Weekly Issue Archive »

Issue 158 - October 28th

• News Analysis

  • CMBS

    • New issues

      TALF CMBS threatened by thawing of unsecured debt markets

      The renewed attractiveness of the unsecured debt market may pose a threat to the success of TALF new...

  • Legislation and litigation

    • Swap expense

      Counterparty risk concerns set to increase the cost of securitisation

      Continuing Lehman Brothers-related litigation has ensured that counterparty risk has remained in foc...

  • CDS

    • Taking the initiative

      CCDS trading expected to pick up in the New Year

      Activity in contingent CDS (CCDS) remains lacklustre, due to a general lack of understanding about t...

  • Technology

    • Technology commitment

      Institutions prepare to comply with new regulatory directives

      Asset managers with a long-term commitment to structured finance investments are coming under increa...

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• News

  • CDS

    • Thomson auction results 'perplexing'

      The results of the Thomson CDS auctions, in particular those of the medium- and long-maturity auctio...

  • Ratings

    • Counterparty risk criteria revised

      Fitch has revised its rating criteria for counterparty risk in structured finance transactions. The...

  • RMBS

    • Silverstone launches with fixed rate tranche

      Nationwide has added a seven-year fixed rate tranche to its prime UK RMBS, Silverstone 2009-1 (see l...

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• Talking Point

  • Secondary markets

    • Pricing at the point of revaluation

      Chris Zingo, evp sales and support, Americas at SuperDerivatives, finds that independent revaluation...

      We are living in a period of unintended consequences. The effort to expand home ownership has contri...

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• Job Swaps

  • CLO Managers

    • Ares Capital to acquire Allied Capital

      Ares Capital is to acquire Allied Capital in an all-stock transaction currently valued at US$648m, o...

  • • Manager replaced on ABS CDO

      LibertyView Capital Management has assumed the duties and obligations of collateral manager to the S...

  • • MFS takes on another CDO

      Princeton Advisory Group is to be replaced as collateral manager on Palmer Square, an ABS CDO, by Ma...

  • • PIMCO waives CDO management fee

      PIMCO, the collateral manager of Laguna ABS CDO, has entered into a management fee waiver agreement....

  • Investors

    • Credit hedge fund launches via JV

      Matrix Alternative Asset Management (MAAM) and PVE Capital have joined forces to launch a new hedge...

  • Listed products

    • Mezz and equity CDO valuations push up Volta GAV

      Volta Finance has published its September monthly report. At the end of September 2009, the gross as...

  • • Name change for permacap

      T2 Income Fund Ltd has announced that, following the passing of the relevant resolution at its 16 Oc...

  • Operations

    • Consultant expands capital markets group

      Capco is expanding its North American capital markets group. The expansion is in response to service...

  • • FIDAC wins another manager replacement mandate

      The obligations of Highland Financial Holdings Group, as collateral manager of Citation High Grade A...

  • Real Estate

    • MBS vets to lead merged REIT

      Enterprise Acquisition Corp, a blank check company formed for effecting a business combination, is p...

  • RMBS

    • New York REIT plans further MBS investments

      New York Mortgage Trust has filed a shelf registration statement with the US SEC in order to raise u...

  • Secondary markets

    • Bank makes small gain on CDO sale

      Deutsche Pfandbriefbank, part of the HRE Group, has sold distressed CDOs with a notional value of &a...

  • Technology

    • Ex-Citi director hired in MBS data push

      1010data has hired Perry DeFelice as director of business development for capital markets customers....

  • • Partnership broadens CDS data distribution

      Fitch Solutions and Pricing Partners are set to form a strategic partnership allowing users greater...

  • • Partnership to provide enhanced CDO sensitivities

      Numerix has partnered with CDO Software to provide advanced pricing and risk sensitivities across sy...

  • Trading

    • Broker adds five to its credit division

      Execution has made a further five hires in its fixed income division, which launched in July this ye...

  • • Two credit traders hired in Japan

      Barclays Capital Japan has made two credit trading hires. Takahisa Fujiki has been appointed vp of...

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• News Round-up

  • • CMBX sub tranches continue to suffer

      Despite the positive tone to the CMBS cash market (see separate News Analysis), CMBX subordinate tra...

  • ABCP

    • ABCP vehicle subject to further restructuring

      A proposal to restructure certain asset interests held by Master Asset Vehicle (MAV) I, one of the v...

  • ABS

    • Coalition to tackle student loan ARS illiquidity

      A new coalition of non-bank investors is hoping to help restore liquidity to the student loan auctio...

  • • FASB changes to create ABS market uncertainty

      Upcoming changes to the Financial Accounting Standards Board (FASB) rules regarding off-balance shee...

  • • Egg buys back more delinquent accounts

      Egg has exercised an option to buy back at par certain delinquent accounts from the Pillar Funding c...

