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US CLO improvement powers on as Europe lags behind
A good year is being predicted for US CLOs in 2011, driven by improving new issuance volumes and collateral trends. In c...
23 December 2010
Three more insurance-linked securities deals have closed in the past day - the first longevity trend risk secu...
23 December 2010
Starkly different outlooks for Australian ABS and RMBS
The outlooks for Australian ABS and RMBS are starkly different. While the record ABS volumes seen in 2010 are expected t...
23 December 2010
2011 to be evolutionary, not revolutionary for European ABS
Next year is expected to be a good one for European ABS, albeit somewhat unspectacular. The strong performance of RMBS a...
23 December 2010
It has been an industrious and robust week in the US secondary CLO market, with last week's bid-lists producing high vol...
22 December 2010
Economic, regulatory uncertainty dogs the outlook for US ABS
US ABS issuance volumes are expected to increase by about 10% in 2011 - largely as a function of growth in the...
21 December 2010
Clearing to renew confidence in face of threat to CDS liquidity
Gloomy predictions are being made for credit derivatives, with forecasts for future liquidity in the market divided. The...
21 December 2010
Rumours abound in the CDS market that the European Parliament still harbours a desire to create a single European centra...
21 December 2010
The second catastrophe bond offering from the Lodestone Re programme has closed (see also SCI 1 December). The cedant, C...
20 December 2010
APAC private placement, local currency deals to continue
Asia-Pacific (ex-Australia) structured finance is set to continue to be characterised by private placements and local cu...
20 December 2010
Two new catastrophe listings placed
Two new equity-related placings impacting the insurance-linked securities markets have been announced. A new company inv...
20 December 2010
It has been another quiet week in the European RMBS market, as most participants prepare for end-of-year. However, with...
17 December 2010
About half of all loans transferred to the six largest special servicers in the US CMBS conduit universe - LNR...
15 December 2010
As European CLO market participants begin preparing for year-end, managers report an above average peak in new underlyin...
15 December 2010
The US$2.7bn Beacon Seattle & DC Portfolio loan - one of the largest loans in the US CMBS universe, sp...
14 December 2010
Swiss Re has closed the second collateralised risk obligation from its Vega Capital catastrophe bond programme. The rein...
14 December 2010
The latest catastrophe bond from SCOR's Atlas programme (SCI 24 November) has closed at a higher than expected ̈́...
10 December 2010
Swiss Re has begun marketing the latest in its "Green" catastrophe bond series. The €75m single-tranche Green...
10 December 2010
The main focus of the European secondary ABS market this week has been the controversial Euromax IV MBS CDO liquidation....
9 December 2010
Credit derivative strategists at Morgan Stanley suggest that the beginnings of a transformation in derivatives usage wit...
9 December 2010
Fannie Mae and Freddie Mac are reportedly under pressure to participate in the FHA short refi programme. MBS analysts at...
9 December 2010
Swiss Re's Successor X catastrophe bond programme is to offer its third series of notes. S&P has assigned prelim...
8 December 2010
A sudden rush of bid-list activity emerged in the US CLO market this week. However, despite the Plymouth Rock deal prici...
7 December 2010
Restructured auction-rate and reset-rate securities could become a new source of supply in the student loan ABS sector n...
7 December 2010
Moody's notes in its latest Credit Insight publication that a number of amendments have been made to UK RMBS master trus...
7 December 2010
Two new US CLOs priced last week via Bank of America - GSO's US$400m Morningside Park CLO and PineBridge Inves...
7 December 2010
The European primary ABS market is holding on for increased new issuance - which traders hope will roll in wit...
2 December 2010
RMBS market infrastructure issues remain
Market participants agree that, in the near term at least, European ABS volumes will largely be driven by growth in the...
2 December 2010
Asset overhang weighs on European sentiment
Volatility created by ongoing sovereign debt issues is making it tough to call spread trends in the European ABS and CLO...
2 December 2010
Swiss Re Capital Markets is marketing a new longevity-related 'catastrophe bond'. The as yet unsized Kortis Capital's si...
