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Issue 386 - 14th May

  • News Analysis

    • RMBS

      • Switch sense

        Non-conforming pay-down triggers anticipated

        UK non-conforming RMBS continues to outperform US subprime RMBS and several deals are now approaching their pay-down switch triggers. Anticipating the switch is a key factor in deciding where and when to invest. "Investors have not really suffered...

  • Market Reports

    • ABS

      • US ABS secondary supply picks up

        US ABS BWIC activity picked up to around US$177m yesterday - up from just US$58m the day before - with a mix of auto and student loan bonds driving supply. SCI's PriceABS data shows 15 unique US ABS tranches out for the bid. Amo...

    • CLOs

      • Euro investors watching CLO equity

        European CLO investors are largely waiting on the sidelines and observing as secondary market activity has slowed considerably. CLO 2.0 equity paper - both secondary and new issue - is proving most popular with investors. "A few...

    • CMBS

      • CMBS supply centres on A4s, AJs

        US CMBS bid-list volume came in at around US$175m yesterday, slightly lower than it had been at the end of last week. SCI's PriceABS data shows a significant amount of A4 and AJ paper out for the bid. A large CDO liquidation list of fully written-d...

    • RMBS

      • Bid-list boost for US RMBS

        US non-agency RMBS BWIC volume reached US$716m in yesterday's session as supply was up across all product types. Most of the supply came from senior and mezzanine subprime floaters but there was also interest in senior Alt-A current-pays and senior o...

  • News

    • Structured Finance

      • SCI Start the Week - 12 May

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

        Pipeline Just nine new deals were added to the pipeline last week. These consisted of three ABS, an ILS, two RMBS, a CMBS and two CLOs. The newly-announced ABS comprised US$1.03bn Ally Auto Receivables Trust 2014-1, US$488.3m Porsche Financial Aut...

    • CLOs

      • CLO performance prompts forecast rethink

        Despite the high level of uncertainty the CLO market has faced, JPMorgan has increased its issuance estimates for the US. Supply in 2013 was US$97.4bn, of which US$87.1bn came from the US and the remainder from Europe. Issuance trends so far this y...

    • CMBS

      • XA spread compression over?

        The strength of US CMBS XA tranche BWIC execution last month caught the market by surprise, leading to a sharp rally in select IOs. New issue XAs are now trading through their historical tights, suggesting that the potential for further upside is lim...

      • Stuy Town expectations revised

        The outlook for the Stuyvesant Town-Peter Cooper Village loan, securitised in five CMBS, has improved. Losses are no longer expected and the property could be sold later this year. The Manhattan apartment complex backs a US$3bn senior loan split be...

      • Dodd-Frank to prompt B-piece sales

        The first four months of the year have seen 60 US CMBS B-piece bonds appear a combined 97 times on BWICs. Dodd-Frank risk-retention requirements could accelerate this trend in the near term. Morgan Stanley CMBS analysts put the value of those B-pie...

    • RMBS

      • Additional settlement proceeds projected

        US RMBS investors could receive an estimated US$11.5bn-US$24.2bn in additional proceeds, if other rep and warranty settlements are announced with similar payments to the recent Gibbs & Bruns agreements with Citi and JPMorgan (SCI 24 April). T...

  • Job Swaps

    • Structured Finance

      • Demica adds SF specialist

        Demica has appointed Sarah Gannon as business development director. She reports directly to ceo Phil...

    • CDO

      • Duke CDO manager replaced

        Dock Street Capital Management has been appointed as successor collateral manager for Duke Funding H...

    • CLOs

      • CLO research analyst added

        Citigroup has added Maggie Wang to its CLO research team in New York. She joins as a director and wi...

    • RMBS

      • RMBS market vet recruited

        Cello Capital Management has appointed Nicholas Letica as md and senior portfolio manager. He has 27...

  • News Round-up

    • CDO

      • ABS CDOs on the block

        Auctions will be conducted for the RFC CDO II and III transactions on 2 June. The collateral shall o...

      • CDO liquidations set

        Several CDOs are set to be redeemed in the coming weeks. First, at least two bids for each sub-pool...

    • CLOs

      • EODs unlikely for CLO 2.0s

        Moody's reports in its latest CLO Interest publication that a review of 52 US broadly syndicated loa...

      • CMBS pay-offs inch lower

        The percentage of US CMBS loans paying off on their balloon date was 63.6% in April, just one point...

    • Insurance-linked securities

      • ILS vehicle debuts

        Jardine Lloyd Thompson Capital Markets has closed a US$10m private placement catastrophe bond, Marke...

      • SDR connectivity offered

        TriOptima is set to offer data verification and portfolio reconciliation in CME's Swap Data Reposito...

    • RMBS

      • GSE guidelines loosened

        The GSEs have updated their representation and warranty guidelines, effective for mortgages settled...

      • QM amendments considered

        The Consumer Financial Protection Bureau (CFPB) is proposing several changes to the qualified mortga...


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