Complete news archive
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First step towards multi-borrower revival
A new US$309.7m 144A CMBS offering from RBS Securities marks an important first - albeit 'baby' - step in the return to multi-borrower issuance. Though the multi-loan offering - which is expected to price on 8 April - is receiving widespread interest, it is also laying the groundwork for how different the CMBS new issue landscape is now compared to .......
News 7 April 2010
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Buy-side clearing account class approved
The US Commodity Futures Trading Commission (CFTC) has approved final rules that enhance certainty regarding protections under the Bankruptcy Code and CFTC regulation Part 190 with respect to OTC derivatives and related collateral that customers clear through a futures commission merchant (FCM) on or subject to the rules of a derivatives clearing organisation. The rules enhance such certainty by creating .......
News Round-up 7 April 2010
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Maiden Lane holdings revealed
The New York Fed has made available to the public information on all of the holdings of the Maiden Lane II and III vehicles, and all the holdings of Maiden Lane (ML) with the exception of residential whole loans (due to violations of individual borrowers' privacy). The additional information includes the CUSIP number, descriptor and the current principal balance or .......
News Round-up 7 April 2010
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Succession event determination postponed
ISDA's Americas Determinations Committee has agreed to postpone the deadline for voting on whether a succession event occurred with respect to Northwest Airlines (NWA) until 21 April. The issue was first mooted at the beginning of March (see SCI issue 175) and follows NWA's merger with Delta.
....... News Round-up 7 April 2010
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Call for derivatives innovation in Islamic finance
Moody's says in a new report that a combined use of securitisation and derivatives offers considerable scope for reducing risk exposures of Islamic financial institutions (IFIs), thereby improving their overall creditworthiness. However, the rating agency warns that Islamic finance must develop its own innovation phase instead of imitating conventional derivative instruments in order for IFIs to maintain their special status .......
News Round-up 7 April 2010
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ABS CDO notes repurchased
IMC Asset Management has bought back a portion of Faxtor ABS 2003-1's €223m Class A-1E notes. €17.34m of outstanding principal notes (representing €28m of the original principal amount) were repurchased by the issuer at an aggregate price of €14.16m. The repurchase was funded using principal proceeds in the principal account of the issuer received from amortising portfolio assets.
The total .......
News Round-up 7 April 2010
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Troubled companies index improves again
The Kamakura index of troubled public companies improved in March for the eleventh time in the last 12 months, dropping to 9.69% from 9.96% in February. The index had peaked a year ago at 24.3% in March 2009.
Kamakura defines a troubled company as one whose short-term default probability is in excess of 1%. Credit conditions are now better than .......
News Round-up 7 April 2010
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US CMBS delinquencies hit new high
According to the April 2010 Trepp delinquency report, the delinquency rate for CMBS loans rose sharply in March to a new high of 7.61% from 6.72% in February - the highest delinquency rate in the history of CMBS. The numbers were influenced sharply by the inclusion of the Stuyvesant Town loan, which entered foreclosure during the month, but even without .......
News Round-up 7 April 2010
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ECB repo clarifications 'increase ABS eligibility'
The ECB's recent clarification of ABS eligibility criteria for its repurchase facilities will significantly increase the number of eligible securities, says Fitch. The updated guidance clarified that the second rating for structured finance transactions 'at issuance' for transactions that closed between March 2009 and March 2010 means the second rating needs to be single-A minus at the time of being .......
News Round-up 7 April 2010
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Aircraft lease ABS criteria updated
Fitch has updated its global aircraft operating lease ABS rating criteria. The updated criteria report describes several enhancements, including the introduction of a rating cap of single-A for most transactions and the refinement and disclosure of stress assumptions related to aircraft aging, asset values and lease rates.
Fitch explains that some of these enhancements were already incorporated in its analysis .......
News Round-up 7 April 2010
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Integration unlikely to affect GRAN/AIREM investors
ABS analysts at RBS believe that the planned integration of Northern Rock Asset Management and Bradford & Bingley is unlikely to affect investors in their respective securitisation programmes. As there is no planned integration of the existing mortgage master trusts (Granite and Aire Valley), the two will be kept separate in terms of legal and structural perspectives.
