Issue 256 - 19th October
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News Analysis
- RMBS
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Technically driven
PrimeX, ABX comparisons overdone
PrimeX prices have experienced a sharp decline - of between 6%-10%, depending on the index - since the beginning of October. However, parallels drawn between this sell-off and the collapse of the ABX/subprime market in 2007 appear...
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- RMBS
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Market Reports
- ABS
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Improving tone
The European primary ABS sector has seen far more activity than in secondary, but positive developments in the broader markets are encouraging. Although confidence remains fragile, one trader reports that the news this week has given the ABS market a...
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- CLOs
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Bids wanted
The European CLO market continues to see pockets of activity without quite building any momentum. BWICs are still struggling to trade as investors remain cautious, although senior paper is seeing increased activity. Many bonds on BWICs are still fa...
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- ABS
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News
- ABS
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SCI Start the Week - 17 October
A look at the major activity in structured finance over the past seven days
PipelineFurther details of Credit Suisse Asset Management's latest CLO - the US$365.5m Atrium VII - emerged last week. Also entering the pipeline were the US$136.6m LEAF Receivables Funding 7 series 2011-2 equipment ABS and the US...
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- CMBS
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Refinancing risk re-examined
The readjustment of CMBS issuance expectations on the back of both economic and deal structure issues has led to concerns over refinancing risk. However, US CMBS strategists at RBS suggest that these concerns may be overplayed. "The recent decline...
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- ABS
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The Structured Credit Interview
- CLOs
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Capital structure plays
Charles Kobayashi, portfolio manager at BlueMountain Capital Management, answers SCI's questions
Q: How and when did BlueMountain Capital Management become involved in CLO management? A: BlueMountain Capital Management was founded in 2003 with a focus on the credit derivatives and correlation markets. By 2005, the firm had expanded into cash lo...
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- CLOs
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Job Swaps
- ABS
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SF partner recruited
SJ Berwin has appointed Andrew Bliss as a partner in its finance team in London. He joins from Sidle...
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Restructuring team recruited
Mark Fennessy has joined Dewey & LeBoeuf's London office as a business solutions & g...
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Structured lending head hired
Nomura has appointed Munish Varma as global head of structured lending and special situations, based...
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IDC, FINRA join forces on data
Interactive Data and FINRA have developed a set of reports designed to provide transparency into US...
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- CDS
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OTC clearing pro hired
CME Group has appointed William Knottenbelt to lead its EMEA regions, effective in mid-November. He...
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SSgA beefs up in credit
State Street Global Advisors (SSgA) has appointed Catherine Powers as md and head of fixed income al...
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- CLOs
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Crescent Capital beefs up in Europe
Crescent Capital Group has launched a new European credit strategy, which will focus on credit oppor...
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- RMBS
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Mortgage platform bolstered
Janney has expanded its fixed income capital markets team with the addition of seven high-profile pr...
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Non-agency RMBS group formed
Clayton Holdings has formed a new securitisation group that is says is dedicated to helping the priv...
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- ABS
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News Round-up
- ABS
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First floorplan summary shows strong performance
Moody's has launched a new quarterly auto floorplan ABS sector summary, consolidating key floorplan...
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Differing drivers for Eurozone performance
The deterioration in the creditworthiness of some peripheral Eurozone sovereigns has created uncerta...
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Spanish ABS ratings reviewed
Moody's says it is considering the implications for Spanish structured finance transactions of its t...
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- CDO
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ABS CDO liquidation announced
Stone Tower Debt Advisors has been retained to act as liquidation agent for Kent Funding II. The col...
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Auction due for hybrid CDO
VCAP Securities has been retained to act as liquidation agent for Dalton CDO. Public sales of the co...
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Fulham CDO unwound
KBC has confirmed that it unwound the Fulham CDO at the end of last month and investors were paid ba...
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ABS CDO RFC issued
S&P is requesting comments on its proposed update to the criteria for rating cashflow and sy...
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CRE CDO delinquencies up slightly
After four consecutive months of decline, US CRE CDO delinquencies rose slightly last month, accordi...
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- CDS
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Swap registration rules prepped
The SEC is set to propose rules that lay out the process by which security-based swap dealers and se...
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OTC reform progress reviewed
The Financial Stability Board (FSB) has published its second six-monthly progress report on the impl...
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Hong Kong OTC consultation begins
The Hong Kong Monetary Authority (HKMA) and Securities and Futures Commission (SFC) have issued a jo...
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Quanto CDS service launched
ReMATCH has introduced a new service to help its customers reduce their exposure to quanto CDS risk....
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Naked CDS ban moves to Council vote
MEPs have voted to ban naked CDS trading, with the sole exception of an option for a national author...
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- CMBS
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DQT rises 35bp
The delinquency rate on loans in US CMBS conduit/fusion transactions rose by 35bp in September to 9....
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CMBS pay-offs jump sharply
The percentage of CRE loans paying off on their balloon date posted their highest reading since Dece...
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Uncertainty for special servicers
While special servicers have made tangible progress in stemming US CMBS losses, current economic unc...
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- Risk Management
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Through-the-Cycle EDFs launched
Moody's Analytics has introduced a 'Through-the-Cycle EDF' (expected default frequency) measure. A q...
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Collateral management system upgraded
4sight Financial Software has added new functionality to its Xpose Collateral Management system. The...
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Basel 3 implementation reviewed
The Basel Committee on Banking Supervision has issued its first progress report on the implementatio...
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EMIR pros and cons examined
The increase in reporting requirements and the use of trade repositories under the European Market I...
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- RMBS
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Agency prepayment tool minted
CoreLogic and Amherst Holdings have jointly launched 'Agency Prepayment Analyzer'. The two firms say...
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Rising prepays unlikely to benefit RMBS
Fitch expects US mortgage prepayments to increase in the coming months on the back of expected HARP...
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Servicer performance analysed
Moody's has published new detailed comparative performance metrics on the largest servicers of priva...
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- ABS
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Research Notes
- ABS
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Tax efficiency matters
Petrina Smyth, partner in the tax group, and Noeleen Ruddy, senior counsel in the structured product...
Ireland has become a leading jurisdiction for the establishment of vehicles to participate in US-originated life settlement transactions. As life settlements have become an increasingly attractive alternative asset class, sponsors have utilised two t...
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- ABS
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