), Credit default swap (CDS) or Insurance linked securities (ILS) we've got it covered. And there are several other news categories besides, covering all aspects of structured finance. SCI is aimed at the buy-side; our mission is to provide deeper and more accurate coverage of structured finance to market participants than is available elsewhere. Our readership includes portfolio managers, broker-dealers, hedge funds, CDO managers, asset managers, banks and CFOs the world over. Register for a two week free trial today or subscribe to SCI.
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Also see SCI's sister publications STORM (Synthetic Transfer of Risk Markets). And recently launched is a specialist newsletter for the commercial real estate markets, CRE Finance, which looks at property derivatives, REITs, structured finance and underlying trends in the CRE markets globally, and which also features a comprehensive deal database
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