Issue 372 - 5th February
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News Analysis
- RMBS
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Tapered to fit?
Reduced agency MBS purchases still swamp supply
This month marks the start of a new phase for the agency RMBS market as the New York Fed further reduces its asset purchases. However, the bank's activity is still overwhelming supply, and demand from private buyers remains low. The Fed commenced t...
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- Structured Finance
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Reducing variation
Valuation standards on the cards
The International Valuation Standards Council (IVSC) is establishing a cross-industry taskforce to develop principles of best practice for the valuation of financial instruments. The move has been welcomed as a step towards increasing transparency an...
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- RMBS
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Market Reports
- ABS
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ABS supply picks up
US ABS BWIC volume picked up yesterday to around US$184m, with supply mainly driven by auto names. However, SCI's PriceABS data also captured a variety of aircraft, credit card, equipment and student loan tranches out for the bid. Much of the suppl...
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- CLOs
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CLO supply keeps coming
It was another busy session in the CLO secondary market yesterday. Supply was dominated by 1.0 mezzanine paper, apparently boosted by the liquidation of one manager's CLO-squared. SCI's PriceABS data captured covers and price talk on 92 unique CLO...
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- RMBS
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Stronger start for US RMBS
It was a promising start to the week for US RMBS, as non-agency BWIC volume picked up to reach US$477m. SCI's PriceABS data shows price talk for a number of legacy names out for the bid - with vintages as far back as 2000 represented &#...
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- ABS
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News
- Structured Finance
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SCI Start the Week - 3 February
A look at the major activity in structured finance over the past seven days
PipelineThe pipeline was busy with deals passing through last week. Three new ABS, three RMBS and two CLOs remained in the pipe by Friday. The ABS were VCL Master Residual Value Compartment 1 Series 2014-1, VCL Master Residual Value Compartment 1 S...
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- CMBS
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Varied lease renewal rates in US CMBS
US CMBS credit quality has improved in many ways, but upcoming lease expirations continue to provide a potential source of downside shock. While they are difficult to calculate and predict, certain factors appear to make non-renewals more or less lik...
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- RMBS
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Prior delinquents provide opportunities
As part of a move to reduce its retained portfolios, Freddie Mac last year began securitisation programmes for current modified loans and re-instated loans (SCI 24 May 2013). The GSE's H pool, M pool and R pool securities represent new collateral typ...
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- Structured Finance
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Job Swaps
- Structured Finance
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SEC charges two for 'parking' scheme
The US SEC has charged two Wall Street traders at separate firms who were involved in a fraudulent s...
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New hire to source Euro opportunities
Fir Tree Partners has appointed Peter Calabro as md to lead the firm's expanded focus on European in...
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- CDS
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Markit signs Korean agreement
Markit has signed an agreement with Korean firm Koscom, which will now distribute Markit's CDS data...
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- CMBS
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CMBS servicing merger completed
Mount Street has acquired Morgan Stanley Mortgage Servicing (MSMS). The acquisition gives the commer...
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- Risk Management
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Consultancy opens OTC derivatives hub
GreySpark Partners has expanded its Asia-Pacific operations by opening its first Australian office,...
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- RMBS
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FHFA RMBS claim settled
Morgan Stanley has agreed to settle RMBS claims brought by the FHFA for US$1.25bn. The company will...
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Lehman settles with Fannie
Lehman Brothers Holdings Inc's US$2.15bn settlement with Fannie Mae has been approved in the New Yor...
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Arch completes mortgage insurance move
Arch US MI (Arch) has completed its acquisition of CMG Mortgage Insurance Company, having entered in...
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Court excludes Countrywide mod claims
While the US$8.5bn rep and warranty settlement between Bank of America and Bank of New York on 530 C...
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- Structured Finance
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News Round-up
- ABS
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Strong fundamentals seen in equipment ABS
Lessons learned from the last two broader economic recessions leave US equipment ABS well-positioned...
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Aircastle redemption offers upside
In a move that surprised the market, Aircastle is set to prepay the senior notes of the ACST 2006-1...
