Issue 408 - 15th October
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Market Reports
- CMBS
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CMBS supply stays steady
US CMBS BWIC volume climbed a little yesterday to just over US$320m. CMBS 2.0 and 3.0 double-As widened slightly, with other levels remaining largely unchanged. Vintages on offer ranged from 2002 to 2013. SCI's PriceABS data captured a lot of price...
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- CMBS
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SCIWire
- Secondary markets
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Dutch RMBS in for the bid
After a Dutch RMBS flash BWIC yesterday, the market sees two prime lists today. Yesterday afternoo...
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CLO secondary supply surges
After a relatively quiet few days on-BWIC the European and US CLO markets have a hefty volume of lis...
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CMBS opportunities sought
US CMBS investors are seeking out fresh secondary market opportunities as the sector's BWIC machine...
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European CMBS picks up
Activity in the European CMBS secondary market is picking up albeit from relatively low levels. Wi...
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1.0 CLOs hold sway
Despite the swathe of DNTs on yesterday's BWICs, the US CLO market is up for more today. Four lists...
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US RMBS moves to a holding pattern
Non-agency RMBS has moved into a holding pattern after a busy week as the long US weekend approaches...
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FDIC returns to mezz
The 11th FDIC Trups CDO BWIC sees the agency return to mezz paper following two less enthusiasticall...
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European BWICs get back underway
After a quiet start to the week on-BWIC thanks to the US holiday, the European ABS/MBS auction calen...
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European ABS/MBS edges wider
This morning has seen European ABS and MBS spreads edge wider on the back of both fundamentals and t...
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Euro mezz CLOs fail to trade
A five line list of euro mezz CLOs due at 15:00 London failed to trade despite involving bonds in th...
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Euro CLOs shift up
The European CLO BWIC pipeline shifts up a gear today with four lists already scheduled. There is a...
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Choppy trading in Euro ABS/MBS
The European ABS/MBS markets are currently seeing mixed trading and a slowing of momentum. "Execut...
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US CLOs get going
After a quiet start to the shortened week on-BWIC yesterday, the US CLO auction market gets going to...
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- Secondary markets
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News
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SCI Start the Week - 13 October
A look at the major activity in structured finance over the past seven days
Pipeline Several deals joined the pipeline last week. These included seven ABS, two RMBS, three CMBS and six CLOs. The ABS were: €500m A-BEST 10, US$1.107bn Ally Auto Receivables Trust 2014-SN2; US$999m CNH Equipment Trust 2014-C; US$552...
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- ABS
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LCR changes still penalise ABS
As well as the release of the delegated acts under the Solvency 2 directive, the European Commission (EC) has updated its required liquidity coverage ratio (LCR) and its definition of high quality liquid assets (HQLA). All told, the treatmen...
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Punch ratings disappoint
Fitch, Moody's and S&P last week published their new ratings for the restructured Punch A and Punch B whole business securitisations. Barclays Capital European ABS analysts believe that Fitch and S&P's ratings will have disappointed b...
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Job Swaps
- Structured Finance
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Manager to spin off advisory groups
Blackstone's board of directors has approved a plan to spin off its financial and strategic advisory...
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Appen swaps Barclays for Lloyds
Allen Appen has joined Lloyds to lead its financial institutions capital and asset-backed solutions...
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Retail restructurings targeted
A new joint venture focused on financing opportunities arising across performing, stressed and distr...
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- CDS
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Derivatives lawyer brought in
Chapman and Cutler has appointed Joel Laub as a partner in its New York City office. He will focus h...
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- CLOs
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CLO manager expands to Europe
Onex Credit Partners has added Stephen Baker as it establishes a London office and expands the platf...
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CLO partnership agreed
Credit Value Partners and Macquarie Group have agreed to work together to create a series of CLO fun...
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- CMBS
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Conduit relationship formed
Trez Capital Group has formed a strategic relationship with Natixis, whereby the New York branch of...
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- Risk Management
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ICE completes SuperDerivatives purchase
ICE has completed its acquisition of SuperDerivatives for approximately US$350m. The acquisition wil...
