Complete news archive

  • 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

  • Assured wraps primary ABS

    Assured Guaranty (AGC) has provided a financial guaranty insurance policy for a US$200m auto ABS priced by AmeriCredit Automobile Receivables Trust 2010-A. The AAA/Aa3 one-year tranche was talked at 90bp-100bp and priced at the tight end of guidance, while the three-year tranche priced at 175bp over swaps. This is the first wrapped ABS to hit the market since AmeriCredit's FSA-wrapped transaction in .......

    News Round-up 31 March 2010

  • Approval and caution for EU derivatives regs

    The UK House of Lords EU Committee has confirmed its support of the European Commission's plans to regulate OTC derivatives, but believes that regulation of CCPs should be consistent with a global approach. In a new report, the committee states that a balance must be struck between improving stability without increasing the costs of using derivatives to a level that .......

    News Round-up 31 March 2010

  • Default trend reversal in latest ABX remits

    ABX remittance reports for the March distribution date (February collection period) show a turnaround in default trends, which gained approximately 1% CDR after steadily declining over the past few months. The increase in CDR was accompanied by lower delinquencies overall, however.

    ABS analysts at Barclays Capital point to an uptick in default rates in three out of the four ABX .......

    News Round-up 31 March 2010

  • ABS market recommendations released

    The Association of Mortgage Investors, representing institutional investors and asset managers, has released a white paper outlining its 'guiding principles' to US Congress and regulators on how it believes the ABS market should be overhauled to protect private sector demand for mortgages.

    "The time for action is now," says Micah Green, partner at Patton Boggs representing the association. "Investors provide .......

    News Round-up 31 March 2010

  • Avis could revisit market following multi-tranche deal

    Avis Budget Group could possibly return to the ABS markets with another offering by the end of this year, according to an official at the company. Through its Avis Budget Rental Car Funding (AESOP) subsidiary, Avis brought a US$580m auto lease offering last week that featured three- and five-year tranches.

    The oversubscribed deal, AESOP 2010-2 and 2010-3, included triple-A rated .......

    News Round-up 31 March 2010

  • Latest cat bond placed

    Swiss Re has privately placed US$120m of protection in the latest offering under its Successor X catastrophe bond programme for North Atlantic hurricane, European windstorm, California earthquake and Japan earthquake (SCI issue 175). The transaction covers a three-year risk period ending in March 2013.

    The Successor offering consists of three series of notes of US$35m, US$40m and US$45m. One class .......

    News Round-up 31 March 2010

  • Servicer dilemma for EM RMBS

    Kazakh MBS 2007-1, a US dollar-denominated RMBS backed by Kazakh mortgages, is facing a servicer quandary. The originator, BTA Ipoteka (BTAI), breached certain provisions of the transaction documents in September 2009 and triggered a servicer termination event. However, the back-up servicer, JSC Halyk Bank, is refusing to take over.

    Halyk Bank has provided ATC Capital - the transaction's manager - .......

    News Round-up 31 March 2010

  • Euro CDS clearer set to open this week

    LCH.Clearnet is expected to officially launch its clearing services for European CDS this week. The move follows a period of testing the platform by member banks, including BNP Paribas, Societe Generale, Credit Agricole and Natixis, since its official launch in December 2009.

    The service will be managed by Paris-based LCH.Clearnet SA, which is a Eurozone bank and regulated by the .......

    News Round-up 31 March 2010

  • Gas WBS debuts

    Barclays Capital and RBS on 25 March launched what is believed to be the first-ever securitisation of a gas distribution network, Wales & West Utilities Finance (WWF). The £515m transaction comprises two fixed-rate tranches (rated single-A minus and triple-B) and an inflation-linked tranche (single-A minus), the latter pricing at 170bp over Gilts. According to a source close to the deal, .......

    News Round-up 31 March 2010

  • Agency seeks film rating reviews

    DBRS is requesting comments on its proposed rating methodology for global film rights transactions, to be received by the end of April. The rating agency will publish a final methodology following the review and evaluation of all submissions.