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Captive autos outperform in Europe
European captive auto loan ABS collateral strongly outperforms non-captive collateral, according to...
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- Structured Finance
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Reg AB vote postponed
The US SEC has decided to delay the vote on Regulation AB 2, which had been planned for tomorrow's o...
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Sukuk industry poised for growth
Long-term prospects for the sukuk industry remain promising, according to S&P. The agency no...
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South African SF to remain 'resilient'
Fitch predicts that the performance of assets backing South African structured finance will be resil...
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EU prop trading rules proposed
The European Commission has proposed rules to prevent large banks from engaging in proprietary tradi...
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Reg AB 2 vote scheduled
The US SEC is to hold an open meeting on 5 February to discuss, among other topics, Regulation AB 2....
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Underwriting standards slipping
The OCC's latest annual survey of credit underwriting suggests that underwriting standards in the US...
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Positive outlook for LatAm securitisation
Prospects for the Latin American structured finance markets in 2014 are good, according to S&...
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- CDS
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Sovereign CDS liquidity analysed
ISDA has published a research note examining the liquidity impact of the implementation of the EU sh...
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CDS definitions delayed
The launch of the 2014 ISDA Credit Derivatives Definitions has been delayed until the September CDS...
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- CLOs
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CLOs shown to be 'robust'
S&P says it has rated more than 1,100 US cashflow CLOs with an aggregate note balance of mor...
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- CMBS
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Share of specially serviced loans down
The improving economy has driven a drop in delinquency rates and a decrease in the share of loans in...
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CRE borrowers surveyed
The CRE Finance Council (CREFC), in collaboration with FPL Associates, has conducted a survey of com...
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Majority of non-defaulted loans to refinance
An estimated 86% of the US$16.4bn in Fitch-rated non-defaulted commercial mortgage loans with maturi...
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Loss severity pushes up
US CMBS liquidation volume remained steady in January at US$1.28bn, but several large losses pushed...
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Starwood bid surprises to the upside
Starwood Capital has confirmed its successful bid for a pool of REO assets in the CWCapital Asset Ma...
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Eighth straight drop for CMBS delinquencies
The Trepp US CMBS delinquency rate decreased by 18bp to 7.25% in January, marking the eighth straigh...
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- Insurance-linked securities
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State-sponsored cat bonds proliferate
Fitch expects continued growth in catastrophe bonds from state- and government-sponsored insurance o...
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- Risk Management
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LEI recommendation issued
The European Banking Authority has published a recommendation on the use of unique identification co...
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Agencies urged to revisit LCR
The Clearing House Association, the American Bankers Association (ABA), SIFMA, the Financial Service...
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Reporting interface extended
Calypso Technology has released an interface to the DTCC's Global Trade Repository service (GTR) for...
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Reporting service supports EMIR
MarkitSERV has begun reporting OTC derivative trades in rates, credit and equities for customers sub...
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- RMBS
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RMBS tender amended
Fir Tree Partners has amended certain terms of its cash tender offer for six RMBS that are subject t...
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RFC issued on Aussie set-off risk
Moody's has requested comment on the approach it is proposing in assessing set-off risk in relation...
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Further ESAIL restructuring underway
Noteholders of another UK RMBS - ESAIL 2007-PR1 - have directed the trustee to e...
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'Unusual' accounting flagged
A number of US RMBS that were originally serviced by Bank of America but were recently transferred t...
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Third IABF sale announced
The Dutch State Treasury Agency (DSTA) has launched its third competitive auction for the securities...
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Home prices face headwinds
US home prices are continuing their upward push nationwide, though the trend faces strong headwinds...
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RFC issued on TBA margining
FINRA is seeking comment on proposed amendments to FINRA Rule 4210 to establish margin requirements...
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German affordability to remain sustainable
Fitch says that despite rising house prices, mortgage affordability in Germany should remain sustain...
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Fed further reduces purchases
The New York Fed is set to reduce its asset purchases next month by a further US$10bn, evenly split...
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- ABS
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