Complete news archive

  • Market reaction

    Goldman CSO fraud hard to prove

    The SEC's decision to bring fraud charges against Goldman Sachs in relation to Abacus 2007-AC1 CSO (see News Round Up) immediately roiled share and CDS markets. But it does not appear on the surface that the structured finance markets will have any long-term impact from the case.

    CDS on Goldman widened 41% following the SEC's announcement, according to Fitch Solutions, while .......

    News Analysis 21 April 2010

  • WBS revival

    Whole business securitisation interest stirs

    Banks are in early talks to bring whole business securitisations back into the public's eye, according to sources involved in the process. The securitisations, which are different than typical asset securitisations, are garnering attention in light of the tight spread environment in corporate bonds.

    "There's definitely a lot of interest in this area again," says one source familiar with the .......

    News Analysis 21 April 2010

  • SIFMA names new securitisation head

    The Securities Industry and Financial Markets Association (SIFMA) has appointed Richard Dorfman as md and head of the SIFMA securitisation group. Dorfman joins from the Federal Home Loan Bank of Atlanta, where he was president and ceo.

    SIFMA president and ceo Tim Ryan comments: "With this addition, SIFMA is even better positioned to address the securitisation issues that are currently .......

    Job Swaps 20 April 2010

  • SEC brings fraud charges against GS

    The Securities and Exchange Commission (SEC) on 16 April filed securities fraud charges against Goldman Sachs and one of its employees - Fabrice Tourre - for making material misstatements and omissions in connection with a synthetic CDO that GS structured and marketed to investors.

    The deal, Abacus 2007-AC1, was tied to the performance of subprime RMBS and was structured and .......

    News Round-up 20 April 2010

  • PrimeX launch imminent

    PrimeX, a new series of CDS indices referencing triple-A bonds in the US prime RMBS sector, is scheduled to launch next week. Twelve dealers have signed up to participate in the index thus far.

    PrimeX consists of four sub-indices: PrimeX.FRM.1, PrimeX.FRM.2, PrimeX.ARM.1, and PrimeX.ARM.2. The aim of each index is to provide a standardised, diverse and transparent tool to gain .......

    News Round-up 20 April 2010

  • ABC's of Credit

    Byron Douglass, senior research analyst at CDR, looks at a long opportunity on AmerisourceBergen

    The prospect of generating trading gains from spread tightening is diminishing quickly as the credit market tops out. AmerisourceBergen's CDS spread widened more than 50% from its tights along with the recent underperformance of the CDS market. Given the company's strong liquidity, rising revenues, stable margins and increasing free cash flow, the company's CDS offers a good long opportunity.

    AmerisourceBergen's .......

    Research Notes 20 April 2010

  • Negative convexity and mergers loom over LCDX

    Despite market technicals that support higher prices in Markit's North American Leveraged Loan Index (LCDX), negative convexity along with M&A pressure could impact the loan sector in the next few months, said analysts and traders on a Goldman Sachs conference call yesterday (13 April).

    Recent M&A activity, such as the merger announcement this week of Mirant Corp and RRI Energy, ......

    News 14 April 2010

  • CRA may relax CLO default assumptions

    Moody's says it may relax the default stress assumptions on CLOs that it introduced early last year and is currently considering the appropriate timing and degree of such a change. The 30% default assumptions - intended to address the unprecedented stress observed in the recent credit cycle - were introduced in the rating agency's first stage review of the CLO sector.

    In its .......

    News Round-up 14 April 2010

  • Monoline vet joins CDS broker

    CDS brokerage Traccr has hired Philippe Tromp as a non-executive director. Tromp was most recently ceo and senior md of Assured Guaranty (UK) and Financial Security Assurance (UK), where he has worked for more than 15 years. He was head of international operations and had overall responsibility for origination and underwriting activities in the ABS, municipal and public infrastructure markets .......

    Job Swaps 14 April 2010

  • SIVs' ratings affirmed

    Fitch has affirmed the long-term senior notes of Beta Finance and Five Finance at single-A plus, outlook stable. Both SIVs are advised by Citi and the notes' ratings are credit-linked to the rating of the bank.

    .......

    News Round-up 14 April 2010

  • More Greek downgrades noted

    Fitch has downgraded 15 senior classes from 15 Greek RMBS transactions to double-A minus from double-A plus, downgraded nine mezzanine tranches, and downgraded two Greek ABS transactions to triple-B minus from triple-B plus. The rating actions follow Fitch's Greek sovereign downgrade to triple-B minus on 9 April.

