Complete news archive

  • Decisive action

    Market weighs consequences of Ambac restructuring

    ISDA has declared a bankruptcy credit event on Ambac Assurance Corporation (AAC) following a move by the monoline to segregate its liabilities for structured finance transactions into a separate account. In doing so, Ambac joins a growing number of its once-rivals in splitting the profitable part of the business from the non-profitable.

    It was at the direction of Ambac's regulator ......

    News Analysis 31 March 2010

  • CMBS certificates default on interest shortfalls

    S&P has lowered its ratings of five classes of certificates from five separate US CMBS transactions to single-D due to recurring interest shortfalls, which it expects will continue in the foreseeable future. Five of the downgraded classes have experienced interest shortfalls for nine or more months.

    S&P notes that the recurring interest shortfalls for the respective certificates are primarily due .......

    News Round-up 31 March 2010

  • California treasurer issues CDS dealer RFC

    California state treasurer Bill Lockyer has written to Bank of America Merrill Lynch, Barclays Capital, Citi, Goldman Sachs, JPMorgan and Morgan Stanley to request information about the firms' activities in connection with CDS on muni bonds in general and Californian general obligation (GO) bonds in particular. In the letters he expresses his concern about the potential for these firms to .......

    News Round-up 31 March 2010

  • Daily valuations offered for growing HMBS market

    Interactive Data is now providing daily independent evaluations for fixed-rate reverse MBS (HMBS) issued under the Government National Mortgage Association (GNMA) Home Equity Conversion Mortgage (HECM) programme, designed to provide liquidity to reverse mortgage lenders.

    Origination volume in 2009 for GNMA HMBS was approximately US$8.5bn, up more than 600% from the year before, and the agency has indicated that it .......

    News Round-up 31 March 2010

  • Falling correlation monitored

    A significant portion of the fall in default correlation has now taken place, according to structured credit strategists at Morgan Stanley. At the same time, equity market correlation remains high, but there is good reason to expect lower equity market correlation in the medium term.

    The implied default correlation on the first-loss tranche on CDX has dropped from a 60% .......

    News 31 March 2010

  • Valuation platform adds liquidity metrics

    Liquidity metrics for all CDS, evaluated bonds, loans and ABS are to be included in Markit's pricing services. The metrics will be introduced in April 2010 for CDS and evaluated bonds, with loans and European ABS to follow at a later date.

    The metrics will include a range of liquidity indicators, such as bid/ask spreads and market depth information, as .......

    News Round-up 31 March 2010

  • Hurdles remain for life settlement securitisations

    Far from its growth spurt in 2005 and 2006, life settlement as an asset class still holds some challenges as well as opportunities as markets pull out of the recent credit crisis. But ahead of the development of a securitisation market, issues regarding the underlying collateral still need to be resolved, according to panellists at an IQPC life settlements conference .......

    News 31 March 2010

  • CDO risk model launched

    Moody's Analytics has released RiskFrontier 2.4, an update to its portfolio management and economic capital solution, featuring a new CDO risk model. The offering accounts for heterogeneity within collateral pools of structured instruments, covering CDOs, ABS, RMBS, CMBS, basket default swaps and other structured instruments.

    "The market convention of treating CDOs and other structured instruments as loan equivalents or homogeneous .......

    News Round-up 31 March 2010

  • New source of investors seeking SF exposure

    Several consecutive months of positive returns reported by permanent capital vehicles with exposure to structured credit and ABS (SCI passim) assets have resulted in growing investor interest in these companies' shares. Increasingly, it is new, more mainstream investors, such as UK income funds, that are looking to tap the sector.

    According to industry insiders, a number of brokers - representing .......

    News 31 March 2010

  • American General deals no panacea for what ails MBS

    Two MBS offerings lining up for American General Financial Services are not exactly causing a rethink of the stalled MBS new issue market. Investors and analysts waiting for the Alt-A legacy deal and the subprime mortgage offering say it is a telling sign that the MBS market has a long way to go before a "come-back" can even be whispered.

