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Issue 338 - 29th May

  • News Analysis

    • CLOs

      • CLO shake-out

        Mezz trending tighter post-FDIC rule-change

        Last month's change in FDIC assessments (SCI 19 March) appears to be encouraging more asset managers to enter the US CLO market, with mezzanine spreads in particular tightening as a result. The growth of the sector remains limited by the paucity of l...

    • RMBS

      • RMBS alpha

        Hedge fund appetite hinges on security selection

        Relative value opportunities in legacy US non-agency RMBS remain for credit hedge funds, despite significant price appreciation in the sector. Complexity of individual bonds means that security selection still offers a significant source of alpha. ...

  • Market Reports

    • RMBS

      • Ups and downs for US RMBS

        The primary focus in the US RMBS market yesterday was on the possible tapering of QE, given Fed chairman Ben Bernanke's scheduled testimony to Congress. The implication that QE will remain in place until year-end has given further impetus to the rall...

  • News

    • CDS

      • Bail-in credit event takes shape

        Unconfirmed details have emerged regarding ISDA's proposals to update the CDS definitions (SCI 21 May). Among the proposals is a new bail-in credit event for financial CDS contracts, which would be triggered by a governmental authority reducing the i...

    • CMBS

      • CMBS softening likely post-GSE sale

        Fannie Mae is due to sell a US$2.2bn list of legacy CMBS today. Deutsche Bank CRE debt analysts note that the move represents not only the largest transfer of risk since last year's MAX and WAVE CDO liquidations (SCI 2 May 2012), but also the first w...

    • RMBS

      • ResCap plan 'net negative' for RMBS

        Ally Financial, along with Residential Capital and ResCap's major creditors, has completed the next step in implementing the comprehensive settlement agreement and Chapter 11 plan (SCI 20 May). ResCap filed a motion seeking court approval of the plan...

      • Better RMBS data provides Irish guidance

        The European DataWarehouse (ED) is benefitting sectors that had previously suffered from a paucity of information, such as peripheral RMBS. One such jurisdiction is Ireland, where greater access to data is set to facilitate more rigorous fundamental...

  • Job Swaps

    • Structured Finance

      • Back to BlackRock

        Armando La Morgia has rejoined BlackRock from KNG Securities, having spent five months at the firm (...

    • CMBS

      • CreXus merger completes

        Annaly Capital Management has completed its acquisition of CreXus Investment Corp (SCI 18 April). An...

    • Risk Management

      • Chinese expansion planned

        Calypso Technology has opened an office in Beijing, to service both domestic and international insti...

  • News Round-up

    • Structured Finance

      • APAC ratings remain stable

        Fitch reports that Asia Pacific (APAC) structured finance (SF) tranches remained largely stable in 2...

    • CDO

      • Ambassador CDO sale due

        Cowen and Company has been retained as liquidation agent for Ambassador Structured Finance CDO. The...

      • Pro forma swipe rebutted

        In assessing the value of a CMBS property, using sustainable income is a better approach than relyin...

      • Mall performance examined

        With interest rates averaging 3%-4% on regional mall securitisations, retail REITs have been very ac...

      • REIT liquidity highlighted

        Changes in the availability, pricing and underwriting stringency of CMBS financing could affect REIT...

    • Insurance-linked securities

      • Home price warning issued

        Fitch believes the recent US home price gains recorded in several residential markets are outpacing...

      • MILAN methodology updated

        Moody's has updated its methodology for rating RMBS using the MILAN framework, including the introdu...


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