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Issue 344 - 10th July

  • News Analysis

    • RMBS

      • Dawning realisation

        Forbearance losses stack up on transferred MSRs

        The large losses realised by Ocwen on loans previously serviced by Homeward Residential (AHM) came as a surprise to many investors (SCI 3 June). Further forbearance-related losses could yet be realised, not least as a result of recent mortgage servic...

      • Government-sponsored exits?

        GSE sell-offs raise questions about future

        Fannie Mae and Freddie Mac are in the process of moving around US$60bn in guaranteed mortgages over to private investors by the end of the year. That would provide some of the largest blocks of mortgage credit risk ever offered and open up a new stre...

  • Market Reports

    • Structured Finance

      • Europe reacts to unusual RMBS, ABS deals

        It has been an interesting couple of weeks in European RMBS and ABS, with noteworthy primary issuances in each sector grabbing investors' attention. A quiet end to this week is expected as the US marks Independence Day, although activity in the secon...

    • CLOs

      • Secondary CLOs are all talk

        After a difficult June for the secondary US CLO sector, this month has begun with a couple of covers and DNTs. Market participants appeared to take a cautious approach yesterday, with SCI's PriceABS data showing plenty of talk but no trades. The se...

    • RMBS

      • US RMBS makes welcome return

        The US RMBS secondary market sprang back to life yesterday after a string of quiet sessions before and after 4 July. SCI's PriceABS data shows around twice as many US RMBS tranches for Tuesday's session as it does for Monday. Supply was elevated ac...

      • No holiday for Euro RMBS

        Although secondary markets on either side of the Atlantic were quiet yesterday, some activity was observed in European RMBS. Seldom-seen Portuguese bonds were doing the rounds, as well as UK non-conforming paper. One of the Portuguese tranches capt...

  • News

    • Structured Finance

      • SCI Start the Week - 8 July

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

        PipelineDespite a predictably quiet week for the market, nine new deals were added to the pipeline. These transactions comprised two ABS, two RMBS and five CLOs. The ABS were €606m SC Germany Auto 2013-2 and US$375m TACSEE Funding Co. The...

    • CDS

      • Synthetic risk touted over cash

        US fixed income markets are pricing in the beginning of the end of extraordinary central bank support and it is having a material impact on rates and credit spreads. But - even as cash bonds struggle to deal with technicals - the...

    • CMBS

      • Delay forecast for GRAND repayment

        Deutsche Annington has postponed its IPO, which was planned for 3 July, citing adverse market conditions. The company was seeking to raise €1.1bn, which would have contributed to the full repayment of the GRAND CMBS before the October 2013...

    • RMBS

      • Prepays set to move sharply lower

        Total FNCL pay-downs fell by 9% month-on-month in June to US$40.5bn at 24.6 CPR, according to Barclays Capital figures, as two fewer processing days and a decline in HARP activity overwhelmed a modest decline in driving rate. The focus is now expecte...

  • Job Swaps

  • News Round-up

    • ABS

      • Venture debt ABS closes

        Specialty finance company Horizon Technology Finance Corporation has completed its debut securitisat...

    • CMBS

      • CMBS loss severity jumps

        Average loss severity on liquidated US CMBS loans this month saw its biggest month-over-month increa...

    • Insurance-linked securities

      • Flexible cat bond debuts

        An unusual catastrophe bond, sponsored by AIG, is expected to close next week. Dubbed Tradewynd Re 2...

    • Risk Management

      • RWA consistency examined

        The Basel Committee has published its first report on the regulatory consistency of risk-weighted as...


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