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Issue 164 - December 9th

• News Analysis

  • Ratings

    • Rating concerns

      Conventional approach criticised

      Investor concerns continue to be raised over the credit ratings process and there are calls for fund...

  • RMBS

    • Put-backs on the rise

      Timing and degree of success uncertain

      Recent disclosures suggest that the ability of RMBS investors to reduce losses through loan put-back...

  • • Bleak outlook

      Tough year in store for Irish RMBS

      A new report on the Irish mortgage market suggests that a bottoming-out in the troubled sector is un...

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• News

  • CMBS

    • Proposed GGP settlement alleviates CMBS uncertainty

      A settlement to convert US CMBS loans affiliated with bankrupt General Growth Properties (GGP) back...

  • • Limited Dubai World CMBS risk

      A review of Realpoint's database shows that five CMBS loans totalling US$630m are tied to Dubai Worl...

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• The Structured Credit Interview

  • Investors

    • Strengthening the market

      Jeffrey Kushner, ceo of BlueMountain Capital Partners (London), answers SCI's questions

      Q: How and when did BlueMountain Capital Management become involved in the fundamental credit/deriva...

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• Job Swaps

  • ABCP

    • Ocala suit highlights SF counterparty risk

      The vulnerability of structured finance transactions to counterparty risk is highlighted in Moody's...

  • Advisory

    • FI team bolstered by new credit hires

      Matrix Corporate Capital (MCC) has completed the first stage of its fixed income build-up with the h...

  • Alternative assets

    • Infonic builds out board of directors

      Infonic has appointed Ian Morley, a UK-based alternative investment management industry veteran, to...

  • CDO

    • Structured credit head resurfaces

      Steve Lobb, former head of credit and alternatives marketing at ABN AMRO/RBS in London, has resurfac...

  • • Bank confirms structured credit hire

      UBS has confirmed the recent hire of Farzin Pourmokhtar as head of product management for structured...

  • CDS

    • Structured credit vets boost boutique's FI platform

      Christopher Street Capital (CSC) has expanded its structured credit team with the hire of Edward Cah...

  • Clearing

    • CME names chairman for Euro clearing initiative

      CME Group has appointed Otto Nageli as chairman designate of CME Clearing Europe, its UK clearinghou...

  • CLO Managers

    • Bank's CDO unit acquired

      The managed CDO business that was transferred from SGAM AI to Lyxor Asset Management in September 20...

  • • Babson adds to CDO count

      Babson Capital Management is expected to be named replacement collateral manager for the Tricadia CD...

  • CMBS

    • Veteran analyst to build new CMBS team

      Veteran mortgage analyst Darrell Wheeler will join Amherst Securities in early 2010 as a senior md a...

  • Emerging Markets

    • ICMA appoints Middle East regional head

      The International Capital Market Association (ICMA) has appointed Robert Mohamed as the new chairman...

  • Investors

    • Resignations follow TCW acquisition

      TCW has confirmed that both Louis Lucido and Philip Barach have resigned from the firm following its...

  • • CRE investment firm adds principal

      Hodes Weill & Associates has hired Ray Potter as a principal. He will focus on the firm's pr...

  • Legislation and litigation

    • Bankrupt lender charged for subprime fraud

      The US SEC has charged three former senior officers of New Century Financial Corporation with securi...

  • Ratings

    • Deutsche's commercial servicer rating downgraded

      Fitch has downgraded Deutsche Bank London (DBL) branch's UK commercial primary servicer rating to CP...

  • Structuring/Primary market

    • Partner added to securitisation group

      Bingham McCutchen has added Sarah Smith, former co-head of Sidley Austin London's international fina...

  • Technology

    • Hedge fund services provider enhances loan offering

      Paladyne Systems has acquired Oakwood Financial Technologies, a software company providing loan mana...

  • • RiskVal opens Asia office

      RiskVal Financial Solutions has opened a permanent office in Asia. The new office in Taipei, Taiwan...

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• News Round-up

  • ABS

    • EMEA auto loan ABS indices stable

      The performance of the auto loan ABS market in EMEA remained stable overall in October, according to...

  • CDO

    • Surveillance criteria updated for corporate CDOs

      Fitch has amended its surveillance criteria for rating CDOs exposed to corporate debt. The new appro...

  • • EOD cushion improves on rise in asset prices

      S&P has published its US Corporate CDO EOD Index, which tracks the performance of CLOs and o...

  • • CDO Suite enhanced

      Deloitte has released CDO Suite Version 6.5. The updated offering includes: support for multi-curren...

  • CDS

    • White paper released on counterparty credit risk

      Quantifi has released a white paper that explores the changes in theory and practice regarding count...

  • • CDS liquidity now greater for developed economies

      According to Fitch Solutions, the global CDS market has become more uncertain about the outlook for...

  • • Continued contraction for bank balance sheets

      The BIS's Quarterly Review shows that banks' international balance sheets continued to contract duri...

