Issue 208 - 10th November
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News Analysis
- CLOs
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Delaying the inevitable?
Market braces itself for fallout from forced loan extensions
As the much-debated maturity cliff starts to loom larger on the horizon, focus is increasingly turning to CLO extension risk. While loan extensions might be beneficial in some cases, in others default - whether sooner or later - i...
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- CLOs
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Market Reports
- ABS
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New issuance takes precedence in Euro ABS
The European ABS sector has had a busy week, with a growing volume of new issuance in the primary market taking centre stage. A focus among investors on diversification is helping to boost activity. "The market is relatively busy; new issuance is j...
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New issuance takes its toll on US secondary ABS
It has been business as usual in the US secondary ABS market over the past week, with levels holding up to some extent. However, as new issuance increasingly dominates the market, a lack of investor interest in secondary activity is beginning to take...
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- RMBS
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Euro RMBS market nerves hold
Primary issuance continues to be at the forefront of European ABS market activity, with another week of newsworthy deals. At the same time, traders report a spike in interest in mezzanine paper in the secondary market. "It's been a steady week, wit...
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- ABS
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News
- CDS
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LBO basket trade touted
Buying CDS protection on potential LBO candidates has been a popular trade over the past few months. To gain from a short position on a basket of LBO candidates, Goldman Sachs credit strategists estimate that investors need more than 17% of names to...
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- CLOs
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CLO liquidation risk examined
Moody's has comprehensively reviewed the indentures and related documents for all US cashflow CLOs it rates and concludes that, notwithstanding the presence of overcollateralisation-based event of default (EOD) triggers and OC haircuts in the documen...
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LCM VIII progresses
Further details have emerged on LCM Asset Management's highly-anticipated CLO, the US$300m LCM VIII. The deal is expected to close on 23 November via Bank of America Securities. The CLO comprises US$197m triple-A rated class A notes (which are anti...
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- CMBS
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Language inconsistency highlighted in Euro CMBS
European Prime Real Estate 1 recently avoided a sequential redemption event upon the occurrence of an NAI shortfall amount. The fact that a CMBS structure did not capture such an event and pay-out accordingly highlights the lack of language consisten...
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CMBS interest shortfalls likely containable
Interest shortfalls are on the rise in US CMBS, but are expected to generally be contained at the BB/BBB level. The probability of single-A exposure is potentially higher for the 2007 vintage, according to MBS analysts at Barclays Capital, although m...
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- RMBS
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Door 'left open' for Fed MBS purchases
Under its widely-anticipated second round of quantitative easing, the US Fed is to purchase US$600bn Treasuries outright by June 2011, in addition to US$250bn-US$300bn reinvestment of MBS paydowns in US Treasuries. Contrary to the expectations of som...
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Likelihood of loan repurchases estimated
MBS analysts at Barclays Capital have formulated what they describe as a "first-cut" approach to estimating the likelihood of first-lien non-agency loan repurchases. This involved comparing the characteristics and distributions of repurchases with ot...
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Record agency fails prompt charge speculation
Failures to deliver in agency MBS reached a new high of US$1.1trn last week. MBS analysts at Barclays Capital suggest that this raises the probability of introducing a fail charge to the market. Historically, fails remained somewhat low until 2H09...
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Master trusts' ability to pay examined
In the absence of sponsor support, CPR speeds have a significant bearing on the ability of RMBS master trusts to repay bonds on their scheduled maturities. European ABS analysts at Deutsche Bank suggest that certain UK trusts - such as Holm...
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- CDS
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Talking Point
- ABS
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Roundtable discussion
The importance of loan-level data for ABS investors
Large amounts of aggregation and the absence of loan-level data have traditionally made determining the true value of assets in the ABS market difficult. S&P recently held an event at the London Stock Exchange ("Gearing up for European loan-l...
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- ABS
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Provider Profile
- Technology
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Panoramic approach
Bob Park, ceo and co-founder of FINCAD, answers SCI's questions
Q: How and when did FINCAD become involved in the structured finance markets? A: FINCAD is a 20-year-old company. Our core competence is building financial analytics for valuation and risk measurement. We have been selling software for the last 19...
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- Technology
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Job Swaps
- ABS
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Structured solutions co-head named
RBS has appointed Chris Marks as co-head of structured solutions. He will report to Rory Cullinan, t...
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Advisory services head recruited
Steven Campo has been appointed managing partner, advisory services at Paladin Advisors. He was prev...
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Rating agency adds SF trio
DBRS has made a trio of appointments across its US and European structured finance groups. Mike Ba...
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Promotions for investment management duo
Douglas Kelly is to succeed Edward Bedrosian as president of Annaly Capital Management's wholly-owne...
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- CDO
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MS sued over CDO swap obligations
Morgan Stanley has disclosed in a 10Q filing that it could take a US$274m loss on a CDO, known as To...
