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Issue 403 - 10th September

  • News Analysis

    • CMBS

      • Caution ahead?

        Intermediate direction of US CMBS spreads unclear

        US CMBS credit metrics continue to slip, but are seemingly yet to give investors pause. Nevertheless, while the positive reception for WFRBS 2014-C22 this week marks a departure from recent pricing weakness in the sector, caution remains regarding th...

  • Market Reports

    • ABS

      • ABS secondary supply up

        US ABS bid-list volume was up from the prior session to reach around US$270m yesterday. Much of the supply came from student loan and credit card bonds, but a significant amount of aircraft ABS paper was also circulating. SCI's PriceABS data picked...

    • CMBS

      • CMBS secondary activity climbs

        US CMBS secondary market activity picked up yesterday, with BWIC volume more than doubling to over US$80m. CMBS 2.0 and 3.0 junior triple-As tightened a little, but otherwise spreads were generally unchanged. SCI's PriceABS data recorded several co...

      • Weaker bounce for CMBS

        The European CMBS market remains fairly quiet, despite the better than expected announcement from the ECB yesterday (SCI 5 September). However, prices have been creeping up since last week and further moves are expected. "CMBS has not been very act...

  • SCIWire

    • Secondary markets

      • CLO BWIC circulating

        The first CLO BWIC of the day, scheduled to trade at 15:00 New York time, has begun circulating. T...

      • Subprime list disappoints

        The US$1.5bn RMBS BWIC the market had been waiting for came out yesterday but met with weak executio...

      • ECB sparks RMBS rally

        European RMBS has rallied on the back of the ECB's confirmation that it will commence ABS purchases....

      • Euro CLOs reap ECB benefit

        European CLO secondary spreads across the capital structure either held firm or narrowed last week o...

      • Euro ABS eases

        Activity in the European ABS market has eased today, following another active day yesterday where sp...

      • Floating interest

        A collection of senior FFELP auction rate bonds being offered on BWIC today at 12:00 New York time i...

      • Euro CLOs go higher

        Heavy trading volumes have continued in the European CLO secondary market throughout today pushing p...

      • FDIC offers triple-As

        The FDIC's Trups CDO auction process will reach its seventh iteration with an auction scheduled for...

      • Euro ABS/MBS softer

        European ABS and RMBS markets opened softer this morning following the direction seen into the close...

  • News

    • Structured Finance

      • LCR, SLR requirements finalised

        The US Fed, the FDIC and the OCC have released a notice of final rulemaking that implements minimum liquidity coverage ratio (LCR) requirements for banks and depository institutions. They have also issued a final rule modifying the definition of the...

      • SCI Start the Week - 8 September

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

        PipelineThe first week of September saw the pace of deals joining the pipeline quicken. The week's additions consisted of eight ABS, one ILS, one RMBS, four CMBS and two CLOs. The ABS comprised: US$273m CPS Auto Receivables Trust 2014-C; £...

    • CMBS

      • Hope note recoveries examined

        As the use of hope note CMBS modification wanes in the US, more information is becoming available on their performance in a liquidation. Although many hope notes have posted 100% loss severities, some have seen meaningful recoveries. Based on a rec...

    • RMBS

      • Non-conforming optionality supported

        Five UK non-conforming RMBS have cured their pro-rata triggers since May, taking the total number of deals in the segment paying on a pro-rata basis to 23, according to Morgan Stanley figures. Given continued improvement in arrears performance, the s...

  • Job Swaps

    • Structured Finance

      • SF vet nets top role

        The Investment Industry Regulatory Organization of Canada (IIROC) has appointed Andrew Kriegler as i...

      • Rival GFI bid prepped

        BGC Partners intends to commence a tender offer to acquire all of the outstanding shares of GFI Grou...

      • SF legal vet brought in

        Jones Day has appointed Neil Hamilton to the firm's London office as a capital markets partner. He w...

    • CLOs

      • Credit manager adds trader

        Highland Capital Management has hired Chris Hayes as a loan and high yield bond trader. He will be b...

    • Insurance-linked securities
    • Risk Management
    • RMBS

      • REIT adds mortgage vet

        Two Harbors Investment Corp has appointed Beth Mlynarczyk as policy and strategy vp. She has previou...

  • News Round-up

    • Structured Finance

      • ABS strategies outperform

        Hedge funds returned an average of 1.4% in August, with average gross market exposure across the ind...

      • ABSPP effect to take time

        Moody's says that while measures announced by the ECB last week are broadly credit positive for the...

      • BWIC information offered

        JPMorgan plans to provide BWIC trading volume information to clients via its DataQuery application,...

    • CDO

      • ABS CDO on the block

        An auction will be conducted for the Bluegrass ABS CDO II on 27 September. The collateral shall only...

      • Argentine CDS settled

        The final price of Argentine Republic CDS has been determined to be 39.5, following yesterday's auct...

    • CLOs

      • More CLO taps mooted

        Fitch expects more managers to tap CLO 2.0 deals after Dryden XXVII Euro CLO 2013 (SCI 19 August) be...

    • CMBS

      • CMBS pay-off rate drops

        The percentage of US CMBS loans paying off on their balloon date sank sharply in August to 59.3%, th...

      • CMBS delinquencies inch up

        The US CMBS delinquency rate stands at 6.10%, 6bp above July's reading, according to Trepp. August's...

      • OTC support remains strong

        OTC derivatives continue to be an integral part of end-user risk management strategies, according to...

      • Springleaf subs acquired

        Chimera Investment Corp has acquired the rights to approximately US$4.8bn of seasoned residential mo...


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