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Issue 149 - August 19th

• News Analysis

  • Legislation and litigation

    • Ambac takes action

      Monoline litigation cases to gather pace?

      Ambac has commenced legal action against Citigroup and Credit Suisse Alternative Capital (CSAC) in t...

  • CMBS

    • TALF extended

      But news fails to reverse weakening trend in secondary CMBS

      The US Federal Reserve and Treasury's decision to extend TALF for newly-issued CMBS to June 2010 was...

  • Documentation

    • Thomson tests small bang

      Concern mounts over potential short maturity bucket squeeze

      The Thomson SA restructuring credit event comes hot on the heels of the introduction of ISDA's restr...

  • Secondary markets

    • Extension risk rising

      Views diverge over non-agency RMBS fundamental value

      Slowing prepayment rates are raising the spectre of extension risk in the US non-agency RMBS market....

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• News

  • Documentation

    • Restructuring creates tranche operational challenges

      The Thomson SA restructuring will not only test ISDA's 'small bang' protocol (see also separate News...

  • Legislation and litigation

    • Lehman CDO case has broader rating implications

      Ratings on global structured finance transactions with material derivative exposure to US-based coun...

  • Operations

    • TALF gains momentum

      Two positive developments in TALF-land this month underscore the growing success of the pro...

  • Regulation

    • Draft OTC derivatives regulation welcomed

      Draft legislation proposed by the US Congress on regulation of privately negotiated derivatives has...

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• Job Swaps

  • ABS

    • Fixed income team expands

      MF Global has expanded its fixed income business, adding more than 20 professionals to its fixed inc...

  • • Jeffries bolsters MBS/ABS group

      Jefferies has made eight appointments within its MBS/ABS group. Steven Hulett joins as an md and c...

  • • Bank appoints ABS strategies head

      RBS has hired Brian Lancaster to its global banking & markets (GBM) Americas division as hea...

  • Advisory

    • Derivatives solutions practice launched

      Navigant Consulting has launched a new structured products and derivatives solutions (SPDS) practice...

  • • Advisory names vice-chair

      Byron Wien has been appointed vice-chairman of Blackstone Advisory Services. Wien was previously chi...

  • • Firms team up to manage impaired asset exposures

      Technology and agency brokerage services provider ConvergEx is collaborating with Standish Asset Man...

  • CDO

    • KBC marks up CDO portfolio

      KBC has substantially marked up its CDO portfolio in Q209. This comes just three months after it sou...

  • • CRE CDO servicing agreements amended, transferred

      GKK Manager (GKKM), the collateral manager for Gramercy Real Estate CDO 2005-1 and Gramercy Real Est...

  • CDPCs

    • CDPC tests new credit protection vehicle

      Primus Guaranty has been testing a new credit protection vehicle that it hopes will replace its CDPC...

  • CDS

    • Critical mass for negative basis fund

      Assenagon Asset Management reports that its negative basis fund - Assenagon Credit Basis &...

  • • Fund improves liquidity terms

      Tiden Capital has improved the liquidity terms for the Tiden Core Fund, which returned +5.7% in July...

  • • Derivatives trade processing venture launched

      Markit and the DTCC will launch MarkitSERV on 1 September. The venture was first announced in July 2...

  • • CDS market website launched

      ISDA has launched a website to aide the CDS market. Dubbed 'ISDA CDS Marketplace', the website&n...

  • Clearing

    • BClear contracts suspended

      CDS index contracts on BClear - the CDS clearing service launched by Liffe and LCH.Clearne...

  • • New clearing member for European clearer

      RBS has been approved as the 11th CDS clearing member of ICE Clear Europe and began operations with...

  • CLO Managers

    • MBIA Capital Management takes on CRE CDO

      MBIA Capital Management is expected to replace Vertical Capital as collateral manager for Vertical C...

  • • CLO deconsolidation ups manager's profits

      Deerfield Capital has reported a gain of US$29.6m net income during Q209 due to the deconsolidation...

