Complete news archive

  • Cash CLO pricing model proposed

    Ex-Lehman Brothers analysts Yadong Li and Ziyu Zheng have published a paper proposing a top-down pricing model for cash CLO tranches based on research they undertook between May and September 2008 while both were employed at the bank. The pair say that the risk-neutral model has the potential to facilitate transparency in the cash CLO markets and could also greatly .......

    News 12 May 2010

  • Second RFC issued on California CDS

    California state treasurer Bill Lockyer has sent a follow-up request for information on muni CDS trading to Bank of America Merrill Lynch, Barclays Capital, Citi, Goldman Sachs, JPMorgan and Morgan Stanley. This follows his receipt of responses from the banks with respect to his questions and concerns over activity in California muni CDS (SCI passim).

    After reviewing and analysing these .......

    News Round-up 12 May 2010

  • ECB extends liquidity, SF pressures remain

    The announcement by the European Central Bank (ECB) that it will extend its non-standard liquidity measures conforms to Fitch's expectation that it will continue to support and work to restore market confidence, the agency says. Fitch notes the ECB's measures are not intended to be permanent, so - despite a temporary boost to banks' liquidity - it is concerned that .......

    News Round-up 12 May 2010

  • BoA back in league with upsized card deal

    Bank of America Merrill Lynch's upsized credit card offering signals that the bank is back in the mix with other credit card issuers, albeit with some caveats.

    The US$900m deal, which was originally US$750m, priced at 30bp over one-month Libor. The triple-A rated A1 class has an average life of three years. Leads on the offering are Bank of America .......

    News 12 May 2010

  • Euro volatility drives global CDS widening

    The Euro zone's ongoing fiscal problems resulted in a weekly widening of global CDS spreads not seen since the height of the credit crisis, according to Fitch Solutions in its latest report for the sector. Globally, CDS spreads widened by 19% last week, with much of the spread widening occurring on Thursday.

    The overall five-year Probability of Default Index grew .......

    News Round-up 12 May 2010

  • Fed said to explore portfolio sale options

    The US Fed has reportedly been in contact with broker-dealers to gauge the potential impact of selling its MBS portfolio and to solicit ideas on possible approaches. Former Fed governor Frederick Mishkin noted last week at a Deutsche Bank conference that allowing the Fed MBS portfolio to run-off would keep the Fed entangled in the housing market for more than .......

    News 12 May 2010

  • Broadgate Financing hit by development proposal

    Moody's and S&P have taken rating actions on the junior CMBS notes issued by Broadgate Financing. The move follows the announcement on 4 May that non-binding heads of terms have been agreed between Bluebutton properties (the Blackstone Funds and British Land JV that owns the Broadgate Estate) and UBS to construct a new building for UBS on the site of 4 .......

    News Round-up 12 May 2010

  • Pre-hurricane season rush continues

    Details of two more potential new catastrophe bonds have emerged over the past week, as price guidance was issued on another and one transaction closed. Both the new deals are from established programmes - United Services Automobile Association's (USAA) Residential Re and Allianz's Blue Fin.

    The long-awaited multiple US peril Residential Re 2010 has been given preliminary ratings by S&P. .......

    News 12 May 2010

  • Agency MBS prepays meet expectations

    April agency RMBS prepayment rates generally met market expectations, according to MBS analysts at Wells Fargo. In the 30-year sector, FNMA prepayment rates increased by 1.3% CPR or 4% month-over-month, while FHLMC 30-year prepayment rates decreased 1.5% CPR or 9% month-over-month.

    "We expect FHLMC prepayment rates to be slower in May and FNMA prepayment to be faster in coupons of .......

    News Round-up 12 May 2010

  • Investors react to sovereign concerns

    Eurozone sovereign contagion concerns finally took their toll on the ABS and CDO markets late last week. Spreads in both Europe and the US came under pressure, before Sunday's extraordinary support package from the EU and ECB restored some semblance of calm.

    The European secondary market saw certain senior ABS widening by 60bp-70bp on Friday (7 May) and, despite a .......

    News 12 May 2010

  • OTC valuation costs analysed

    A new Celent study, entitled 'Optimising the OTC Pricing and Valuation Infrastructure', has uncovered significant duplication of analytics across front, middle and back offices. The findings suggest that firms adopting in-house strategies for OTC pricing will require significant investments between US$25m and US$36m alone to build, maintain and enhance a complete derivatives library over a five-year lifecycle.

