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Issue 140 - June 10th

• News Analysis

  • ABS

    • New look

      Second-generation ABS opportunity funds gain traction

      A handful of established managers have set out plans to start investing in European ABS in recent we...

  • Trading

    • Hedging hangover

      Little awareness of policymaker impact on risk management

      The spread differential between deals that are TALF-eligible and those that aren't reflects the US g...

  • Documentation

    • 'Small bang' approaches

      European CDS convention changes unveiled

      Two key initiatives for the European CDS market were announced on Monday: the move to trading fixed...

  • Regulation

    • Reform agenda

      But already-available disclosure largely ignored

      European securitisation practitioners have urged policymakers to base regulatory reform on economics...

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• News

  • Operations

    • UK guaranteed RMBS notable by absence

      The UK government unveiled its £50bn ABS guarantee scheme (ABSGS) on 22 April, but there is...

  • RMBS

    • Countrywide executives charged with fraud

      The US SEC has charged former Countrywide Financial ceo Angelo Mozilo and two other former executive...

  • Trading

    • CDS auction-based trading strategies revealed

      As the number of credit event auctions has increased in recent months, certain trends have begun to...

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• Job Swaps

  • ABS

    • Euro ABS fund minted

      P&G Alternative Investments is launching the P&G ABS (UCITS) Fund - a fund...

  • Alternative assets

    • Three more firms settle ARS charges

      The US SEC has announced finalised settlements with Bank of America, RBC Capital Markets and Deutsch...

  • • TRUPS buyback sees Kodiak sub notes cancelled

      Feldman Mall Properties (FMP) has completed a transaction with the Kodiak CDO I and II transactions...

  • CLO Managers

    • CDO's management duties transferred

      BAREP Asset Management has transferred the management of Lafayette Sovereign CDO 1 to Socié...

  • CMBS

    • Real estate firm makes strategic hires

      Commercial real estate investment firm M West Holdings has hired Andrew Paulson as asset manager and...

  • • CMBS servicer acquired

      Capita has acquired the European loan administration, asset management administration and CMBS admin...

  • • New CMSA president appointed

      Pat Sargent has been appointed president of CMSA for the upcoming year. Sargent is a partner with An...

  • Distressed assets

    • Dislocation fund set to launch next month

      Chenavari Credit Partners is set to launch its stand-alone credit opportunity fund - the C...

  • Emerging Markets

    • Bank buys stake in structured credit manager

      Saxo Bank has purchased 51% of the share capital of emerging market fixed income manager Global Evol...

  • Investors

    • Manager plans two TALF strategies

      Standish Mellon Asset Management, the fixed income specialist for BNY Mellon Asset Management, is to...

  • • Risk management head appointed

      SPM has named Marc Holtz as md and head of risk management. He will help develop, maintain and manag...

  • • Dynamic investment strategy launched

      PIMCO has launched its Global Advantage Strategy, which is designed to help fixed income investors s...

  • Operations

    • ICMA appoints new ceo and president

      The International Capital Market Association (ICMA) has appointed Martin Scheck as chief executive a...

  • RMBS

    • RMBS fund offered to wider investment community

      TwentyFour Asset Management is launching a new fund that will invest in RMBS.  The...

  • Technology

    • Pricing Partners and Thomson Reuters team up

      Pricing Partners has confirmed its choice of Thomson Reuters DataScope to feed its independent valua...

  • Trading

    • Knight readies Euro credit platform

      Knight Libertas UK has established a European credit sales and trading team based in London. Effecti...

  • • Pair named for trading and advisory

      Investment bank Westwood Capital and its advisory affiliate, Westwood Capital Advisors, have hired J...

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• News Round-up

  • CDPCs

    • CDPC downgraded, rating withdrawn

      S&P has lowered its issuer credit, senior debt, senior subordinated debt and preferred share...

  • CDS

    • Auctions continue apace

      The final result of the HLI Operating Company LCDS auction yesterday, 9 June, was 9.5. Nine dealers...

  • • GM net funds transfer confirmed

      To dispel concerns about the impact that GM's bankruptcy filing may have on the market and its risk...