  • CLOs

    • Avoca participation agreements novated

      The selling institutions in certain participation agreements entered into with the issuers of the Av...

  • CMBS

    • NY Fed cuts two agency MBS managers

      The New York Fed has cut from four to two the external investment managers mandated for its agency M...

  • Investors

    • Insight Investment acquired

      The Bank of New York Mellon has acquired Insight Investment Management from Lloyds Banking Group for...

  • Legislation and litigation

    • Litigation weighs on US CLO managers

      A survey of 134 US CLO managers undertaken by S&P shows that 28.4% of the managers are curre...

  • Listed products

    • Permacap profits from new investment policy

      Carador has announced that, as of 31 July, the unaudited net asset values per share were €...

  • • Permacap continues share buyback

      Queen's Walk Investment Ltd (QWIL) has entered into an irrevocable, non-discretionary arrangement wi...

  • Ratings

    • Asia Pacific SF surveillance team strengthened

      Fitch has expanded its Asia Pacific structured finance (SF) surveillance team with the addition of a...

  • Real Estate

    • US expansion for Canadian CRE services firm

      Avison Young, an independently-owned commercial real estate services company based in Canada, has ap...

  • • Distressed debt manager absorbs ResCap staff

      Mountain Funding, a real estate investment company specialising in distressed real estate debt portf...

  • • Consortium to invest in under-performing real estate

      Brookfield Asset Management and Brookfield Properties Corporation have established a US$4bn investor...

  • RMBS

    • Moody's launches RMBS newsletter

      Moody's has launched a newsletter to provide investors with information and analysis about key credi...

  • Structuring/Primary market

    • Structured credit mandate awarded

      Babson Capital is said to have been awarded a US$40m structured credit mandate by TWU Super, Austral...

  • Technology

    • Distressed mortgage trading platform launched

      A proprietary US mortgage trading platform has been launched by The Carlton Group. The Carlton Excha...

  • Trading

    • Bank hires in credit trading

      UBS has made a number of credit hires within its FICC (fixed income, currencies and commodities) dep...

  • • Credit team expanded

      Carmine Urciouli and Martin Teevan have been promoted to co-heads of global credit at Cantor Fitzger...

  • • Cohen tapped for ABS trading head

      Amherst Securities has hired Jim Regan as head of ABS trading. Regan is a 19-year veteran of the ABS...

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• News Round-up

  • ABCP

    • BoE's ABCP purchases likely to have limited impact

      The Bank of England's Secured Commercial Paper Facility (SCPF) is unlikely to ignite the European AB...

  • ABS

    • California future flow programme prepped

      The structure, timing and application details of California's proposed Proposition 1A securitisation...

  • • 'Cash for clunkers' impact on auto ABS examined

      Recent analysis of the US Car Allowance Rebate System (CARS) scheme suggests that auto ABS...

  • CDO

    • CRE CDO losses continue apace

      Realised losses continue to rise for US CRE CDOs as delinquencies declined to 7.6% from 8.2% in June...

  • CDS

    • Dresdner succession event determined

      ISDA's EMEA Determinations Committee has determined that a succession event has occurred with respec...

  • • Q2 results ease Euro CDS liquidity stresses

      CDS liquidity stresses for the European sector have eased in the past two weeks due to most European...

  • CLOs

    • Overweight on AA/A CLOs recommended

      Structured credit analysts at JPMorgan have upgraded to overweight on double-A and single-A CLOs. Th...

  • • Euro CLO triple-C exposure still rising

      S&P's latest European CLO performance index report shows that three of its four CLO cohorts...

  • • Westchester CLO retranched

      Preliminary triple-A ratings have been assigned to Blue Wing Asset Vehicle Series 2009-1's US$96.05m...

  • • Greek CLO rated

      Details have emerged on Synergatis, a new €2.3bn Greek balance sheet CLO for Marfin Egnati...