2 December 2010
The second catastrophe bond offering from the Lodestone Re programme has begun marketing as a US$250m two-tranche deal....
1 December 2010
The current imbalance in the European secondary ABS market is beginning to take its toll. While pricing levels...
30 November 2010
Subprime serious delinquency and loss severity rates are both rising, according to RMBS remittance reports for the 80 de...
30 November 2010
The credit enhancement levels of 2010-vintage US auto ABS trusts have trended lower over recent months, according to ABS...
30 November 2010
CLO manager consolidation shows no signs of slowing and is expected to continue at least through 2011. Both economic and...
30 November 2010
EloC 24 class G noteholders have been invited to vote on the appointment of Palatium Investment Management as operating...
30 November 2010
The recent flurry of activity in the European secondary CLO market has come to a brief standstill, with the sovereign cr...
30 November 2010
Distressed investors forecast ABS leg-down
Distressed investors are predicting a leg-down for the market in the near future. They suggest that while opportunities...
29 November 2010
Portfolio risk managers taking matters into their own hands
The changing investor perception of rating agencies is driving a more independent attitude towards risk management. At t...
29 November 2010
Schedule of CDS introduction in China, India questioned
The introduction of credit derivatives in China and India has been welcomed by market participants. Some are nevertheles...
25 November 2010
Hilton CMBS unlikely to set a trend
The recent privately-placed Bank of America Large Loan Trust transaction, backed by Hilton Worldwide assets, is believed...
25 November 2010
A new asset class is being brought to the insurance-linked securities (ILS) market - medical benefit claims. T...
25 November 2010
Aon Benfield is marketing the latest catastrophe bond from SCOR's Atlas programme. The €60m Euro windstorm and...
24 November 2010
The European CLO market has made an aggressive come-back this week. With Ireland's sovereign crisis addressed, the deman...
23 November 2010
The European ABS market is creeping further into its end-of-year lull, prompted largely, traders say, by Ireland's crisi...
23 November 2010
Current conditions attractive for credit curve trading
Credit curves have steepened dramatically since the credit crisis and are set to become even steeper. Against this backg...
22 November 2010
The US secondary CLO market has seen a dip in activity this week as bid-lists prove to be the only source of supply. The...
19 November 2010
There has been a lull in the European secondary ABS market this week, as investor uncertainty continues to lurk within t...
17 November 2010
Alfons Ideler, director and head of structured finance at Global Credit Ratings (GCR), answers SCI's...
Q: How and when did GCR become involved in structured finance? A: GCR first became active within structured finance ove...
17 November 2010
It has been a mixed week for European secondary RMBS. Although mezzanine paper continues to perform well, Irish sovereig...
16 November 2010
Mariah Re, the first ever catastrophe bond to solely cover severe thunderstorm risk (SCI 27 October) closed yesterday, 1...
16 November 2010
US secondary RMBS has proved resilient to the recent foreclosure scandal and is exhibiting robust pricing levels. At the...
16 November 2010
Price guidance has emerged for three of the four deals currently in the US CLO pipeline. First in the queue is GSO/Bla...
15 November 2010
Expanded skill-sets to become a necessity for RMBS 2.0
Redwood Trust and PennyMac Mortgage Investment Trust each intend to complete RMBS deals early next year, while BlackRock...
15 November 2010
CLO CRD solutions proposed
A CLO originator SPV structure has been proposed as a solution under Article 122a of the European Capital Requirements D...
12 November 2010
Data demands dividing UK lenders
Debate is intensifying about how the UK lending industry will meet the Bank of England's proposed requirements for data...
12 November 2010
A spike in secondary mezzanine and equity flows is driving interest in the European CLO market this week. As prices cont...
11 November 2010
In the absence of sponsor support, CPR speeds have a significant bearing on the ability of RMBS master trusts to repay b...
10 November 2010
Failures to deliver in agency MBS reached a new high of US$1.1trn last week. MBS analysts at Barclays Capital suggest th...