    Most Fitch-rated Greek RMBS tranches remain on rating watch negative, where the agency .......

    News Round-up 14 April 2010

  • IOSCO unveils ABS disclosure principles

    The IOSCO Technical Committee has published its final report on ABS disclosure principles, intended to give guidance to securities regulators that are developing or reviewing their regulatory disclosure regimes for public offerings and listings of ABS. The committee says it hopes the principles will enhance investor protection by facilitating a better understanding of the issues that regulators should consider in .......

    News Round-up 14 April 2010

  • More CMBS loans in special servicing

    CMBS had a higher percentage of loans in special servicing through maturity defaults than the overall average in 2009, Mary Chamberlain, associate director of the Servicer Evaluations Group at S&P said on a conference call on 8 April. By mid-year, 9.1% of unresolved CMBS loans were actually due to maturity default, which increased to 13% by year-end.

    CMBS loans in .......

    News Round-up 14 April 2010

  • SF CDO senior investors recoup 70%

    The liquidation of US structured finance CDO Gennaker I resulted in a recovery of approximately 70% of the par amount for senior investors, with the class A-1A notes receiving US$331.1m out of the outstanding balance of US$478.6m. All other classes of notes suffered a 100% loss, however.

    The transaction experienced an event of default on 16 April 2009 and the .......

    News Round-up 14 April 2010

  • TITN 07-3 to set Euro CMBS precedent?

    The special servicer appointed over both the A&A Express loan and the Lovat Lane loan in Titan Europe 2007-3 has accepted discounted principal repayment of the loans. The move could set a precedent for CMBS in Europe.

    "This is the first time we can think of that discounted settlement has been accepted on a loan in a CMBS deal in .......

    News Round-up 14 April 2010

  • CDS liquidity highlights ongoing uncertainty

    Fitch Solutions reports that global CDS liquidity is still indicating lingering concerns over public finances in Europe and Greeces ability to raise funds to cover maturing debt, despite a small drop-off in risk.

    Overall liquidity in Europe has seen the most pronounced drop-off, while oil and gas companies in North America are trading with the most liquidity, according to Fitch. .......

    News Round-up 14 April 2010

  • Agency CPRs anticipate buyout programme impact

    Prepayment speeds in February (March data release) on 30-year Freddie Mac collateral experienced a significant month-over-month spike, following the agency's 10 February announcement to purchase "significantly all" of the 120-day or more delinquent loans from MBS pools within the month of March (SCI passim).

    In aggregate, the 30-year Freddie Mac CPR hit 42.3 (an increase of 28 CPR or 195%), .......

    News Round-up 14 April 2010

  • SME CLO gets replenishment constraint

    The amendment to Schedule 3 of the loan receivables purchase agreement between German SME CLO Northern Blue 2009 and HSH Nordbank, effective 26 March, creates a new criterion under which the weighted average maturity (WAM) of the loan portfolio after each replenishment must not be higher than 7.6 years, calculated from the closing date. Before the amendment there was no .......

    News Round-up 14 April 2010

  • Sovereign credit risk surges again

    Sovereign credit risk surged once again over the past month. While headlines continue to focus on Greece, Credit Derivatives Research (CDR) chief strategist Tim Backshall suggests that this is more of a systemic crisis in developed nations than most would like to believe. CDR's Government Risk Index (GRI) jumped by almost 40% in the last month to 80bp - its .......

    News Round-up 14 April 2010

  • Euro dealer floorplan ABS prepped

    Preliminary ratings have been assigned to FCT Cars Alliance DFP France's series 2010-1 dealer floorplan notes. The transaction, arranged by Citi, will convert the existing FCC Alliance DFP into FCT Cars Alliance DFP France (a French fonds communs de titrisation), which will issue the series 2010-1 class A and B notes at closing to refinance a portion of the existing .......

    News Round-up 14 April 2010

  • Loan ranking, LTV impact RMBS severities most

    In a new special comment, Moody's has analysed the factors driving the severity of losses suffered by UK mortgage lenders on defaulted loans. The analysis reveals the increase in average loss severities and the effect that various loan and property characteristics have on overall loss severity. No rating impact is expected, however, as the average loss severities are still within .......

    News Round-up 14 April 2010
×