    News 31 March 2010

  • Trading ideas: short again

    Dave Klein, senior research analyst at Credit Derivatives Research, looks at an equity basket trade

    Continued equity outperformance results in shorts outnumbering longs again in our weekly equity basket trade (see Exhibit 1 for basket composition and Exhibit 2 for sector breakdown). Four companies from last week's basket make the cut again, but only one of the four recommendations remained open the entire week.

     

     

     

     

     

    Research Notes 31 March 2010

  • Forbearance to the fore

    US RMBS market activity in the week to 24 March

    US RMBS market sentiment last week was dominated by the announcement of Bank of America's principal forbearance programme. While the introduction of principal forgiveness has been anticipated by many and described by some as "evolutionary rather than revolutionary", it will undoubtedly impact current and future market activity - not least the continued drive towards new issuance.

    One ABS analyst explains .......

    Market Reports 31 March 2010

  • Increasing activity

    European CLO market activity in the week to 30 March

    The past week has seen much positive activity in the European CLO sector in terms of pricing levels and underlying collateral performance. However, while increased end account participation is driving both improved trading volumes and prospective new issuance in the core market, the SME CLO sector continues to lag behind.

    Current CLO trading levels have improved on the softness seen .......

    Market Reports 31 March 2010

  • Active Euro ABS investor base analysed

    The European ABS investor base is dominated by UK and Dutch tactical investors, according to a recent survey carried out by ABS analysts at Barclays Capital. They note that this investor base is stable but unlikely to see much, if any, growth this year.

    "As things stand, we do not expect much of an expansion of demand for European ABS .......

    News 31 March 2010

  • Boost for Euro primary market

    The European primary ABS market received a boost last week, with the public placement of two new deals - Driver 7 and Dutch MBS XV (see SCI issue 175) - and the first single-A plus rated tranche of 2010. However, investors say that more work still needs to be done to improve the sector.

    According to Luke Spajic, head of .......

    News 24 March 2010

  • New appointment as acquisition closes

    ICAP has appointed Ian Chicken as director for market connectivity, a new role placing strategic focus on the firm's straight-through processing activities. ICAP has also announced it will complete the acquisition of the remaining TriOptima stock later this month.

    Chicken will report to Mark Beeston, a relatively new arrival himself (see SCI issue 161). Chicken was formerly coo of ICAP .......

    Job Swaps 24 March 2010

  • New recruit to boost SF capabilities

    Berwin Leighton Paisner (BLP) has hired Matthew Kellett from RBS. He joins as a partner and will focus on capital and tax efficient structured funding arrangements for the banking and financial services sectors. The appointment follows that of James Duncan, who was hired as a derivatives partner earlier this year (see SCI issue 169).

    Kellett has held senior positions in .......

    Job Swaps 24 March 2010

  • CMSA becomes CREFC

    The CMSA has been rebranded as the CRE Finance Council, with the intention of better serving all constituencies within CRE finance.

    "Our intention always is to be responsive to our members and to the market's changing course, and the CRE Finance Council is a natural and logical extension of this new course," says Dottie Cunningham, CRE Finance Council ceo.

    The .......

    Job Swaps 24 March 2010

  • Revised Dodd bill reduces risk retention threshold

    Senate banking chairman Chris Dodd released a second draft bill for financial regulatory reform last week. While substantially similar to the original draft, two features have implications for the securitisation market: the risk retention threshold for ABS originators has been reduced from 10% to 5%; and it specifically contemplates exemptions from (or reductions to) the risk retention requirements if certain .......

    News Round-up 24 March 2010

  • Monoline chief to become president

    David Buzen, currently coo and cfo of CIFG Holding, will also become president of the company, reporting to ceo Lawrence English. Before joining CIFG last summer, Buzen was cfo at CLO asset manager Churchill Financial Holdings. He also previously helped found Assured Guaranty forerunner Capital Re, where he was cfo.

    "David has been instrumental in the implementation of CIFG's remediation .......

    Job Swaps 24 March 2010

  • Capital markets research firm expands in Europe

    TABB Group has appointed Will Rhode as a research analyst in its London office, reporting to Miranda Mizen, the firm's head of European research.

    Larry Tabb, founder and ceo of TABB Group, comments: "Based in our London office, [Will is] already deeply involved in interviewing European buy-side traders for a new, in-depth study on European derivatives - the first of .......

    Job Swaps 24 March 2010
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