10 November 2010
European Prime Real Estate 1 recently avoided a sequential redemption event upon the occurrence of an NAI shortfall amou...
10 November 2010
Buying CDS protection on potential LBO candidates has been a popular trade over the past few months. To gain from a shor...
10 November 2010
MBS analysts at Barclays Capital have formulated what they describe as a "first-cut" approach to estimating the likeliho...
10 November 2010
Primary issuance continues to be at the forefront of European ABS market activity, with another week of newsworthy deals...
9 November 2010
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 as...
9 November 2010
It has been business as usual in the US secondary ABS market over the past week, with levels holding up to some extent....
8 November 2010
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...
5 November 2010
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 c...
5 November 2010
Further details have emerged on LCM Asset Management's highly-anticipated CLO, the US$300m LCM VIII. The deal is expecte...
5 November 2010
Under its widely-anticipated second round of quantitative easing, the US Fed is to purchase US$600bn Treasuries outright...
4 November 2010
The European ABS sector has had a busy week, with a growing volume of new issuance in the primary market taking centre s...
3 November 2010
Interest shortfalls are on the rise in US CMBS, but are expected to generally be contained at the BB/BBB level. The prob...
3 November 2010
Moody's has comprehensively reviewed the indentures and related documents for all US cashflow CLOs it rates and conclude...
3 November 2010
Regulatory uncertainty, distribution issues limiting CVA market
An increasing number of banks are establishing credit value adjustment (CVA) desks, leading to suggestions that CVA coul...
3 November 2010
It has been a strong and steady week for the European CDO secondary market, with investor demand in the lower end of the...
2 November 2010
It has primarily been business as usual in the US CMBS market this week, with deals pricing as expected and spreads rema...
1 November 2010
AXA's European windstorm catastrophe bond Calypso Capital has closed at nearly double the originally anticipated size (s...
1 November 2010
Property derivatives gain momentum as real estate hedges
Funds that invest in property derivatives remain a rarity. But the recent launch of two new vehicles in the space has mo...
1 November 2010
The Lehman bankruptcy process appears to be positioning to consider compensation amounts in respect of the hedging agree...
1 November 2010
The borrower in the Alburn REC 6 CMBS has announced a tender offer for the outstanding bonds via a single price bid. Aga...
1 November 2010
Put-backs unlikely to become a systemic issue
During a conference hosted by Grais & Ellsworth on robosigning yesterday (27 October), speaker Laurie Goodman fr...
28 October 2010
With a strong start to the week, the European secondary ABS market has seen a high volume of activity - partic...
28 October 2010
The US CLO market is a hive of activity this week as bid-list volumes and potential arbitrage opportunities continue to...
28 October 2010
ABS analysts at Bank of America Merrill Lynch have profiled ABX valuations in light of the ongoing foreclosure issues an...
27 October 2010
Structured credit analysts at JPMorgan have forecast US CLO reinvestment prospects for 2011 to 2014, based on a framewor...
27 October 2010
Swiss Re has printed the latest iterations of its Vita mortality catastrophe bonds (see SCI 13 October 2010). The two tr...
27 October 2010
Javelin Capital Markets has written an open letter on the ongoing US SEC and CFTC discussion about block trading and rea...
27 October 2010
Firms forced into consolidation as tough times take toll
Advisories and broker-dealers in the ABS space are having to adjust to the challenges of operating in a market with redu...
26 October 2010
A panel discussion hosted by Interactive Data last week examined the findings of a new A-Team Group survey, 'Valuations...
26 October 2010
Mariah Re, the first-ever catastrophe bond to solely cover severe thunderstorm risk, is being marketed by Aon Benfield o...
26 October 2010
Traders in the European RMBS market have been focused on the primary market over the past few days, with the emergence &...
25 October 2010
Frank Iacono, partner at Riverside Risk Advisors, answers SCI's questions
Q: How and when did Riverside Risk Advisors become involved in the structured finance markets? A: Although we formally...