  • Alternative assets

    • PDL BioPharma completes ABS

      PDL BioPharma has completed a US$300m securitisation intended to monetise certain of its antibody hu...

  • CDO

    • Fitch places Tropic, Soloso CDOs on watch

      Fitch has placed 34 of the 38 notes issued by Tropic CDO I, II, III and IV, and Soloso CDO 2005-1 an...

  • CLO Managers

    • Manager seeks index inclusion in Euro CLOs

      Pramerica Investment Management is seeking to reference indices in the definition of 'credit improve...

  • • Citadel calls early end to CLO's reinvestment

      Watchtower CLO 1, a Citadel-managed transaction that launched in April 2005, is to be wound down ear...

  • CLOs

    • Double-A CLO rally 'highlights pricing disconnect'

      Strong demand in BWICs and off-list trading pushed US CLO prices up again last week. According to da...

  • • Additional manager flexibility for Ares CLO

      Ares IIIR/IVR CLO has entered into a supplemental indenture that amends the definitions for the mini...

  • • US CLO transactions downgraded

      S&P has lowered its ratings on 216 tranches from 42 US CLO transactions and removed them fro...

  • • Downward rating pressure continues for Euro CLOs

      Increased loan defaults and negative rating migration in Europe's leveraged loan market are continui...

  • • Euro CLO triple-C assets rise

      The 2004, 2005 and 2006 CLO cohorts witnessed an increase in the percentage of assets rated in the t...

  • CMBS

    • Uncertainty for non-FCT SPVs after Windermere ruling

      The latest in a series of court decisions leaves considerable uncertainty as to the performance of W...

  • • Multi-family CMBS to benefit from legal proposal

      The new coalition partners in Germany - the Christian Democratic Party and the Free Democr...

  • Documentation

    • Two credit events pending

      An ISDA Determinations Committee decision is pending as to whether a succession event occurred in co...

  • Indices

    • ABX default rates moderating?

      Remittance reports for the October distribution date indicate that default rates across the Markit A...

  • • 'Bright spots' for home price index

      The FHFA monthly home price index has shown a 0.3% price decline in home prices from July to August...

  • • Card charge-off improvement unlikely to last

      US credit card charge-offs improved for September, receding from the all-time high in August, accord...

  • Operations

    • More scrutiny needed in non-Japan Asia SF reporting

      Fitch notes that there has been a growing number of reporting errors in some outstanding structured...

  • Ratings

    • Moody's plans structured ratings indicator

      Moody's has announced preliminary plans to add an indicator to its ratings of structured finance sec...

  • • CDS-implied/credit ratings contrast explained

      In a new report, Moody's discusses the significant disparity between its investment grade credit rat...

  • • EMEA SF outlook remains weak

      In its latest EMEA structured finance sector outlook report, Fitch says that it expects poor asset p...

  • Real Estate

    • Survey suggests Euro real estate recovery will lag US

      US home prices are expected to trough in the next 12 months while default rates on underlying loans...

  • • Impact of REMIC rule change analysed

      The CMSA has released a paper that describes how recent changes to REMIC rules addressing CMBS loan...

  • RMBS

    • Overseas appetite increases for agency MBS

      Overseas accounts may be poised to allocate more capital to agency MBS, according to securitisation...

  • • US RMBS ratings lowered to default

      S&P has lowered its ratings to D on 712 classes of mortgage pass-through certificates from 6...

  • • Delinquency index improvement for UK RMBS

      The rate at which borrowers are falling into repossession has slowed over Q2, while the overall repo...

  • • Arrears improve for Euro mortgage markets

      According to S&P, Europe's homeowners are beginning to miss fewer of their mortgage payments...

  • Technology

    • US RMBS data feed unveiled

      S&P's fixed income risk management services (FIRMS) has launched a new data feed for investo...

  • • MBS analytics solution launched

      First American CoreLogic has launched a bond analytics solution for non-agency MBS. The offering is...

  • • Buy-side OTC derivatives solution launched

      Misys is set to launch a buy-side derivatives solution that leverages the OTC and derivatives expert...

  • • Upgraded SF operations platform unveiled

      Principia Partners has launched Principia Structured Finance Platform (SFP) Version 6.2. The latest...

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• Research Notes

  • Ratings

    • Rating roadblock falls for dealer floorplan TALF ABS

      Katie Reeves, research analyst at Deutsche Bank, finds that – given higher credit enhancement ...

      ABS backed by auto dealer floorplan loans, particularly those coming from the domestic captive finan...

  • Trading

    • Trading ideas: marginal difference

      Byron Douglass, senior research analyst at Credit Derivatives Research, looks at a pairs trade on Li...

      The holiday season is approaching and a question on many minds is whether or not retailers will get...

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