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Issue 213 - 15th December

  • Market Reports

    • ABS

      • 'Messy' liquidation for Euro ABS

        The main focus of the European secondary ABS market this week has been the controversial Euromax IV MBS CDO liquidation. Although the auction achieved strong pricing levels, the process was described as "messy". "The Euromax liquidation has been th...

    • CLOs

      • End-of-year boost for Euro CLO underlying

        As European CLO market participants begin preparing for year-end, managers report an above average peak in new underlying loan activity for December. At the same time, a flurry of acquisitions has resulted in related loans prepaying. "We've committ...

  • News

    • CDS

      • CDS tail scenarios touted for 2011

        Credit derivative strategists at Morgan Stanley suggest that the beginnings of a transformation in derivatives usage within credit markets is underway, dubbing it 'Credit Derivatives 2.0'. They point to a number of key areas for growth and opportunit...

    • CMBS

      • Questions raised over Beacon Seattle mod

        The US$2.7bn Beacon Seattle & DC Portfolio loan - one of the largest loans in the US CMBS universe, spread across six deals - has been modified. However, the disclosure of the modifications - via an S&P p...

      • Special servicer strategies analysed

        About half of all loans transferred to the six largest special servicers in the US CMBS conduit universe - LNR, CWCapital, C-III, Berkadia, Midland and JER - remain unresolved, according to MBS analysts at Barclays Capital. Totall...

    • Insurance-linked securities

      • Atlas VI closes upsized

        The latest catastrophe bond from SCOR's Atlas programme (SCI 24 November) has closed at a higher than expected €75m. Originally targeting €60m, the European windstorm and Japanese quake deal priced within guidance at 1050bp over t...

      • Fresh Green Fields on offer

        Swiss Re has begun marketing the latest in its "Green" catastrophe bond series. The €75m single-tranche Green Fields series 2011-1 will cover windstorms affecting France and Corsica. The transaction has been assigned a preliminary double-...

      • Swiss Re closes Vega Capital II

        Swiss Re has closed the second collateralised risk obligation from its Vega Capital catastrophe bond programme. The reinsurer obtained US$106.5m in coverage against North Atlantic hurricane, European windstorm, Californian earthquake, Japanese earthq...

    • RMBS

      • GSE short refi programme participation mooted

        Fannie Mae and Freddie Mac are reportedly under pressure to participate in the FHA short refi programme. MBS analysts at Bank of America Merrill Lynch point out that the programme works differently for GSEs than for regular servicers. "For the agen...

  • Job Swaps

    • Insurance-linked securities

      • New member for LLMA

        Aviva has joined the Life & Longevity Markets Association (LLMA) as a full member, bringing...

  • News Round-up

    • CDS

      • OTC transparency discussed

        ISDA has released two studies on transparency in the OTC derivatives industry, with respect to CDS a...

      • Anglo Irish CDS settled

        Anglo Irish Bank subordinated bucket 2 CDS trades were yesterday settled at a final price of 18.25....

    • Whole business securitisations

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