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Goldman fined over Wells Notices
FINRA has fined Goldman Sachs US$650,000 for failing to disclose that two of its registered represen...
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Broker adds CDO/ABS trading head
Braver Stern Securities has appointed Peter Howard as md and head trader of CDOs, CLOs and esoteric...
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- CDS
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Asian structured credit fund minted
Hong Kong-based Oracle Capital has launched its second fund, Oracle Structured Credit Segregated Por...
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CVA pro joins advisory firm
Jon Gregory has joined Solum Financial Partners as a partner. Previously, he had been working as an...
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- CMBS
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Boutique strengthens real estate team
Future Capital Partners (FCP) has appointed Elodie George, Tim Mycock and Aysha Banks to its real es...
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Mortgage finance partner recruited
Berwin Leighton Paisner has appointed structured finance lawyer, Lucy Oddy, as partner in its bankin...
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CRE firm on hiring spree
The Situs Companies has opened a new office in Atlanta, Georgia, headed by Tammy Ellerbe. As part of...
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- Monolines
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Ambac files for voluntary bankruptcy
Ambac Financial Group has filed for a voluntary petition for relief under Chapter 11 of the US Bankr...
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- Real Estate
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Mortgage servicer sale completed
Walter Investment Management has acquired Marix Servicing, a high-touch specialty mortgage servicer....
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- RMBS
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Bank adds trading heads
BB&T Capital Markets has appointed Peter Faherty and Jim Maughan to its fixed income trading...
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- ABS
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News Round-up
- ABS
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CSCF exposure sold on
The Business Development Bank of Canada (BDC) has announced the sale of C$250m ABS - origi...
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Counterparty risk assessment highlighted
The financial disruptions of the past few years underscore the central role that counterparty risk a...
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COMET on review following servicer downgrade
Moody's says its ratings on 47 classes of ABS issued out of the Capital One Multi-asset Execution Tr...
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EU CRA consultation launched
The European Commission has launched a broad consultation on credit rating agencies (CRAs), which ai...
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Positive outlook for 2009 vintage prime auto ABS
Fitch reports that lower-than-expected losses for 2009 US prime auto loan ABS are positioning the vi...
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- CDS
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Ambac credit event determined
ISDA's Americas Determinations Committee has determined that a bankruptcy credit event occurred with...
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Central clearing infrastructure analysed
The Committee on Payment and Settlement Systems (CPSS) has issued a report on developments in the cl...
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Collateral broadened for Euro clearinghouse
ICE Clear Europe is to accept gold bullion as collateral for CDS transactions for initial margin onl...
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Broker CDS mixed as indicators of default
The overall performance of CDS spreads as indicators of default risk during the financial crisis was...
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Mortality CLN issued
Signum Finance Cayman Limited Series 2010-09 has issued US$200m of credit-linked notes that referenc...
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Swaps fraud prevention rule proposed
The US SEC has proposed a new rule to help prevent fraud, manipulation and deception in connection w...
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- CLOs
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Positive credit watch for US CLOs
S&P has placed its ratings on 415 tranches from 146 US corporate CLO transactions on credit...
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- CMBS
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Milestone drop for CMBS delinquencies
Fitch reports that US CMBS loan delinquencies have declined for the first time in 33 months, accordi...
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Japanese CMBS loan behaviour analysed
Moody's reports that a large proportion of Japanese CMBS loans maturing this month and next are orig...
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New NAIC CMBS model 'less punitive'
The National Association of Insurance Commissioners (NAIC) has released guidelines detailing its new...
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Careful implementation urged on Volcker Rule
The CRE Finance Council has submitted a comment letter to US Secretary Timothy Geithner, chair of th...
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- Investors
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European private placement market wanted
A fully-functioning European private placement market could add in excess of €25bn of avai...
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- RMBS
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GSE recapitalisation costs estimated
The ultimate taxpayer cost to resolve Fannie Mae and Freddie Mac could reach US$280bn, including the...
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US mortgage default rates improving
S&P reports that default rates among US residential mortgage loans continued to improve thro...
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UK mortgage arrears hits North harder
S&P's study of regional differences in UK mortgage arrears and borrowers' equity positions i...
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Servicer ratings sector on negative outlook
Fitch has assigned a negative outlook for the entire US residential mortgage servicer ratings sector...
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US subprime servicer advances declining
Further evidence of US mortgage servicers' more pessimistic view of recovery prospects is in the ste...
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Loss assumptions updated on 14 UK RMBS
Moody's has updated its loss assumptions for 14 UK non-conforming RMBS, but has taken no rating acti...
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- SIVs
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SIVs affirmed following review
S&P has affirmed - following a review - its issuer credit ratings (ICRs)...
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- ABS
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