Weekly Issue Archive »

Issue 368 - 8th January

  • News Analysis

    • CLOs

      • Risk tension

        Risk retention pivotal for Euro CLO market

        European CLOs continue to perform well, despite regulatory actions serving to constrain the market. Steady issuance is expected even in the face of a number of hurdles, with changes such as risk retention requirements forcing investors to reconsider...

    • Structured Finance

      • Rising sun

        Solar ABS market generating momentum

        Recent solar securitisation deals in both the UK and US bode well for the future of the asset class. However, achieving scalability is just one of the challenges in making the move from an esoteric asset class to a mainstream ABS product. Independe...

      • Rules of engagement

        Dialogue helps take edge off regulatory requirements

        Regulatory decisions and indecision have set the tone for structured finance around the world since the financial crisis. The European market in particular has been choked by tight guidelines, but there are signs of a softening regulatory stance as t...

      • Cherry picking

        Euro relative value trades explored

        The European securitisation market offers a number of relative value opportunities going into 2014. Top picks include CLO 1.0, mezzanine CMBS and peripheral RMBS bonds. European ABS relative value is being driven by seemingly irrational investor be...

  • Market Reports

    • ABS

      • ABS bid-lists reappearing

        Auto and credit card bonds dominated supply in the US ABS secondary market yesterday, as BWIC volume begins to pick up following the seasonal break. SCI's PriceABS data also shows a number of timeshare ABS tranches out for the bid, with bid-list volu...

    • RMBS

      • RMBS BWICs make return

        After US ABS BWIC volumes picked up on Monday, it was the turn of non-agency RMBS supply to rise yesterday. Bid-list volume approached US$550m, with activity up across fixed rate, hybrid and subprime bonds. Fixed rate supply came from a mix of seni...

  • News

    • ABS

      • SLM servicing disruptions eyed

        As Sallie Mae transitions certain assets and functions under its reorganisation (SCI 30 May 2013), both newly created entities - SLM BankCo and NewCo - could see some short-term servicing disruptions. Indeed, Sallie Mae disclosed...

    • Structured Finance

      • SCI Start the Week - 23 December

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

        Pipeline A limited number of deals joined the pipeline last week and of those only one remained come Friday's close. That transaction was the US$375m RBS 2013-GSP CMBS. PricingsAs for the deals printing last week, three ABS, two ILS, six CMBS and...

      • Solvency revisions still strict

        EIOPA has recalibrated the proposed Solvency 2 spread risk charges for securitisations to increase differentiation between ABS asset classes (SCI 20 December 2013). However, securitisation remains heavily penalised under the current proposals, with t...

    • CDS

      • Positioning for new CDS definitions

        The implementation of the 2013 ISDA Credit Derivatives Definitions (SCI passim) is expected to tighten the CDS contract in favour of protection buyers, who should be motivated to roll to the new contract anyway for liquidity reasons. An implementing...

    • CLOs

      • CLO investors seek evolution

        Further structural evolution remains a priority for the US CLO market, with respondents to JPMorgan's Q1 client survey highlighting time tranching and senior/junior tranching as the two triple-A features they would most like to see. The managers, inv...

    • RMBS

      • Recourse reduced in statute of limitations case?

        A unanimous ruling by a four-judge bench of the Supreme Court of the State of New York holds that the six-year statute of limitations on representation and warranty breaches applies to private label securitisations from the date of a deal's closing....

      • FHFA set for new course?

        The swearing in of Mel Watt as FHFA director on Monday (6 January) marked the official end to the DeMarco era. While there is little context for Watt's views on specific issues at this stage, how he re-shapes the agency has significant implications f...

      • Make-whole payments accelerating

        Last month's remittance reports show that a number of US non-agency RMBS received make-whole payments. At the same time, forbearance recognition continues apace. Early indications suggest that at least three FFML deals received over US$2m as make-w...

