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Issue 409 - 22nd October

  • News Analysis

    • CDS

      • 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...

    • Structured Finance

      • 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...

  • Market Reports

    • ABS

      • 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...

    • RMBS

      • 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...

      • 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. ...

  • SCIWire

    • Secondary markets

      • Hefty CLO auction schedule

        Despite a slew of yesterday's CLO BWICs showing as DNT or TRD and plenty more with no colour release...

      • Knock-on impact felt

        European ABS, CLO and MBS secondary markets are continuing to feel some knock-on impact fro...

      • More mezz Trups

        A second mezzanine Trups CDO BWIC is now circulating for trade after today's FDIC auction at 11:00 N...

      • 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....

      • CLOs quieter

        More than half of the CLOs on BWIC yesterday came back DNT, but that nearly half did trade is better...

      • 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...

      • FDIC auction announced

        The 12th FDIC auction of Trups CDOs has been announced and set for Thursday at 11:00 New York. The l...

      • Another Trups mezz auction

        Another mezz Trups CDO BWIC has emerged for this week to complement the FDICs 12th auction on Thursd...

  • News

    • Structured Finance

      • 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...

      • 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...

      • 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...

    • RMBS

      • 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...

  • Job Swaps

      • New bond fund for Bowie

        TwentyFour Asset Management is set to launch an open-ended UCITS bond fund in early December, run by...

      • Spajic moves east

        PIMCO has appointed evp and portfolio manager Luke Spajic to head its emerging markets Asia portfoli...

      • Accola adds senior advisor

        Accola Capital has added Dennis Buckley as a senior advisor. He will work on European and MENA debt...

      • Agency beefs up

        Scope Ratings has recruited six industry professionals to its team, less than two months after the a...

    • CLOs

      • CLO manager replaced

        Clinton Group has assigned its rights and obligations as collateral manager for Shinnecock CLO 2006-...

    • Insurance-linked securities
    • Risk Management

      • Vendor bags Blockland

        4sight Financial Software has hired Raymond Blockland as a senior consultant. Blockland arrives with...

  • News Round-up

    • Structured Finance

      • 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...

      • Greek eligibility tested

        Morgan Stanley European ABS analysts have applied the ECB's ABSPP criteria to the eight placed Greek...

      • Expected losses published

        KBRA has published its expected losses for the 2005-2008 CMBS vintages using data from its monthly c...

    • NPLs

      • NPL portfolio acquired

        AnaCap Financial Partners has acquired €1.9bn of NPLs from UniCredit Group. The transactio...

    • RMBS

      • LBHI cross-motion filed

        Lehman Brothers Holdings Inc has filed objections to both counts of a trustees' motion that had aske...

      • 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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