Issue 409 - 22nd October
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News Analysis
- CDS
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Improved outcomes
New CDS definitions redress imbalance
Implementation of the ISDA 2014 Credit Derivatives Definitions appears to have gone smoothly last week, despite the last-minute addition of Caesars to the excluded reference entity list (SCI 15 September). The new documentation has significantly impr...
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- Structured Finance
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Rating restrictions
Sovereign caps impact investor options
Recent rating agency criteria changes have re-focused attention on the European peripheral ABS markets. While all investors - including the ECB - will be affected, the importance attached to ratings varies. Fitch updated its Iri...
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- CDS
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Market Reports
- ABS
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Monday sees ABS mix on BWICs
US ABS secondary market supply yesterday was fairly evenly split between auto, credit card and student loan ABS. SCI's PriceABS data captured a number of tranches out for the bid, with BWIC supply focused on post-crisis paper. In the auto space the...
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- RMBS
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Non-agency activity rises
US non-agency RMBS bid-list volume climbed yesterday to around US$430m, largely driven by a spike in subprime supply. SCI's PriceABS data reveals strong execution for a range of pre-crisis tranches. The earliest available paper came from 2003-vinta...
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Large RMBS tranches DNT
US non-agency RMBS liquidity took a dip yesterday as a busy day of bid-lists yielded a high number of DNTs. Over US$1bn worth of paper was out for the bid on the day's BWICs, but SCI's PriceABS data shows many of the larger tranches did not trade. ...
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- ABS
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SCIWire
- Secondary markets
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Hefty CLO auction schedule
Despite a slew of yesterday's CLO BWICs showing as DNT or TRD and plenty more with no colour release...
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Knock-on impact felt
European ABS, CLO and MBS secondary markets are continuing to feel some knock-on impact fro...
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More mezz Trups
A second mezzanine Trups CDO BWIC is now circulating for trade after today's FDIC auction at 11:00 N...
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US RMBS put to the test
After an active and volatile first few days this week, the US non-agency RMBS is being tested today....
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CLOs quieter
More than half of the CLOs on BWIC yesterday came back DNT, but that nearly half did trade is better...
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Cautious optimism in European ABS/MBS
Some cautions optimism has returned to the European ABS/MBS market since late yesterday and into thi...
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Quiet start for European ABS/MBS
It's been a quiet start to the week this morning for European ABS/MBS with many players focusing on...
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Change of tone in US CMBS
The US CMBS market is already showing a different tone to that seen last week. "The market is all...
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Triple-Bs dominate European CLO BWICs
Triple-B paper dominates today's schedule as the European CLO BWIC market gets under way for this we...
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FDIC auction announced
The 12th FDIC auction of Trups CDOs has been announced and set for Thursday at 11:00 New York. The l...
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Dutch seniors trade as expected
Today's 15:00 London time Dutch prime senior RMBS list has traded broadly in line with talk. However...
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Short-term boost for US CLOs
Sentiment has improved in the US CLO market today, but there remain longer-term concerns. "Today a...
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Euro CLOs keep a low profile for now
There's little on the European CLO BWIC schedule for the rest of this week yet, but there is a high...
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Another Trups mezz auction
Another mezz Trups CDO BWIC has emerged for this week to complement the FDICs 12th auction on Thursd...
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- Secondary markets
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News
- Structured Finance
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Servicer continuity highlighted
The market was taken by surprise when about 40 ABS bonds became ineligible under the ECB's collateral framework on 7 October and then again when 19 of them were reinstated on 15 October. The bonds are understood to have been removed from the list of...
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SCI Start the Week - 20 October
A look at the major activity in structured finance over the past seven days
Pipeline Last week a variety of new deals joined the pipeline. There were six ABS added, along with two RMBS, four CMBS and two CLOs. The ABS were: US$95.5m California County Tobacco Securitization Agency (Kern) 2014; US$120.18m Elara HGV Timeshar...