      • Taper talk becomes reality

        The New York Fed is to begin tapering its asset purchases with an initial US$10bn reduction in the monthly pace, evenly split between agency MBS and Treasuries. The Fed now plans to buy US$35bn of agency MBS and US$40bn of Treasuries per month beginn...

  • Talking Point

    • NPLs

      • European NPLs and the advantages of securitisation

        Dennis Buckley, director at Credit Mediation Limited, discusses alternative securitised NPL structur...

        Estimates from reports compiled by PwC and EY put the current volume of non-performing loans (NPLs) made by banks within the EU at between €1.2trn and €1.5trn, with these levels expected to rise further in the next few years. The...

  • Job Swaps

    • Structured Finance

      • Law firm selects ceo

        Hogan Lovells has named Steve Immelt as its next ceo, replacing current co-ceos Warren Gorrell and D...

    • CDO

      • CRE CDO reorganised

        Collateral Management has been named successor collateral manager and successor advancing agent for...

    • CDS

      • UBS credit vet moves on

        Coherence Capital Partners has hired Michael Cannon as a senior portfolio manager and partner in New...

    • Insurance-linked securities

      • SAC Re sale completed

        Hamilton Insurance Group has completed its acquisition of SAC Capital Advisor's hedge fund-style rei...

      • GSE PLS settlement reached

        The FHFA has reached a settlement with Deutsche Bank, related companies and named individuals for US...

      • WaMu lawsuit filed

        JPMorgan last month filed suit in the US District Court of the District of Columbia against the FDIC...

  • News Round-up

    • ABS

      • Euro card index rolled out

        DBRS has introduced 'Beyond the Plastic', a new Europe-wide index and periodical covering credit car...

    • Structured Finance

      • MAS rules 'lack guidance'

        The Monetary Authority of Singapore's (MAS) updated rules for covered bond issuance clarify importan...

      • KBC PPA amended

        The Belgian government has amended the Portfolio Protection Agreement (PPA) for KBC's CDO and ABS po...

      • HQLA move welcomed

        Further details have emerged on the EBA's updated definition of high quality liquid assets (HQLA) in...

      • Solar bond issued

        Independent Debt Capital Markets (IDCM) - as sole arranger and bookrunner - has...

    • CDO

      • ABS CDO on the blocks

        An auction will be conducted for Sunrise CDO I on 14 January. The collateral shall only be sold if t...

      • ABS CDO liquidation due

        Cairn Capital North America has been retained to act as liquidation agent for Altius I Funding. A pu...

      • ABS CDO RFC issued

        Moody's is seeking comments from market participants on proposed changes to its rating approach for...

      • CDO auctions due

        Three CDO auctions have been announced so far this month. Sales are scheduled for the Longport Fundi...

    • CLOs

      • Fixed rate bucket employed

        Pramerica Investment Management has closed Dryden 29 Euro CLO 2013, its second European CLO issued t...

      • CMBX rally continues

        The CMBX index rallied for the sixth consecutive month in December, spurred by better than expected...

      • CMBS recoveries rebound

        After suffering a fairly sizeable setback during 2Q13, recoveries on liquidated US CMBS loans reboun...

      • GSP Trust critiqued

        Moody's says it would have been unable to reach a rating higher than A1 for the US$375m RBS 2013-GSP...

    • Insurance-linked securities

      • CCP reporting strengthened

        The European Banking Authority (EBA) has published its final draft implementing technical standards...

      • CVA standards published

        The European Banking Authority (EBA) has released its final draft regulatory technical standards (RT...

      • G-fee hike delayed

        Incoming FHFA director Mel Watt intends to delay the increase in GSE guarantee fees announced earlie...

      • Bulk MSRs acquired

        Two Harbors Investment Corp subsidiary Matrix Financial Services Corporation has entered into an agr...

      • Second IABF sale underway

        The Dutch State Treasury Agency (DSTA) has announced its intention to continue a competitive auction...

      • Loss criteria updated

        Fitch has updated its criteria for estimating losses on US mortgage pools for RMBS transactions to a...


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