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Issue 302 - 12th September

  • News Analysis

    • RMBS
      • Valuation skew

        GN/FN relative value opportunities weighed

        Policymaker intervention continues to skew US agency RMBS values. Given the difficulty of quantifying macro themes in the sector, analysing prepayment performance is one way of identifying relative value in GN/FN swaps. Ginnie Mae and Fannie Mae pa...

      • Up and coming

        Housing recovery boosts non-agency RMBS

        Economic indicators increasingly suggest that the US housing market has bottomed and begun to recover. While both agency and non-agency RMBS will benefit, it is non-agency where the opportunities for yield are strongest. The latest CoreLogic home p...

    • CDS
      • Slice of the action

        Dynamic tranche market entices investors

        The European tranche market has seen a significant shift over the last two months, with Markit iTraxx tranches moving sharply. While this presents new opportunities for yield, investors may be more tempted to use the tranche market for tail hedges. ...

    • Structured Finance
      • Releasing the pressure?

        Data hindering European distressed debt deals

        Differing views on price appear to be impeding distressed debt transaction volume in Ireland and Spain, albeit a number of significant deals are expected to close by year-end. Nevertheless, recent legislative developments are helping to relieve some...

  • Market Reports

    • CMBS
      • CMBS spreads, activity increasing

        After finding their feet on Tuesday, the US secondary market took off yesterday. SCI's PriceABS BWIC data reached 500 line items for the session, with some interesting developments in CMBS. Trepp notes that CMBS spreads were flat to marginally tigh...

    • RMBS
      • RMBS rally continues

        Last week saw US non-agency RMBS spreads grow progressively tighter as supply kept on coming. The market has rallied considerably over the last few weeks, as can be seen in SCI's PriceABS BWIC data. "While supply picked up after the Labor Day holid...

  • News

    • Structured Finance
      • SCI Start the Week - 10 September

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

        Pipeline The pipeline grew considerably last week, with several new deals announced. Despite the shorter week in the US, eight ABS, an RMBS, a CMBS and two CLOs were added before the week was out. Alaska Student Loan Corp Series 2012A, 2012B-1 and...

    • CLOs
      • CLO manager fees recovering

        Moody's Analytics has published the first of a two-part series on US CLO fees. The study finds that fee levels have recovered post-crisis, following the resumption of active issuance in 2010. The study begins by analysing senior collateral manageme...

  • Job Swaps

    • Structured Finance
      • Fixed income head hired

        Margaret Kerins has joined BMO Capital Markets as md and head of fixed income strategy. The firm's g...

      • Fitch rebrands in India

        Fitch has rebranded its Indian national ratings business. National ratings in India will no...

    • CDO
      • ICP settlement finalised

        ICP Asset Management and its founder and president Thomas Priore have agreed to settle the US SEC's...

    • RMBS
      • New REIT ready to launch

        Two Harbors Investment Corp has proposed the contribution of its portfolio of single-family rental p...

      • NCUA files fresh RMBS suit

        The NCUA has filed suit against UBS Securities in Federal District Court in Kansas, alleging misrepr...

  • News Round-up

      • Unicredit tender announced

        Unicredit has announced a tender offer for 22 Cordusio RMBS, F-E Mortgages, Capital Mortgages, Locat...

    • CDS
      • DC transparency enhanced

        ISDA has published amendments to the Credit Derivatives Determinations Committees (DC) Rules with re...

    • CLOs
      • EOD for mezz SME CLO

        HEAT Mezzanine I-2005 class B1, B2 and junior notes remain unpaid on their scheduled maturities, wit...

      • GGP refis announced

        GGP has closed US$1.5bn of new financing on seven properties across the US. Two of the properties ha...

      • CMBS loan pay-offs rebound

        The percentage of US CMBS loans paying off on their balloon date rebounded sharply in August from th...

    • NPLs
      • Managed NPL deal prepped

        Further details have emerged about Oaktree Capital Management's non-performing loan CMBS (SCI 19 Aug...

    • Risk Management
      • Pricing engine enhanced

        Pricing Partners has launched Price-it Excel 3.0, a streamlined version of its pricing engine. Among...

      • Dutch RMBS stress tested

        Triple-A ratings of Dutch prime RMBS are resilient to significant macroeconomic stresses and it woul...

  • Research Notes

    • CDS
      • Solid fundamentals

        Umang Vithlani* highlights a sterling bond versus 10-year CDS basis trade idea

        Iberdrola is a Spanish-based vertically integrated utility, with activities in generation (including significant renewable), transmission, distribution and supply throughout Spain, the UK, the US and Latin America. Since 2007, the firm has expanded i...

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