    Unlike financial assets that have long dominated securitisation, film rights are operating assets, so the impact of the operating company generating the .......

    News Round-up 31 March 2010

  • Ambac credit event declared, Aiful settled

    ISDA's Americas Determinations Committee has voted that a bankruptcy credit event has occurred with respect to Ambac Assurance Corporation (AAC). The move follows the filing by the Wisconsin Office of the Commissioner of Insurance of a petition to take control of the segregated account of AAC. A credit event auction will be held in due course (see News Analysis).

    Separately, .......

    News Round-up 31 March 2010

  • Euro CMBS 'threatened' by excessive caution

    Fitch says the credit profile of European CMBS is being threatened by property valuers and loan servicers showing increasing conservatism in valuations and workout strategies. With continued inactivity and major uncertainty in European commercial property markets, the rating agency warns that special servicers could be encouraged to dispose of properties at depressed prices when resolving distressed loans.

    When determining a .......

    News Round-up 31 March 2010

  • RPI in profit

    Royal Park Investments (RPI) is expected to book a pre-tax gain of €800m, implying an after-tax potential gain for Fortis of €0.25bn, according to RBS credit strategists. In addition, the vehicle guides for a net profit of close to €200m in 2010, implying a net profit on the Fortis share of €87m.

    The equity of RPI - Fortis Bank's spun-off .......

    Job Swaps 31 March 2010

  • Euro CDO RACs explored

    Increasing demand for rating agency confirmations (RACs) on European rated CDO transactions occurred throughout 2009 due to continuing changes in the market, according to S&P. The rating agency believes that the nature and level of these requests from transaction participants are indicative of the developments in the market since 2007.

    The most common RAC requests that S&P received for synthetic .......

    News Round-up 31 March 2010

  • Dolphin RMBS refinanced

    Fortis called the class A1, A2, B1, B2, C1, C2, D1, D2, E1 and E2 notes from Dolphin Master Issuer Series 2009-I on 29 March 2010. At the same time, it refinanced these notes with a new €7.8bn issuance - Dolphin Master Issuer Series 2010-1.

    The new series of notes comprises seven tranches - class A1, A2, A3, A4, B, .......

    News Round-up 31 March 2010

  • Law firm hires SF counsel

    Sidley Austin has appointed Antony Bryceson to its London office as counsel, working in the investment funds, advisers and derivatives practice. He joins from Simmons & Simmons, where he led the group that advised end-user clients on prime brokerage, derivatives and trading documentation, and asset protection issues.

    Sidley says Bryceson will focus his practice on advising clients on prime brokerage, .......

    Job Swaps 31 March 2010

  • New pan-European ABS indices introduced

    Barclays Capital has launched new pan-European benchmark bond indices measuring both fixed and floating ABS debt. The new benchmark family expands on the bank's existing euro and sterling ABS indices to offer investors a total return benchmark for multi-currency European ABS portfolios. It is a broad-based measure of both the fixed rate and floating rate euro and sterling-denominated ABS markets, .......

    News Round-up 31 March 2010

  • US manager sells CDO management rights

    Crystal River Capital has entered into an agreement with Ranieri Partners Management under which Ranieri will become replacement manager on Crystal River CDO 2005-1 and Crystal River Resecuritization 2006-1. Ranieri has also agreed to purchase five CMBS from Crystal River Capital.

    Ranieri will pay US$8m for the sale of the assets, of which US$2.5m was paid upon the sale of .......

    Job Swaps 31 March 2010

  • Fitch to comply with amended SEC rules

    Fitch has confirmed its compliance with a number of amendments to rules governing the regulation of credit rating agencies that are registered as Nationally Recognised Statistical Rating Organisations (NRSRO), which were adopted by the US SEC on 4 December 2009. Amendments to Rule 240 17g-5 involve the sharing of information used in assigning structured finance ratings that passes between mandated .......

    News Round-up 31 March 2010
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