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Bridging the gaps
ARC Ratings continues to build out its methodologies and criteria for structured finance (SCI 23 September), following the rating agency's launch at the beginning of the year (SCI 16 January). Emma-Jane Fulcher has been appointed head of structured f...
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- RMBS
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Put-back clarity offered
In prepared remarks delivered at the annual MBA convention, FHFA director Mel Watt last week announced several key changes aimed at improving US mortgage credit conditions. Borrowers refinanced through the HARP process are expected to benefit the mos...
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- Structured Finance
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Job Swaps
- Structured Finance
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Management shuffle at Invitation Homes
Invitation Homes has named Bryce Blair as executive chairman of the board and John Bartling as presi...
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New bond fund for Bowie
TwentyFour Asset Management is set to launch an open-ended UCITS bond fund in early December, run by...
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Spajic moves east
PIMCO has appointed evp and portfolio manager Luke Spajic to head its emerging markets Asia portfoli...
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Accola adds senior advisor
Accola Capital has added Dennis Buckley as a senior advisor. He will work on European and MENA debt...
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Agency beefs up
Scope Ratings has recruited six industry professionals to its team, less than two months after the a...
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- CLOs
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CLO manager replaced
Clinton Group has assigned its rights and obligations as collateral manager for Shinnecock CLO 2006-...
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- Insurance-linked securities
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ILS manager opens in Gibraltar
Horseshoe Group has expanded its operations with the establishment of Horseshoe Management Gibraltar...
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- Risk Management
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Vendor bags Blockland
4sight Financial Software has hired Raymond Blockland as a senior consultant. Blockland arrives with...
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Further investment in analytics provider
ICAP has made a further investment in ENSO, following its initial investment in the firm in May 2013...
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- RMBS
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IndyMac distribution underway
Pursuant to an order of the US District Court for the Southern District of New York, settlement fund...
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- Structured Finance
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News Round-up
- Structured Finance
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Risk retention vote due
The US Fed has scheduled an open meeting on 22 October to vote on the adoption of a final credit ris...
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Greek eligibility tested
Morgan Stanley European ABS analysts have applied the ECB's ABSPP criteria to the eight placed Greek...
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Consistency for impairment definition
Moody's has realigned its definition of impairment for structured finance securities in Japan with t...
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Liquid credit fund rolled out
Alliance Bernstein has launched a new liquid credit mutual fund as part of a broadening of its US re...
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Risk retention rules adopted
The FDIC, OCC, Fed, SEC and HUD have adopted final rules for credit risk retention under se...
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- CDS
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Management overhaul widens Darden CDS
Five-year CDS on Darden Restaurants widened 47% over the past month, putting them at levels not seen...
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Negative basis trades touted
The launch of the ISDA 2014 Credit Derivatives Definitions make subordinate CDS a much better econom...
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Nabor CDS widen on oil price drop
Fitch Solutions' latest case study snapshot reveals that five-year CDS on Nabor Industries widened b...
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- CLOs
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Divergent behaviour highlighted
Two recent European loan restructurings have demonstrated how the CLO vote can create strong one-way...
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- CMBS
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Colony debuts multifamily CMBS
Colony Financial is prepping a non-agency multi-borrower multifamily CMBS, which is believed to be t...
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Expected losses published
KBRA has published its expected losses for the 2005-2008 CMBS vintages using data from its monthly c...
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- NPLs
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NPL portfolio acquired
AnaCap Financial Partners has acquired €1.9bn of NPLs from UniCredit Group. The transactio...
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- Risk Management
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Collateral management tool updated
Lombard Risk Management has released the latest version of its collateral management, clearing, inve...
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Dissemination impact examined
The US SEC has published analyses of data on the reporting and dissemination of security-based swap...
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- RMBS
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LBHI cross-motion filed
Lehman Brothers Holdings Inc has filed objections to both counts of a trustees' motion that had aske...
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US home prices stall
US home price growth appears to have stalled, according to Fitch's latest quarterly index report. Na...
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Swap replacement 'credit positive'
Dutch RMBS issuers - including Arena NHG 2014-I (SCI 20 August) - have begun rep...
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- Structured Finance
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