25 October 2010
Public sales proving positive for US CMBS market
US CMBS liquidation volumes via public sales average almost US$200m a month and are expected to remain elevated as unpre...
25 October 2010
Highly priced assets, together with the current focus on the mortgage foreclosure scandal are driving forces in the US R...
21 October 2010
Prytania Investment Advisors, in collaboration with Austrian firm Kuperstein, is prepping a fund designed to help financ...
21 October 2010
Opportunities abound as listed credit hedge funds start to reappear
Credit hedge funds have a plethora of opportunities open to them if they are savvy enough to exploit them. Europe's larg...
20 October 2010
Ann Hambly, ceo, and Brock Andrus, managing partner at 1st Service Solutions, answer SCI's questions
Q: How and when did 1st Service Solutions become involved in the structured finance market? AH: I've been in the servic...
20 October 2010
Conor Houlihan, partner with Dillon Eustace, discusses investment opportunities in Irish distressed ...
Ireland's well-documented property-fuelled boom has come to a crashing halt, leaving billions of euros of distressed ass...
20 October 2010
Estimates of mortgage servicers' and originators' potential liability for breaches of representations and warranties and...
20 October 2010
A number of factors are behind the rally in the Markit CMBX indices in recent months. While some of these factors are du...
19 October 2010
The demonstrated ability of CLOs to behave as advertised - in other words, shutting off proceeds to junior not...
19 October 2010
With new issuance creating investor opportunity across both primary and secondary markets, the European CLO sector has s...
19 October 2010
European asset-backed analysts at RBS note that Irish RMBS appear to be caught in a pincer movement between the deterior...
19 October 2010
Structured credit analysts at Citi estimate that US$2.5bn US CLO BWICs hit the market in September - the highe...
18 October 2010
With a steady and positive flow of activity, it has been an active week across all parts of the European ABS market this...
15 October 2010
Structured finance and derivatives valuation issues discussed
The 2010 SCI Guide to Pricing and Valuation. As with the highly popular 2009 Guide, the 2010 edition is downloadable in...
15 October 2010
European distressed debt market finally set for activity
One of the most interesting effects of the global economic crisis has been that the European distressed debt market has...
13 October 2010
Re-emergence of UK non-conforming RMBS gains momentum
The re-emergence of UK non-conforming RMBS is gaining momentum, with Kensington's RMS 25 expected to print next week and...
13 October 2010
M&B leads the way for pub sector WBS, as others struggle
Results recently released by Mitchells and Butlers show the company has performed strongly and above expectations. M&...
13 October 2010
CDS framework suggested as solution to Rule 436(g) repeal
The end of the reprieve on the repeal of Rule 436(g) - 24 January - is nearing, without the industry...
13 October 2010
Investor opportunity and bid-list volumes in the US CLO market are creating a resurgence of interest across the capital...
13 October 2010
The European primary RMBS market received a boost this week with the emergence of the first-ever Japanese yen-denominate...
13 October 2010
Announcements from Hatfield Philips regarding consultation processes with the noteholders of both Titan Europe 2006-3 an...
13 October 2010
Moody's is reviewing the ratings of 277 tranches across 19 US CMBS, with a current balance of US$16.3bn, citing higher-t...
13 October 2010
To measure the impact of extended foreclosure periods on servicing costs, Moody's ran a hypothetical timeline scenario b...
13 October 2010
In the third article of a series on structured credit valuations, R2 Financial Technologies ceo Dan ...
Simple bond versus Monte Carlo In the previous column (see SCI issue 197), I discussed the importance of understanding...
13 October 2010
Tim Backshall, chief strategist at Credit Derivatives Research, looks at a sovereign-FX pairs trade
The enthusiasm for euros over US dollars has been incredible over the past few months. Started by a short squeeze and ex...
13 October 2010
Holmes restructuring to set precedent?
Just days after rumours began circulating that Northern Rock Asset Management's (NRAM) Granite master trust could be set...