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- Structured Finance
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News Round-up
- ABS
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Punch restructuring launched
All conditions to Punch's restructuring proposals have been satisfied (SCI passim). Following the te...
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Weakening seen in prime auto collateral
US prime auto ABS credit quality has been declining since the latter half of 2012, following its str...
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German auto credit quality eyed
Signs of increasing risk appetite among German auto loan and lease originators have emerged graduall...
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- Structured Finance
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Structural concerns remain for Brazilian ABS
New regulations in the local Brazilian ABS market address some of the structural issues exposed by r...
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APAC ratings stable in 3Q14
Fitch affirmed the ratings on 160 Asia-Pacific structured finance tranches in 3Q14, as well as upgra...
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RFC issued on 'standard' securitisations
The EBA has launched a public consultation on its discussion paper on simple, standard and transpare...
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Investor expectations rise
European credit investors expect the ECB's purchase programme to influence both supply and spreads i...
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Risk variations 'not reflected'
The European Commission's decision to implement only two Solvency 2 capital charges on securitisatio...
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SCI conference line-up revealed
Panellists have been announced for SCI's 7th Annual Securitisation Pricing, Investment & Ris...
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Further clarification needed
Additional amendments to the Italian securitisation and covered bond law - introduced by L...
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Reg AB 2 webinar scheduled
SCI, in association with Lewtan, is hosting a webinar on the implementation of Regulation AB 2 at 3p...
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- CDS
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AMD widens on ceo replacement
A change at the top has sent CDS spreads for Advance Micro Devices (AMD) to their widest level since...
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Crossover tranche trades touted
Markit iTraxx Crossover tranches are set to begin trading on 20 October. Markit will support four tr...
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- CLOs
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CLO investment fund listed
Eagle Point Credit Company has launched an IPO on the NYSE of over 5.15 million shares at a price of...
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- CMBS
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Apartments driving CRE price rises
Moody's/RCA Commercial Property Price Indices (CPPI) national all-property composite index increased...
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Small multifamily loan programme launched
Freddie Mac Multifamily has unveiled a new initiative to purchase and securitise small multifamily l...
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RFC issued on CMBS enhancements
Moody's is requesting feedback on proposed enhancements to its approach to rating North American con...
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Resolutions drive late-pays lower
US CMBS late-pays fell by 8bp in September to 4.77% from 4.85% a month earlier, according to Fitch's...
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CMBS pay-offs dip
The percentage of US CMBS loans paying off on their balloon date dipped sharply in September to 53.3...
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- Risk Management
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Credit exposure increased in Q2
Insured US commercial banks and savings associations reported trading revenue of US$6.4bn in 2Q14, u...
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Collaboration seen in collateral management
Collateral management activities are entering a new stage beyond merely firm-level infrastructure an...
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ISDA stay protocol inked
Eighteen major global banks have agreed to sign a new ISDA Resolution Stay Protocol, which has been...
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SEF landscape evolving
Market participants are still evaluating trading on swap execution facilities (SEFs) and how they ma...
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- RMBS
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HUD auction 'less competitive'
The US Department of Housing and Urban Development last week released the results for its latest sin...
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Call for clarity on single GSE MBS
SIFMA has sent a comment letter to the FHFA, following the agency's request for input on its propose...
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UKAR assets back new RMBS
JPMorgan is in the market with Slate No.1, a UK RMBS backed by a £2.38bn multi-originator p...
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'Intuitive' analytics tool offered
TransUnion has partnered with Digilant Analytics to provide INTEXcalc subscribers with their Mortgag...
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Settlement threshold eyed
A letter from JPMorgan made public last week revealed that the number of accepted trusts/loan groups...
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Lehman reserves revisited
A group of trustees comprising US Bank, Wilmington, Law Debenture and Deutsche Bank are said to be t...
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GSE risk transfer gathering pace
The amount of credit risk on US residential mortgages that Fannie Mae and Freddie Mac sell via their...
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Traditional prime borrowers targeted
Slightly weaker performance is emerging for US prime RMBS transactions completed this year than for...
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Lending limit proposal welcomed
Limits on high LTV and loan-to-income (LTI) lending proposed by the Central Bank of Ireland would in...
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- ABS
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