  • Clearing

    • CME CDS clearing pre-launch announced

      The initial group of dealer founding members supporting CME Group's CDS initiative will be Barclays...

  • CMBS

    • Third new issue US CMBS marketing

      JPMorgan is in the market with a US$500m TALF-eligible new issue CMBS for Inland Western Real Estate...

  • • DebtX confirms US CMBS loan value decline

      The aggregate value of commercial real estate (CRE) loans priced by DebtX that collateralise CMBS de...

  • • CMBS issuer event of default on the cards

      WTOW 2006-3 last week issued a statement on the resignation of its auditors that has sparked concern...

  • • CMBS loan pay-offs remain depressed

      The percentage of US CMBS loans paying off on their balloon date has stayed at depressed levels sinc...

  • Monolines

    • FGIC failure to pay determined

      The ISDA Americas Determinations Committee has called a failure to pay credit event on FGIC and has...

  • Ratings

    • TALF rating agency rule adopted

      The Federal Reserve Board has announced the adoption of a final rule that establishes the process by...

  • • 78 Granite tranches downgraded

      S&P has downgraded 78 classes of notes related to Northern Rock's UK RMBS master trust Grani...

  • • US SF performance to remain weak into mid-2010

      Though the US economy is on a slow path to recovery, collateral performance will continue to be weak...

  • • Ambac IFSR affirmed

      S&P has raised its counterparty credit and financial enhancement ratings on Ambac Assurance...

  • • Diamond deal targeted in operational risk review

      Moody's has placed on review for possible downgrade the A1 rating of the US$100m Series A Senior Sec...

  • • Structured settlement criteria refined

      S&P has refined its methodology and assumptions for rating structured settlement payment sec...

  • • Greek SF deals on review

      Fitch has placed all its structured finance transactions in Greece on rating watch negative (RWN) fo...

  • • Legal risks for Spanish leasing ABS analysed

      Moody's is assessing the impact that originator insolvency would have on Spanish ABS leasing transac...

  • • Euro consumer ABS, RMBS ratings remain stable

      The credit performance of European securitisations involving consumer loans and residential mortgage...

  • • Euro credit card index improves, charge-offs worsen

      The overall performance of S&P's European credit card index improved slightly in Q3, followi...

  • • Performance cushion remains for Italian deals

      The ongoing problems affecting Italy's economy could pose some challenges to Italian structured fina...

  • Regulation

    • IRC to threaten structured credit holdings

      A new survey has revealed a wide variation in European banks' preparedness for the implementation of...

  • • EACT warns on EC's financial stability proposals

      The European Association of Corporate Treasurers (EACT) has reiterated its concerns about the implic...

  • RMBS

    • Two new SF indices in the works

      Markit and the structured finance operating committee have agreed to develop two new US mortgage-foc...

  • • AOFM tweaks RMBS investment programme

      The Australian Office of Financial Management (AOFM) has announced details regarding its extended RM...

  • • Arena prices tighter than guidance

      Delta Lloyd's Arena 2009-1 has priced tighter than guidance (see last week's issue for more), with t...

  • • US subprime ...

      Overall performance continued to deteriorate for US subprime RMBS transactions originally rated in 2...

  • • ... and prime RMBS performance deteriorates

      Overall performance of US prime jumbo RMBS transactions issued in 2004-2007 continued to deteriorate...

  • • First-lien mortgage severities set to increase in 1H10

      The past four months have seen a steady decline in first-lien US mortgage severities. However, ABS a...

  • • Fortis decides to call RMBS

      Following ABN AMRO's decision to call EMS III, Fortis Bank Nederland announced that it will repurcha...

  • • Dutch RMBS prepayment rates decrease

      The weighted-average Dutch RMBS prepayment index decreased to 4.57% in Q3 from 4.73% in Q209 and is...

  • • Prepays drive disparity in subprime RMBS index

      Prices among recent vintage US subprime RMBS continue to fall, with 2005 showing the most substantia...

  • • Asian RMBS markets stable

      Performance of the mortgage loans in the outstanding RMBS originated from Korea, Hong Kong and Taiwa...

  • SIVs

    • SIV-lite extends counterparty credit enhancement

      Triaxx Funding High Grade I and Bank of America (as successor by merger to LaSalle Bank National Ass...

  • Technology

    • List launches FMR grid

      Electronic trading provider List Group has launched its stand-alone grid computing platform, FMR Gri...

  • • Enhanced trading applications launched

      Numerix has launched a suite of workbook applications comprising its recently enhanced Credit Trader...

  • • Service extended to include intraday valuations

      Interactive Data Corporation will now deliver intraday fixed income valuations in all the major curr...

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• Research Notes

  • Trading

    • Trading ideas: time to shop

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

      Constant chatter about Black Friday and last week's weak retail sales numbers makes it near impossib...

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