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Issue 329 - 27th March

  • News Analysis

    • Risk Management

      • Single-name shut-out?

        CVA charge adds pressure to move to CDS indices

        Single-name CDS liquidity has been falling for the last few years as trading concentrates on an ever-smaller universe. The CVA charge under Basel 3 appears to be hastening this process, with banks increasingly turning to indices to...

    • CDS

      • Clearing is coming

        European credit derivatives participants prepare for EMIR

        Mandatory central clearing has already begun in the US and is now being rolled out in Europe (SCI passim). The changes under EMIR are expected to enhance the liquidity of the most liquid CDS names and spur demand for credit index futures. The Europ...

  • Market Reports

    • ABS

      • Planes pique secondary interest

        Activity in the US secondary ABS market was skewed towards aircraft and student loan paper yesterday. The handful of aircraft bonds talked during the session were pooled in a CDO that is due to be liquidated on Tuesday of next week. Among the aircr...

    • CMBS

      • AJs boost CMBS secondary volume

        Secondary trading flows across the US markets were quiet yesterday as the holiday-shortened week got off to a slow start. US CMBS did see more secondary activity than elsewhere. GG10 Dupers were quoted at swaps plus 134/132, having closed out last we...

    • RMBS

      • Subprime supports secondary RMBS

        Overall US non-agency RMBS BWIC volume rose slightly yesterday, with subprime supply in particular shooting up. SCI's PriceABS data shows 143 US RMBS line items for Thursday's session, based on an estimated US$565m in total non-agency volume. "BWIC...

  • News

    • Structured Finance

      • SCI Start the Week - 25 March

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

        PipelineIt was another busy week for new deal announcements as the end of Q1 approaches. There were two newly-announced ABS, three RMBS, three CMBS and four new CLOs that were still in the pipeline come the end of the week. The ABS were £2...

  • The Structured Credit Interview

    • CMBS

      • Holistic remedy

        Jacob Lyons, md at CR Investment Management, answers SCI's questions

        Q: How and when did CR Investment Management become involved in the CMBS market? A: At the core of CR Investment Management's philosophy is the marriage of credit skills with the understanding and operation of underlying assets. Our focus is on real...

  • Job Swaps

    • Structured Finance

      • CLO chief brought in

        TPG has appointed Douglas Paolillo to run its CLO desk in New York. He was previously md at GSO Capi...

    • Insurance-linked securities

      • Cat bond pro moves on

        Bill Keogh has joined insurance broker TigerRisk Partners in Stamford, Connecticut, reporting to Jay...

  • News Round-up

    • CDS

      • SNS CDS auction scheduled

        An auction to settle the credit derivative trades for SNS Bank CDS will be held on 4 April. ISDA's E...

      • UK scheme is RMBS positive

        The UK government's plan to stimulate mortgage lending is credit positive for RMBS, argues Moody's....


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