6 October 2010
Increasing EM allocations could reignite structured appetite
The sovereign debt crisis in Europe and ongoing budget issues in a number of US states have served to switch investor at...
6 October 2010
The Dodd-Frank Act could have as large an impact on the financial services industry as the 1933 Glass-Steagall Act, acco...
6 October 2010
Modified loans are estimated to account for approximately 3% of the outstanding US CMBS universe, but their concentratio...
6 October 2010
In a recent survey of 127 US CLO managers undertaken by S&P, 63% of respondents said that they're contemplating...
6 October 2010
Despite many people being under the impression that US 'CMBS 2.0' is a radical departure from what came before, much rem...
6 October 2010
Valuations for some CLO equity tranches have in recent weeks been observed as high as CLO subordinate or mezzanine debt...
6 October 2010
Chase Home Finance and Bank of America last week suspended foreclosure proceedings in 23 states, as they investigate pos...
6 October 2010
The grant of appeal and language used by the judge in a recent Lehman CDO ruling are positive developments for the inves...
6 October 2010
European CMBS loan-level delinquencies, defaults and transfers to special servicing were relatively low in number last m...
6 October 2010
Mark Davies of Cedar Analytics hopes that high quality ABCP finds its way back onto the market under...
In the hubbub surrounding the newly published 'Basel 3', regulated entities run the risk of losing sight of a couple of...
6 October 2010
Investors seek ways to hedge against tail risk
With uncertainty continuing to dog the markets, more and more investors are looking to protect themselves. Concerns over...
29 September 2010
Euro CMBS servicers adapting to new challenges
The role of CMBS servicers in Europe has changed significantly post-crisis. Challenges remain, however, as the market pr...
29 September 2010
Redrawn index tranches set to bring liquidity
Tranche trading on the new Markit CDX.IG.15 index began yesterday, 28 September, following a redrawing of the capital st...
29 September 2010
GMAC servicing issues weigh on shadow inventory
The furore over servicing issues at GMAC Mortgage (see last issue) continued this week, as Ally Financial released furth...
29 September 2010
The secondary US CLO market has been extremely active over the past week, with mezzanine paper attracting the most atten...
29 September 2010
There has been a positive continuation of activity in the European ABS market over the past week, with Spanish, Portugue...
29 September 2010
Sponsors of competing reorganisation plans in the pending Innkeepers USA Trust bankruptcy case will meet on Thursday (30...
29 September 2010
MBS analysts at Bank of America Merrill Lynch suggest that a 'PPIP 2.0' should be included as part of the upcoming GSE r...
29 September 2010
The FDIC has approved a final rule to extend through to 31 December its securitisation safe harbour, under which all tra...
29 September 2010
Morrison & Foerster partners Peter Green and Jeremy Jennings-Mares discussed at a seminar the firm hosted on 23...
29 September 2010
BTIG's London ceo Gary Hayes and Russell Scott, md and head of CEEMEA trading at the firm, answer SC...
Q: How and when did your firm become involved in the structured finance markets? GH: BTIG was growing - mostl...
29 September 2010
Should seasoned ABS deals be priced differently?
The fact that some US auto loan ABS paper is currently trading at premium dollar prices has sparked concern that rising...
22 September 2010
CDS and CLN hedges for rate risk suggested
The current interest rate environment and changes anticipated in the short- to medium-term are creating challenges for c...
22 September 2010
GMAC episode heightens concern over foreclosure glut
Ally Financial has denied that GMAC Mortgage instituted a moratorium on all residential foreclosures across 23 states in...
22 September 2010
JPMorgan's latest CLO investor survey reveals that the majority of clients are less pessimistic about fundamentals and h...
22 September 2010
Preparations in place for OTC transparency
ISDA's 2010 Regional Conference in London yesterday focused on, among other areas, global developments in OTC derivative...
22 September 2010
Article 122a leaves investors in quandary
The window for commenting on Article 122a of the Capital Requirements Directive (CRD) is closing quickly, but before the...