  • CLOs

    • Rally in CLOs continues

      US indicative CLO spreads are continuing their tightening trend. According to figures from JPMorgan...

  • CMBS

    • Fitch CMBS downgrades to average two notches

      While rating actions across the capital structure of many recent vintage US CMBS transactions will b...

  • • CMBS servicer criteria updated

      Fitch is updating its US CMBS servicer rating criteria to reflect current commercial real estate mar...

  • Correlation

    • Equity correlations increase

      The speed of junior tranche tightening in Europe has caused equity correlations to increase, in cont...

  • Documentation

    • Rating agencies call for greater disclosure

      Fitch says it believes the ECB's recognition that the quality of information provided by or...

  • • CMBS addresses lost liquidity facility

      German CMBS Bluebonnet Finance is in discussions with Moody's, Fitch and S&P concerning the...

  • Indices

    • Index/tranche re-risking spikes

      The latest DTCC CDS data indicates that index and tranche markets saw nearly US$1trn of re-risking &...

  • • Counterparty risk drops to pre-Lehman lows

      Counterparty risk among the largest OTC derivative market-makers fell the week ending&n...

  • Monolines

    • MBIA/National downgraded

      S&P has lowered its counterparty credit, financial strength and financial enhancement rating...

  • Operations

    • Serious concerns remain over stress testing

      The US Congressional Oversight Panel (COP) has released its June oversight report, entitled 'Stress...

  • • Legacy loans programme postponed

      The FDIC has announced that development of the Legacy Loans Programme (LLP) will continue, but that...

  • • Legacy RMBS for TALF still under discussion

      There is no firm decision as to whether TALF will eventually include legacy RMBS, Federal Reserve Ba...

  • • Expanded definition of valuation risk necessary

      Thomson Reuters and Aite Group have announced the results of a study indicating that transparency an...

  • • Government urged not to force OTC derivatives on exchange

      In testimony before the US House of Representatives Subcommittee on Capital Markets, Insurance and G...

  • • Banks set to repay TARP funds

      10 banks are set to repay TARP funds in full plus interest, with the total proceeds set at US$68bn....

  • • DTCC calls for single trade repository

      The DTCC has called for maintaining a single trade repository for OTC derivatives contracts during t...

  • Ratings

    • Impact of CMBS methodology changes detailed

      S&P has published a report detailing the impact that its recently proposed methodology and a...

  • • CDOs dominate Asia ex-Japan rating activity

      CDOs still continue to dominate reported rating activity in Asia (excluding Japan), according to S&a...

  • • Increased ratings transparency targeted

      As part of its efforts to increase transparency around its ratings process, S&P has publishe...

  • • German MVD/indexation assumptions revised

      Fitch has published its revised market value decline (MVD) and indexation assumptions for rating Ger...

  • Regulation

    • Capital raising likely for Fair Value Coalition banks

      Credit strategists at BNP Paribas suggest that retained earnings are unlikely to be enough for the b...

  • RMBS

    • Relative value shifts to non-agency MBS

      ABS analysts at Wachovia note that the relative value advantage has shifted from the agency MBS mark...

  • • Portuguese RMBS performance under pressure

      Fitch says in a special report that mortgage credit performance related to Portuguese RMBS is likely...

  • SIVs

    • SIV ratings withdrawn

      S&P has withdrawn all its outstanding ratings on SIVs Asscher Finance and Cullinan Finance u...

  • Structuring/Primary market

    • Bad bank for Granite?

      Rumours are circulating that Northern Rock's restructuring will involve the best assets being carved...

  • Technology

    • PDS expanded to include EMEA ABS

      Moody's Analytics is expanding its coverage of Moody's Performance Data Services (PDS) to include AB...

  • • Technology news

      CLEAN MBS model patented Andrew Kalotay Associates has been granted a patent for its CLEAN MBS mode...

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• Research Notes

  • Trading

    • Trading ideas: deeper and deeper

      Byron Douglass, senior research analyst at Credit Derivatives Research, looks at an outright long on...

      Parker Drilling's management last week held an Analyst Day, with the intention of increasing its exp...

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