  • • SME CLO tranches on review

      Fitch has placed 262 tranches of European SME CLOs on rating watch negative (RWN) and affirmed 102 t...

  • CMBS

    • B-note buybacks may benefit Euro CMBS

      Buybacks of B-notes by borrowers, generally at a noticeable discount over face value, may prove bene...

  • • GGP creditors' plea denied

      The US judge presiding over the GGP bankruptcy proceeding has denied motions to dismiss as bad faith...

  • • US CMBS delinquency rates increase

      Moody's latest CMBS Delinquency Tracker (DQT) has recorded the aggregate rate of delinquencies among...

  • Distressed assets

    • Recovery ratings revisited

      Fitch and S&P have moved to improve their approaches to recovery ratings (RRs) for structure...

  • Documentation

    • Thomson to have limited impact on IG CDOs

      The restructuring credit event called on Thomson SA will have a minimal impact on the investment gra...

  • Emerging Markets

    • REATs under pressure

      Fitch notes that Taiwan's real estate asset trust (REAT) transactions are highly sensitive to net pr...

  • Investors

    • European credit investors polled

      The majority of senior credit investors in Europe believe that the markets are past the worst of the...

  • Ratings

    • Lloyds prepares RSL securitisation

      Ratings have been assigned to Chepstow Blue - a securitisation of senior secured loans mad...

  • • A-REIT results impacted by declining asset values

      Fitch believes that the Australian REIT (A-REIT) reporting season, which is just commencing, will se...

  • • Uncertain direction for Turkish DPR ratings

      Moody's has placed the ratings of certain Turkish diversified payment rights (DPR) transactions unde...

  • Regulation

    • Good bank/bad bank to disrupt agency MBS sector?

      There is speculation that the Obama administration's proposed good bank/bad bank programme (see SCI...

  • • Regulator seeks more time for Lehman investigation

      The UK's FSA has asked the Financial Ombudsman Service for more time to continue its work on the Leh...

  • • FASB considers fair value disclosure changes

      FASB has made tentative decisions about how an entity should present financial instruments in basic...

  • • German bondholder law a 'missed opportunity'

      A new German law has been passed giving bondholders more rights and flexibility to adjust the terms...

  • • FSA reviews mortgage regulation

      The UK Financial Services Authority (FSA) is currently conducting a wide-ranging review of all aspec...

  • RMBS

    • Servicing advance transactions on the rise

      Servicing advance transactions, in which mortgage servicers securitise their rights to reimbursement...

  • • Loan modifications reported

      The US Treasury and the FHFA have released their reports on the rate of loan modifications. FHFA rep...

  • • Results in for EBS buyback

      EBS' tender offer for the Emerald Mortgages 4 Class A tranche has resulted in the repurchase of &...

  • • Non-performing US prime mortgages jump

      Between March and June this year non-performing dollar-value balances in prime US mortgages increase...

  • • UK RMBS master trust ratings resilient

      Moody's has concluded its sector review of UK RMBS master trusts and has taken no rating actions. Th...

  • • BTL RMBS delinquencies stabilise

      Delinquencies on UK buy-to-let (BTL) mortgages backing UK RMBS showed signs of stabilisation in Q209...

  • • Australian RMBS impacted by Genworth downgrade

      Fitch has made numerous downgrades within the Australian RMBS sector following its internal assessme...

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• Research Notes

  • Regulation

    • Replacing IAS 39

      Phil Adams, securitisation strategist at RBS, finds that the new IASB and FASB proposals are likely ...

      The IASB on 14 July published an exposure draft (ED) for a replacement of IAS 39. It is a bid to sim...

  • Trading

    • Trading ideas: anti-conspiracy theory

      Tim Backshall, chief strategist at Credit Derivatives Research, looks at a pairs trade on The Goldma...

      Goldman Sachs has been at the top of the hit-list for conspiracy theorists for a while now and, give...

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