Weekly Issue Archive »

Issue 339 - 5th June

  • Market Reports

    • ABS

      • Healthy mix in busy ABS session

        The week kicked off with a large quantity of US auto, credit card and student loan ABS out for the bid. Several tranches from recent vintages were circulating, with pre-crisis names also well represented in SCI's PriceABS data. Among the auto names...

    • CMBS

      • Volatility spooks Euro CMBS market

        After a brief flurry of activity, the European CMBS market has once again quietened down this week. Broader market volatility appears to be keeping investors on the sidelines, although positive developments within CMBS are providing encouragement. ...

    • RMBS

      • Highly anticipated RMBS list arrives

        A US$8.5bn 256 line-item BWIC of non-agency bonds hit the US RMBS market yesterday. It was sold in five groups, with Credit Suisse, Goldman Sachs and Bank of America each understood to have bought a batch and Morgan Stanley snapping up two. The BWI...

  • News

    • ABS

      • SLM split 'mildly positive' for SLABS

        Sallie Mae intends to split its existing businesses into two separate publicly-traded entities - an education loan management business and a consumer banking business. The aim is to "unlock value and enhance long-term growth potential". T...

    • Structured Finance

      • Real-time reporting service rolled out

        Law Debenture's new Dynamic Analytical Reporting Tool System (DARTS) went live with its first CLO manager in May. The real-time service leverages business intelligence to retrieve, report and analyse European ABS and CLO performance data. With the...

      • SCI Start the Week - 3 June

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

        Pipeline It has been another busy week for the pipeline, with ABS, RMBS, CMBS and CLO transactions all being announced. Much of the activity was in RMBS, where Nationstar announced six series of notes. Nationstar is bringing Nationstar Mortgage Ad...

    • CDS

      • Tranche repositioning recommended

        The strong rally in MBIA credit risk in the aftermath of the company's legacy exposure settlements is one driver of changing relative value in the CDS and tranche markets. Relative valuations in standard CDX and iTraxx index tranches are now at extre...

    • RMBS

      • Clean-up calls gather pace

        The recovery in US home prices has prompted a modest pick-up in RMBS clean-up calls. Coupled with rising asset prices from QE, several deals now have a high likelihood of being called in the next two years. Barclays Capital RMBS analysts estimate t...

  • Provider Profile

    • Structured Finance

      • Leveraging value-at-risk

        Richard Green, director at Venn Partners, answers SCI's questions

        Q: How and when did Venn Partners become involved in the securitisation market? A: Venn Partners was established in 2009 by a team of four former bankers. We've grown to a team of 20 since then. The business focuses on three areas: European CRE...

  • Job Swaps

    • Structured Finance

      • US trading head named

        Barclays Capital has named Adam Yarnold as head of US securitised products trading. He is based in N...

      • Data provider adds duo

        Lewtan has recruited Miten Amin as market applications director and Youriy Koudinov as market applic...

      • Euro ABS mandates minted

        Cervus Capital Partners has launched two European ABS mandates: European Amortising ABS Mandate I an...

      • UK bank poaches RBS pair

        Marc Sefton and Kieran McSweeney are leaving RBS to join Shawbrook. They will jointly lead a new who...

      • Broker sets up London base

        Gottex Brokers has opened a London office providing credit trading services in structured credit and...

      • FHFA suit settled

        The FHFA and Citi have reached a settlement in connection with a suit FHFA filed on 2 September 2011...

  • News Round-up

    • ABS

      • Private SLABS on review

        Moody's has placed under review for possible downgrade 60 classes of notes from 24 private student l...

      • NCSLT SLABS reviewed

        Moody's has downgraded 74 classes, upgraded nine classes and confirmed 14 classes of notes in 15 Nat...

    • Structured Finance

      • Multi-credit fund launched

        Babson Capital Europe has launched the Babson Capital Global High Yield Credit Opportunity Fund. The...

    • CDO

      • CRE CDO unwound

        Newcastle Investment Corp has divested 100% of the assets in Newcastle CDO IV. The firm sold US$153m...

    • CDS

      • CDS auctions due

        Two auctions to settle credit derivative trades are to be held next week. The first is in connection...

    • CLOs

      • Next Euro CLO nears

        Further details have emerged on CELF Advisors' forthcoming €300m European CLO -...

      • UNITE refi prepped

        HSBC and Lloyds are in the market with a fixed-rate UK CMBS backed by student accommodation. The &am...

      • CMBS delinquencies inch up

        The Trepp CMBS delinquency rate inched up by 4bp in May, one month after posting its lowest reading...

      • CMBS loss severities dip

        The weighted average loss severity for all loans backing US CMBS that liquidated at a loss was 40.7%...

    • Risk Management

      • Clearing costs highlighted

        Sapient Global Markets has published an in-depth study on how new central clearing mandates will imp...

      • FpML coverage enhanced

        ISDA has published the Recommendation for Financial products Markup Language (FpML) version 5.5. One...

    • RMBS

      • MILAN introduced in Mexico

        Moody's has updated its approach to rating Mexican RMBS. The adoption of the new methodology won't r...

      • ULC proposal criticised

        The American Securitization Forum has submitted a comment letter in response to the Uniform Law Comm...

      • Margining service enhanced

        BNY Mellon has enhanced its DM Edge product by expanding its bilateral margining capabilities to inc...

  • Research Notes

    • Risk Management

      • Counterparty credit risk uncovered - part three

        Terri Duhon, managing partner at B&B Structured Finance and author of 'How the Trading Floor Rea...

        Most of the chatter about counterparty credit risk is around OTC derivatives. Exchange-traded derivatives (ETP) have counterparty credit risk as well, but the overall size of the market (around 10% of the derivative market place), the average maturit...


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