15 September 2010
David Hinman, cio, and Raymond Zucaro, managing principal at SW Asset Management, answer SCI's quest...
Q: How and when did your company become involved in structured finance? DH: We were involved in structured credit at Dr...
15 September 2010
The necessary quorum of noteholders has voted in favour of the restructuring proposals for Titan 2006-4FS, staving off a...
15 September 2010
Distressed CRE prices pushing beyond fundamental value
An artificially constrained supply of US distressed commercial real estate is driving asset prices up beyond their funda...
15 September 2010
Wake-up call for CDO equity investors
The failure to replace the collateral manager on Flatiron CLO 2003-1 and 2004-1 last month (see last issue) highlights t...
8 September 2010
Healthy outlook for European new issuance
The successful pricing of Santander's Fosse Master Issuer 2010-4 RMBS has been taken as a positive sign for European pri...
8 September 2010
State support helps securitisation market get back on track
The Russian RMBS market is showing signs of life, spurred on by the government. Programmes launched by the Agency for Ho...
8 September 2010
CDO management contracts continue to trade well
Prices for CDO management contracts continue to trade well. The window of opportunity will only last as long as the new...
8 September 2010
The ILS market appears to be regaining its confidence following the effective closure it experienced between late 2008 a...
8 September 2010
ABS recruitment begins to pick up as market returns
After a couple of difficult years in structured finance, 2010 has hinted at a return to normality as the market starts t...
1 September 2010
REMIC grandfathering to assist servicers
CMBS servicers and borrowers with distressed multi-property loans received a reprieve from confusing IRS regulations las...
1 September 2010
Troubled loan buy-backs on the rise
A raft of troubled mortgages is being returned to their originators, as Fannie Mae and Freddie Mac exercise their put-ba...
1 September 2010
BDCs could help kick-start the CLO market
Business development companies (BDCs) could be set to become the new source of the structured credit bid. Golub Capital...
18 August 2010
Loopholes remain in GSE reform proposals
Amid what works and doesn't work in reforming the GSEs, one thing remains certain - the US government's firm g...
18 August 2010
New structural features boost US CMBS
A pair of new US CMBS transactions priced over the last fortnight (see also last issue). The structural innovations of o...
18 August 2010
US covered bond developments debated
Congress is set to debate the Covered Bonds Act next month - a move that has been welcomed by investors lookin...
18 August 2010
New service to address audit and corporate governance issues
As the degree of challenge that auditors and financial institutions' audit committees are able to bring to in-house valu...
18 August 2010
Private equity adds to servicing logjam
Private equity firms' chokehold on CMBS special servicing is getting stronger. LNR Property Corp's recapitalisation last...
4 August 2010
New OTC trading platforms could boost the CDS market
The regulatory push taking place in the US has helped spawn the creation of a new electronic trading platform, which sho...
4 August 2010
Fear of mass refinancing spooks agency MBS market
Fear of mass government-sponsored refinancing in agency MBS spooked investors last week. With the market trading at a pr...
4 August 2010
The American Securitization Forum, CRE Finance Council and SIFMA have submitted letters to the US SEC, offering broad su...
4 August 2010
Stress-test positives outweigh negatives
CEBS published the results of the European stress tests on 23 July, indicating that seven banks had failed them. Althoug...
28 July 2010
Latest HAMP figures show low redefault rates, but may not tell whole story
The recidivism rate for permanently modified HAMP loans has been published for the first time by the US Treasury Departm...
28 July 2010
New structures anticipated to deal with legacy assets
Banks are estimated to hold 80%-85%, or €550bn in volume, of outstanding European legacy ABS as at mid-June. H...
28 July 2010
European RMBS market eases past stress tests and moves tighter
The European RMBS secondary market has seen seasonally-typical thin volumes over the past week or so. However, a return...
28 July 2010
Dodd-Frank arbitrage pondered as SEC blinks first
The Dodd-Frank Act, which effectively repeals Rule 436(g) of the Securities Act, has many ABS practitioners and industry...
28 July 2010