Issue 337 - 22nd May
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News Analysis
- RMBS
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Differences of opinion
RMBS rep and warranties scrutinised
Year-to-date US non-agency RMBS issuance stands at US$7.7bn, with volumes forecast to reach US$20bn by year-end, well in excess of 2012's US$6.9bn total. However, the debate over required credit enhancement and representation and warranties continues...
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- Risk Management
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SEF certainty
CFTC clears up CDS concerns
A perceived regulatory preference for CDS futures over swaps has caused serious consternation in the market. However, the publication of final SEF rules yesterday (16 May) has assuaged most concerns and paved the way for participants to advance. Bl...
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- CDS
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Asian liberalisation?
Signs of CDS gaining ground as Asian markets open up
The OTC derivatives market in Asia continues to be fragmented and largely weighted towards FX and interest rate swaps. However, CDS remains a core constituent and there are encouraging signs that the sector is evolving. Overall CDS volume in the As...
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- RMBS
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Market Reports
- RMBS
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Freddie sale meets strong demand
Further details have emerged on the US$1bn-plus US RMBS non-agency bid-list put out by Freddie Mac earlier this week (SCI 14 May). The collateral consisted mostly of subprime and adjustable rate prime or Alt-A loans, with all of the bonds originated...
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Active start for non-agency RMBS
The secondary US non-agency RMBS market has had an active start to the week, boosted by a CDO liquid...
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- RMBS
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News
- Structured Finance
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SCI Start the Week - 20 May
A look at the major activity in structured finance over the past seven days
Pipeline A broad range of transactions remained in the pipeline at the end of last week. These deals comprise four ABS, four RMBS and two CMBS. The ABS currently in the pipeline consists of: €800m Bavarian Sky German Auto Loans 1; US$238...
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- CLOs
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Compelling case for CLO calls
Equity investors in callable 2010 and 2011 CLOs should call them now and take advantage of the low current funding costs in the new issue market, suggest CLO strategists at Morgan Stanley. Many holders of legacy deals would also benefit from exercisi...
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- CMBS
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Equitable subordination risk rises
The risk of equitable subordination has arisen for the first time during insolvency proceedings of German CMBS borrowers. The case involves the Orange loan securitised in Talisman 6, which is sponsored by Treveria. An insolvency creditor contested...
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- Structured Finance
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Talking Point
- CDO
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Zombie deals: the living dead of structured credit
Dave Jefferds, co-founder and COO of DealVector, examines how noteholder communication could help he...
Five long years ago, the global financial crisis hit. Many deals imploded almost immediately, like ABS deals that blew through their event of default triggers. That capital was more or less destroyed. Other deals, like CLOs, were stretched but did...
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- CDO
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Job Swaps
- Structured Finance
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Cantor eyes primary CDO desk
Cantor Fitzgerald has made four key hires across the CLO, CDO and structured credit segment. Florian...
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Senior credit pair leave asset manager
Andy Clapham and Richard Downer are both understood to have left Investec this week. The pair worked...
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Investment manager adds analyst
John Robbins has joined Lucidus Capital. He becomes a research analyst in the investment manager's N...
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REIT beefs up in operations
Annaly Capital Management has named Glenn Votek as chief administrative officer. He brings over 20 y...
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Mortgage, risk management capacity strengthened
Treliant Risk Advisors has expanded its mortgage and risk management capacity with five financial se...
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Senior appointments made at SIFMA
SIFMA has appointed former three-term US Senator Judd Gregg as ceo. At the same time, the associatio...
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Buy-side vet joins PCS committee
Will Howard Davies has agreed to serve on the Prime Collateralised Securities (PCS) Market Committee...
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Asset manager beefs up in Korea
Highland Capital Management has appointed Jun Park as director of business development, Korea. He is...
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Direct lending fund closed
BlueBay Asset Management has closed the BlueBay Direct Lending Fund, having raised over €8...
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Markit looks east for growth
Singapore-based Temasek has made a significant equity investment in Markit. The addition of Temasek...
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- CDO
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Abacus CDO decision reversed
New York's Appellate Division, First Department last week reversed a lower court's order and dismiss...
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- CLOs
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CLO specialist recruited
Lawrence Berkovich has joined Mayer Brown in Charlotte as a partner in the banking and finance pract...
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- CMBS
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Senior CMBS analyst appointed
Ed Barrett has left Morningstar to take up a role as CMBS director at Kroll Bond Rating Agency. He w...
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- Insurance-linked securities
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Willis taps Asia head
Willis Capital Markets & Advisory has appointed Michael Guo as md and head of Asia. Based in...
