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Issue 144 - July 8th

• News Analysis

  • Correlation

    • Correlation return?

      Emergence of macro players and new risks could revitalise correlation

      Correlation market liquidity is suffering from the lack of a structured bid. However, the emergence...

  • Distressed assets

    • Appropriate strategies

      Credit spread tightening drives distressed opportunities further afield

      Tightening spreads mean that distressed credit investors are, at present, having to look further afi...

  • Regulation

    • European Communication

      Call for more details around EC derivatives proposal

      The European Commission has adopted a Communication on ensuring efficient, safe and sound derivative...

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• News

  • CMBS

    • Portfolio sale could bring firsts for Euro CMBS

      Max Property has reportedly bid to purchase the EPIC (Industrious) CMBS portfolio for around
      ...

  • RMBS

    • Repo for Russian RMBS?

      The first of what is expected to be a number of Russian RMBS hoping to take advantage of the Russian...

  • SIVs

    • SIV asset disposals near completion

      Fitch has calculated that the SIV market has disposed of approximately 95% of the US$400bn of assets...

  • Whole business securitisations

    • Utilities roll out WBS deals

      Two UK utility companies - Wales & West Utilities (WWU) and Yorkshire Water &#...

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• Job Swaps

  • ABS

    • Combined law firm to service securitisation market

      Law firms Bingham McCutchen and McKee Nelson are set to combine by 1 August and will offer services...

  • CDS

    • Nomura directors leave posts

      Directors in CDS trading at Nomura in London - Gareth Hawes, Lee Richardson and Gareth Joh...

  • • ICE Trust updates on Q2 performance

      IntercontinentalExchange has released its June and Q209 futures volume and OTC commissions figures....

  • Emerging Markets

    • EM fund to capture new infrastructure opportunities

      A new fund from PIMCO aimed at emerging markets is set to be managed by evp Brigitte Posch. The PIMC...

  • Investors

    • Australian fund realigns investments

      REST Superannuation has announced that during the June 2009 quarter it invested A$150m with Babson C...

  • Monolines

    • Assured completes FSA acquisition

      Assured Guaranty has completed its acquisition of FSA Holdings from Dexia. Under the terms of the ag...

  • • Syncora board members re-elected

      Syncora Holdings has re-elected members of its board of directors to serve for a further three-year...

  • Operations

    • Multifamily servicing platform expands

      CWCapital will expand its national multifamily lending platform through the acquisition of Sierra Ca...

  • • New DTCC hire to spur global reach

      The DTCC has appointed a new md for the company and a new general manager of its Trade Information W...

  • Ratings

    • CBO collateral manager replaced

      S&P has issued a preliminary rating confirmation in connection with the substitution of Libe...

  • RMBS

    • Broker-dealer targets Asian RMBS

      A new financial services subsidiary is set to launch in the Asian RMBS market. Amherst Holdings has...

  • Technology

    • Analytics providers join forces on loan-level data

      ABS/MBS analytics provider 1010data is to offer Lewtan Technologies' ABSNet Loan data to its custome...

  • Trading

    • Electronic platform expands into ABS/CMBS

      Beacon Capital Markets is set to add trading in non-agency MBS, ABS and CMBS to its electronic marke...

  • • Manager names syndicate head for sales unit

      Aladdin Capital has appointed Carlyle Peake as coo and global head of syndicate for the firm. He joi...

  • • New md at DBS

      DBS has hired a new md to focus on the Asian market. Kenny Chong will join the bank as md and head o...

  • • Broker looks to South America for growth

      Mark Webster, formerly executive md and general manager for Asia at BGC Partners, is moving to New Y...

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• News Round-up

  • ABCP

    • Renewed MMF interest in ABCP

      Money market fund (MMF) managers are showing an increased interest in ABCP since the significant red...

  • ABS

    • Capital One forgoes credit enhancement

      Moody's has downgraded the Class C and D notes from Capital One Multi-asset Execution Trust (COMET)...

  • • European auto ABS delinquency on the rise

      Delinquency rates in European auto ABS indices have increased by 58bp during Q109, compared with the...