The analysts do .......
News Round-up 7 April 2010
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US auto ABS delinquencies continue to improve
Delinquency and annualised net losses (ANL) posted year-over-year improvements for the fourth consecutive month through February, despite another monthly increase in US prime auto loan ABS late-pays, according to Fitch. The ANL index posted six straight year-over-year declines, while 60-plus days delinquencies declined for four straight months on an annual basis.
"Buoyant wholesale vehicle values have bolstered recovery rates on .......
News Round-up 7 April 2010
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24 deals downgraded after Greek review
The increased credit risk of the Greek sovereign has prompted Moody's to downgrade 24 structured finance transactions backed by pools of Greek assets, including more than €6.9bn of tranches from 11 RMBS deals, €10.7bn of tranches from 11 ABS deals and €2.1bn of tranches from two CLOs.
The rating agency downgraded RMBS triple-A senior classes two or three notches and .......
News Round-up 7 April 2010
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Bank offers OTC settlements platform
JPMorgan's securities services business has launched DerivClear, a centralised OTC derivatives platform supporting its derivatives business, and says that existing clients are already switching to it. The bank says DerivClear offers an end-to-end OTC derivatives solution providing trade capture and lifecycle management, confirmation control, settlements and reporting. It can be accessed online for a wide range of OTC products across .......
News Round-up 7 April 2010
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Basis basics in a normalised world - part 2
In the second of this two-part series, Morgan Stanley credit...
Measuring the basis: factors to consider
The simplest measure of the basis (raw basis) is the difference between the five-year CDS spread and the actual cash spread of the bond. This basis can be considered as an "actionable" metric based on bond Z-spreads and CDS spreads quoted widely in the market.For bonds trading close to par and roughly five years .......
Research Notes 7 April 2010
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Three credit funds launched, another prepped
BlueMountain Capital Management has raised more than US$250m for three new funds. In addition, the firm plans to launch a multi-client ABS fund by the end of Q3 this year.
The newly-launched funds are the BlueMountain Long/Short Credit Fund, the BlueMountain Distressed Fund and a single-client fund focused on securitised investments. These funds will provide clients with access to trading .......
Job Swaps 7 April 2010
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Correlation stress tests should be 'realistic'
ISDA, AFME and the British Bankers' Association (BBA) have provided initial analysis and feedback to the Basel Committee on Banking Supervision's (BCBS) consultation document 'TBG/10/05', which was released on 15 March.
The July 2009 revision to the Basel 2 market risk framework requires banks to meet certain conditions to calculate specific capital risk charges for correlation trading portfolio using a .......
News Round-up 7 April 2010
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29-Mar-10
Index Values CDR Liquid Indices 1 April 2010
High-touch coverage
Mike Foggia, evp, and PK Jain, md, at Advisors Asset Management, answer SCI's questions
Provider Profile 31 March 2010
Q: How and when did Advisors Asset Management (AAM) become involved in the structured credit market?
MF: Advisors Asset Management is a diversified broker-dealer with a growing separately managed asset accounts group that has been in business since 1979. About 10 years ago the partners at AAM established a fixed income platform, with the aim of .......
Basis basics in a normalised world - part 1
In the first of this two-part series, Morgan Stanley credit...
From the beginnings of the corporate CDS markets, one of the most basic valuation measures has involved comparing a corporate bond with a CDS contract. While it is simple in concept, this basis relationship is quite complicated, as one instrument is not necessarily an easy substitute for the other.
That complexity led many to treat basis trades as an investment .......
Research Notes 31 March 2010
Obvion offering Dutch RMBS
Ratings have been assigned to Dutch RMBS STORM 2010-1. The deal has been arranged by Rabobank, which is also understood to be marketing the deal alongside Société Générale.
The deal, sized at €1bn, is originated by Obvion and its structure remains largely unchanged from previous STORM transactions. The collateral consists of performing loans secured by first-ranking (or first- and consecutive-ranking) .......
News Round-up 31 March 2010