    One key finding .......

    News Round-up 12 May 2010

  • Heads in the sand

    European ABS market activity in the week to 6 May

    The European ABS market over the past week has experienced a significant decrease in trading activity as a result of increasing concerns regarding sovereign risk and the wait-and-see approach being adopted by dealers. While the secondary market softens, new regulation threatens to hinder new issuance.

    One ABS dealer explains that although pricing has come down over the past week, the .......

    Market Reports 12 May 2010

  • EOD for Taurus 4 loan

    Investors in UK CMBS Taurus 4 have been notified that the £170m St Katherine's Dock loan referenced by the transaction has entered into an event of default. Following a valuation in February - which was finalised in April - the market value of the property that secured the loan was determined to be £116m. As a result, the borrower has .......

    News Round-up 12 May 2010

  • MV CLO gets additional flexibility

    Shiprock Finance SPC, acting on behalf of and for the account of market value CLO SF-3 Segregated Portfolio, has entered into an amendment to a variable funding note purchase agreement with Bank of America, National Association (as the variable funding note agent), PNC Bank, National Association (as the variable funding noteholder agent) and the variable funding noteholder.

    The amendment: extends .......

    News Round-up 12 May 2010

  • Defeasance note-backed deal rated

    Deutsche Bank has closed an unusual real estate-related securitisation, backed by three defeasance notes on two properties in New York. Moody's has assigned a triple-A rating to the US$94m single-tranche deal, dubbed Defeased Loan Trust 2010-1.

    The defeasance notes are the 11 Madison Avenue B-note, the 11 Madison Avenue D-note and the One Park Avenue D-note. Each of the defeasance .......

    News Round-up 12 May 2010

  • Most MV CLOs avoided default

    Moody's says events of default (EODs) were avoided by the vast majority of market value CLOs, despite enormous stresses as bank loan prices plummeted. None of the transactions that triggered an EOD were forced to liquidate quickly and absorb the severe losses that would have followed, according to the rating agency.

    "Events demonstrate that the performance of market value CLOs .......

    News Round-up 12 May 2010

  • Basis risk impacts student loan ABS

    US FFELP student loan ABS is being exposed to significant short-term volatility by basis risk, says Fitch. Most of the volatility is caused by the difference in the spot and average rates and not the difference in the indices.

    "Senior FFELP student loan ABS bonds with 3% or more of credit enhancement appear to be well protected against basis risk," .......

    News Round-up 12 May 2010

  • RFC out on assessing operational risk

    Moody's is asking market participants to comment on its proposed approach to assessing operational risk in structured finance transactions. The approach - set out in a new report called Global Structured Finance Operational Risk Request for Comment - discusses the rating agency's fundamental considerations when analysing servicing arrangements.

    These include back-up servicer, master servicer, third-party servicer and cash manager/calculation agents .......

    News Round-up 12 May 2010

  • Cash release mechanism amended for card ABS

    Shinhan Card Co has amended the cash release mechanism from the portfolio yield reserve account on the Aa1 rated class A secured floating rate notes issued by Credipia 2006 Plus One A International and the A2 rated class B secured floating rate notes issued by Credipia 2006 Plus One B International. The amount in the portfolio yield reserve account will .......

    News Round-up 12 May 2010

  • Singapore CMBS liquidity issue resolved

    Moody's has today confirmed the triple-A rating on the €186.2m CMBS notes issued by Orion Prime, following their placement on review for possible downgrade on 1 March 2010. The move was prompted by the lack of sufficient liquidity according to Moody's guidelines on the minimum liquidity protection for Singapore CMBS transactions.

    The Orion notes are secured by its rights to .......

    News Round-up 12 May 2010

  • NC RMBS arrears improvement slows

    Arrears levels in UK non-conforming RMBS transactions are not declining as quickly as in 2009, according to a new report by Fitch, suggesting that arrears may stay at elevated levels. The agency's sector index for Q110 shows the volume of loans three or more months in arrears at 19.7% of the value of outstanding loans, down from 20% in Q409. .......

    News Round-up 12 May 2010
×