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Issue 272 - 15th February

  • News Analysis

    • CDS
      • Problem solved?

        Index CCDS launch approaches

        Credit derivative dealers and CVA desks are gearing up for the introduction of index-linked contingent CDS (CCDS), which it is hoped will not only constitute an effective hedge for CVA regulatory capital charges, but will also be more liquid and cost...

    • Risk Management
      • Swings and roundabouts

        DVA best practises still evolving

        Debt value adjustment (DVA) became a hot topic when banks announced their 3Q11 earnings, due to the magnitude and direction of the amounts reported. Best practises for pricing and hedging DVA have yet to be established, with swings in this component...

  • Market Reports

    • CLOs
      • Euro CLO market ignites

        There has been a rally in European CLOs over the last couple of weeks. Activity has picked up dramatically after the slow start to the year and one trader believes this could be just the beginning. "CLO-land has seen quite a bit of activity over th...

  • News

    • Structured Finance
      • SCI Start the Week - 13 February

        A look at the major activity in structured finance over the past seven days

        PipelineMany deals entered the pipeline last week only to price by the end of it. Only two transactions remained on Friday: a £1.01bn whole business securitisation sponsored by Center Parcs (CPUK Finance) and a US$75m ILS from Munich Re (Que...

    • CLOs
      • Record week for CLO BWICs

        Last week was one of the busiest the US secondary CLO market has seen since 2Q11. Bid list volume was US$1.3bn, the largest weekly amount in a year. Trading off the lists was strong and 99% of paper was traded, with the Street taking down about hal...

    • CMBS
      • CRE auction activity continues

        Large 'geo-series' CRE sales posted on auction.com helped drive US CMBS conduit liquidation volumes in 2011. The signs are that in the first part of this year at least they will continue to have a major impact on the sector. Auction.com has already...

      • First Freddie transfer

        The Retreat at Stonebridge Ranch loan securitised in the Freddie Mac SPC Series K-704 CMBS was transferred to special servicing yesterday. It is believed to be the first time this has happened to a large loan securitised in the Freddie Mac K series. ...

      • Loss severities examined

        The elevated levels of liquidation volumes in the US conduit CMBS universe seen last year have continued into 2012 and, at the same time, loan loss severities have been rising steadily since the middle of last year. A new report from US CMBS...

    • RMBS
      • Servicer advance rates scrutinised

        Loss severity varies across US mortgage servicers by about 14 points: servicers with lower advance rates tend to have lower severity prints, while those with longer timelines have higher prints. ABS analysts at Bank of America Merrill Lynch expect lo...

      • Modest RMBS impact from AG settlement

        The US federal government and 49 state attorneys general (all states except Oklahoma) have reached a US$25bn agreement with the nation's five largest mortgage servicers to address mortgage loan servicing and foreclosure abuses (SCI passim). The move...

      • Non-agency RMBS still rallying

        The rally in US non-agency RMBS continued last week, but may now be getting ahead of itself. Subprime prices were up by half a point or a point on the week, while average generic spreads on non-investment grade bonds were between 25bp and 50bp. RMB...

  • Talking Point

    • ABS
      • Cat bonds on the up

        Thierry Berthold, co-head of insurance and European structured credit solutions at Natixis in Paris,...

        There is good reason to be optimistic for the catastrophe bond market in 2012, particularly in Europe. Asset managers are showing an increasing willingness to accept cat bonds as a viable asset class and the increase in new capital via dedicated ILS...

    • Structured Finance
      • Sovereign concerns

        Sovereign default and re-denomination risk remain

        European structured finance trading and issuance trends have been impacted by wider concerns stemming from the European sovereign debt crisis - particularly towards the end of 2011, when spreads moved steadily wider and issuers shied away f...

  • Provider Profile

    • Structured Finance
      • Fundamental resilience

        Richard Cooperstein, president of RangeMark Analytics, answers SCI's questions

        Q: How and when did RangeMark Analytics become involved in the structured finance markets? A: RangeMark Analytics was formed when I joined RangeMark Financial Services along with my analytics platform - Fixed-Income Valuation Platform (SCI...

  • Job Swaps

      • Legal team moves on

        Chapman and Cutler has recruited six partners for its newly-established office in Washington DC. Fel...

      • SF vet joins Analysis

        John Richard has joined Analysis Group as an affiliate. Richard's investment expertise spans unsecur...

  • News Round-up

      • Volcker proposals slammed

        Yesterday marked the deadline for public comment on the Volcker Rule, which has seen a flurry of cri...

      • Bank tax criticised

        SIFMA has criticised President Obama's proposal to include a tax on financial institutions in his bu...

    • CDS
      • EMIR agreed

        European Parliament and Council representatives yesterday agreed on the text of the European Market...

      • Deerfield CLO unloaded

        CIFC Corp has sold the equity and class D mezzanine tranches issued by DFR Middle Market CLO, togeth...

    • CMBS
      • REC 5 upgraded

        In a rare positive turn for the CMBS, Fitch has upgraded REC Plantation Place's class B to E notes....

      • Euro CMBS maturity warning

        Fitch says that investment grade European CMBS ratings are becoming increasingly vulnerable to downg...

    • RMBS
      • Italian RMBS stress tested

        Fitch expects that approximately 80% of Italian triple-A rated RMBS tranches would be able to pay in...

      • ML II senior loan repaid

        The New York Fed has sold another slug of assets, with a current face value of US$6.2bn, from its Ma...


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