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- RMBS
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Mortgage specialist enlisted
Keeyeol Nam has joined Tilden Park in New York as md to lead a team trading agency mortgages and mor...
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REIT subsidiary spun off
Newcastle Investment Corp has spun off its New Residential Investment Corp subsidiary. New Residenti...
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- Structured Finance
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News Round-up
- ABS
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Uncertainty remains for tobacco ABS
S&P has published a report detailing a number of significant developments related to tobacco...
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FFELP SLABS criteria updated
Fitch has updated its criteria for US FFELP student loan ABS. The agency has placed 192 tranches on...
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Further container ABS calls anticipated
TAL International has re-priced its TAL Advantage IV Series 2010-1 transaction via an amendment to t...
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Improvement seen in timeshare ABS
Total US timeshare ABS delinquencies for 1Q13 stand at 3.27%, down from 3.55% in 4Q12 and 3.58% in 1...
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Unusual utility ABS prepped
Three Ohio subsidiaries of FirstEnergy Corp - The Cleveland Electric Illuminating Company,...
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- Structured Finance
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Second agency upgrades MBIA
Moody's has upgraded the insurance financial strength (IFS) ratings of MBIA Insurance Corporation (t...
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Liquid asset analysis outlined
The EBA has issued a discussion paper presenting the methodology and scope of its forthcoming analys...
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SSFA provision clarified
The OCC has clarified a provision of the market risk capital rule. Specifically, it has addressed th...
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Greek country ceiling raised
Fitch has upgraded 24, affirmed five and downgraded one tranche from 12 Greek structured finance tra...
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Canadian loss framework finalised
Fitch has finalised its new model framework for estimating losses on prime Canadian residential mort...
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RPI ABCP rating intact
Moody's says that the Prime-1 rating of the ABCP issued by Royal Park Investments (RPI) is unaffecte...
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- CDO
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Stable performance continues for Trups CDOs
Combined defaults and deferrals for US bank Trups CDOs have remained stable, standing at 28.2% at th...
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CRE CDO late-pays remain flat
US CRE CDO late-pays remained flat in the month of April, at 13.2%, according to Fitch's latest inde...
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- CDS
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Urbi credit event called
ISDA's Americas Credit Derivatives Determinations Committee has resolved that a failure to pay credi...
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Electronic trading challenges examined
New research from GreySpark Partners examines the state of electronic trading in fixed income market...
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Documentation overhaul spooks sub CDS holders
Concern that ISDA's plan to update the CDS definitions (SCI 19 December 2012) could impact the liqui...
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- CLOs
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Uncovered FX eyed in Euro CLOs
Managers' increasing desire to include sterling assets - funded with either euro or sterli...
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CLO-like structure minted
HIG WhiteHorse Capital has closed WhiteHorse VII, a term facility - structured like a CLO...
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CLO pricing tool offered
Thetica Systems has rolled out an enhanced CLO analytics module as part of its ABS Trader Tools stru...
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- CMBS
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Apartment, office prices at record highs
US major market apartment and central business district (CBD) office prices continued to set record...
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Secondary German CRE demand on the rise
Signs of renewed investor interest in secondary German commercial real estate (CRE) markets suggest...
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New challenges for Euro special servicers
New challenges are emerging for special servicers working out European CMBS loans with borrowers und...
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- Risk Management
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Operations tool enhanced
Misys has released Sophis VALUE v5, which is designed to offer increased transparency for traditiona...
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Final SEF rulemaking released
The US CFTC has released a final rulemaking on core principles and other requirements for SEFs. The...
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EU asset quality to be reviewed
The EBA has agreed on recommendations to supervisors to conduct asset quality reviews on major EU ba...
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- RMBS
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Spanish RMBS ratings reviewed
Fitch has downgraded 97, affirmed 194 and upgraded three tranches from 80 Spanish RMBS. The agency h...
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ResCap plan agreed
Ally Financial has entered into a comprehensive plan support agreement with the Residential Capital...
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Specialised depositary 'critical' for Russian MBS
Specialised depositary and management company roles are critical for Russian RMBS transactions, Mood...
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Co-op RMBS on review
Moody's has placed on review for downgrade the ratings of 28 tranches in eight UK RMBS sponsored by...
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- ABS
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Research Notes
- Risk Management
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Counterparty credit risk uncovered - part two
Terri Duhon, managing partner at B&B Structured Finance and author of 'How the Trading Floor Rea...
As explained in the first in this series of articles (SCI 3 May), counterparty credit risk in interest rate swaps can generally be thought of as a symmetric picture of potential future exposure, a fraction of the notional of the trade and non-correla...
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- Risk Management
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