  • CDO

    • Capmark tweaks CDO documentation

      Capmark, the collateral administrator for a number of CDOs, is intending to amend transaction docume...

  • CDS

    • One credit event determined, another dismissed

      ISDA's Americas Credit Derivatives Determinations Committee has resolved that a failure to pay credi...

  • • CDS compressions continue

      CDS dealers have terminated credit default swaps with a notional principal value of US$9trn in the f...

  • CLOs

    • European CLOs stress tested

      Fitch says that investment grade European CLO tranches will not suffer losses if the agency's averag...

  • • Sharp drop for recovery rates

      Recovery rates on defaulted US bonds and loans have dropped sharply in 2009, averaging just 21.8% an...

  • • Supplemental risk measures for CLO/CDPC sectors

      Moody's has published two reports showing how its supplemental risk measures for structured finance...

  • • Deterioration moderates for Euro CLOs

      The performance of European CLO transactions is still deteriorating, but the level of deterioration...

  • CMBS

    • CMBX remits skewed by GGP bankruptcy

      CMBX credit performance in June deteriorated alarmingly at first glance, according to CMBS analysts...

  • • Uncertainty around CMBS servicer actions in default

      Fitch says in a new report that uncertainty remains regarding the course of action UK CMBS servicers...

  • • Small business deals on review

      S&P's planned revisions to its CMBS rating methodology have also impacted the small business...

  • Distressed assets

    • Scaled-down PPIP launch imminent

      The US administration is imminently expected to reveal further details about its Public-Private Inve...

  • • German 'bad bank' created

      The German parliament has passed the country's proposed 'bad bank' legislation (SCI passim). Contrar...

  • Emerging Markets

    • Emerging markets limited by legal frameworks

      Structured finance ratings in emerging markets remain constrained by the lack of legal frameworks co...

  • Indices

    • All-time high for loan index default rate

      The default rate of the S&P/LSTA Leveraged Loan Index has increased to 9.18% by principal am...

  • • Troubled company index improves

      The Kamakura global index of troubled companies decreased by 2.4 percentage points to 16.4% for the...

  • • US ...

      The latest credit card indexes from Fitch reveal that US consumers continue to fall behind and defau...

  • Investors

    • Euro ABS BWIC activity continues

      BWIC activity in Europe has continued apace this week. Of particular note was a li...

  • Operations

    • TALF ABS/CMBS July operation announced

      The Federal Reserve Bank of New York has announced the 7 July non-mortgage-related ABS TALF...

  • Ratings

    • Subprime/Alt-A projected loss assumptions refined

      S&P says it is refining its methodology and assumptions for estimating projected losses for...

  • • ... and UK card charge-offs continue at record rate

      Fitch says that increases in delinquencies and charge-offs among UK credit card trusts resulted in t...

  • • SIV's ratings withdrawn

      Following the distribution of the sale proceeds of Whistlejacket's portfolio, Moody's has withdrawn...

  • • Japanese ABS underlyings deteriorate

      S&P notes deteriorating trends in the performance of major types of underlying assets in Jap...

  • RMBS

    • RMBS delinquency performance diverges

      Analysis of the May reporting period suggests that delinquency performance is beginning to diverge b...

  • • Buyback for MoD, Britannia RMBS

      Annington Finance No 4 is holding tender offers - due to expire on 8 July - for...

  • • NC RMBS losses not as severe as expected

      The latest article in the Barclays European Stress Testing (BEST) series revisits the UK non-conform...

  • • Improvement for Australian RMBS arrears

      Arrears on residential mortgage loans underlying Australian prime RMBS were 4bp lower in April 2009,...

  • • Downgrade/negative outlooks for South African RMBS

      According to Fitch, the South African structured finance universe has experienced its first note dow...

  • Technology

    • CDO software to comply with DTCC guidelines

      An enhanced version of Deloitte's CDO Suite product has been released. The new offering supports the...

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• Research Notes

  • Trading

    • Trading ideas: turning the corner

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

      Talk of green, brown and wilted shoots have elevated the financial press to speaking in terms of der...

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