Complete news archive

  • Residual value

    Non-performing CLO equity in demand

    CLO equity is in demand: fund managers are recording substantial increases in equity valuations, while traders report that residuals of certain deals are pricing as high as 70c or 80c on the dollar. Investor attention is now being turned to non-performing equity in the anticipation that improving deal metrics will result in the resumption of cashflows for those assets.

    Non-performing .......

    News Analysis 24 March 2010

  • South African ABCP conduit restructured

    Fitch has affirmed Thekwini Warehousing Conduit's commercial paper (CP) at national short-term rating of F1+(zaf), F1(zaf) and F2(zaf) respectively. Thekwini Conduit is a single-seller ABCP conduit backed by mortgage loans originated by South African Home Loans (SAHL). The conduit issues various tranches of CP to fund the purchase of mortgage loans, with the programme benefiting from a subordinated loan provided .......

    News Round-up 17 March 2010

  • Post-TALF positivity

    US ABS activity in the week to 12 March 2010

    The expiration of the ABS TALF programme played a key part in US market activity last week, although its affect was far from negative and is not expected to disrupt the market moving forward (see also Research Notes). Current pricing levels and activity have remained relatively stable and a positive sentiment regarding new issuance is prevalent among market participants.

    One .......

    Market Reports 17 March 2010

  • Primary lag

    European CLO market activity in the week to 16 March 2010

    While most structured finance markets have begun to regain ground after the sovereign-based market scare, the European CLO sector continues to lag behind with limited primary activity and supply. However, secondary trading has maintained good levels and recovery is expected moving forward.

    One CLO trader explains the lag-effect of the CLO market, saying: "After the sovereign jitters, most of the ......

    Market Reports 17 March 2010

    Premium Content

  • Changes made to iTraxx, SovX indices

    Markit has announced a number of changes to the iTraxx Asia indices ahead of their roll into Series 13. Seven constituents have been replaced in the Japan index, one constituent has been replaced in the Asia ex-Japan HY index and one constituent has been replaced in the Asia ex-Japan IG index. The composition of the iTraxx Australia index remains unchanged, .......

    News Round-up 17 March 2010

  • A new approach

    Banks pin hopes on multi-borrower CMBS revival

    Despite the few single-borrower CMBS offerings that graced the US market last November and December (SCI passim), the new issue market is not yet considered open. But that could all change if some multi-borrower or conduit deals begin to surface - which some say could occur as early as Q2.

    JPMorgan is widely expected to be preparing a conduit-type CMBS ......

    News Analysis 17 March 2010

  • Australian succession event pending

    An ISDA Determinations Committee decision on whether a succession event has occurred with respect to St George Bank is pending.

    .......

    News Round-up 17 March 2010

  • Argentine ABS issued

    Deutsche Bank has closed Fideicomiso Financiero Supervielle Creditos Banex XXXII, an Argentine personal loan-backed ABS. The transaction comprises three classes of debt securities - Class A fixed rate securities and floating rate securities, and class C fixed rate securities - and one class of subordinated certificates, all denominated in Argentine pesos.

    Moody's has assigned a triple-A.ar rating (Argentine national scale) .......

    News Round-up 17 March 2010

  • Aussie CMBS rated

    Colonial First State Capital Management (CFSCM) is to launch the first Australian CMBS issue of the year. The 2010 notes of the CMBS Issuer Series 1 (2007) will be used to refinance the existing issue.

    S&P has assigned preliminary ratings of triple-A and A-1 plus to the two classes of notes worth A$370m and A$313m respectively. The transaction is expected .......

    News Round-up 17 March 2010

  • French ABCP conduit rated

    S&P has assigned an A-1 rating to Managed and Enhanced Tap Funding SAT's (Magenta Funding) fully supported multi-seller ABCP programme. The programme limit is €5bn, with €3m issuance currently outstanding.

    Natixis set the programme up for the purpose of refinancing various asset types linked to securitisations, including term consumer assets and trade receivables through several compartments. Magenta Funding is a .......

    News Round-up 17 March 2010

  • ISDA: Don't blame CDS for Greece's problems

    Responding to growing calls for a ban or suspension of naked sovereign CDS, ISDA has defended the product while criticising the "flawed and inconsistent" reasoning of those that believe the CDS market is complex and opaque, yet liquid enough to influence markets of enormous size.

    ISDA believes that the most commonly traded CDS, including sovereign CDS, are simple and relatively .......

    News Round-up 17 March 2010

  • Center Parcs CMBS amendments proposed

    Proposals to amend the terms of the loan in UK CMBS Center Parks 2007-1 were unveiled late last week. The key proposals include: an extension of the loan maturity date by two years to October 2013; a prohibition on dividends being paid; new cash sweep provisions for a portion of excess cashflow that will de-lever the deal (with principal allocated .......

    News Round-up 17 March 2010

  • Aiful CDS compressed ahead of auction

    TriOptima says it has successfully compressed the portfolios of banks holding both CDS covering Aiful debt and Aiful-related iTraxx Japan CDS, eliminating US$43bn (¥3.99trn) of the notional amount of CDS outstanding prior to the Aiful auction settlement, which is scheduled for 25 March. The trade processing group offered two Aiful-related compression cycles after a restructuring credit event had been determined .......

    News Round-up 17 March 2010

  • Accounting treatment of embedded CDS clarified

    An amendment to the embedded credit derivatives scope exception has been made in the FASB Accounting Standards Codification. The move follows queries over the intended breadth of the scope exception, given the ambiguity in practice about embedded credit derivative features, including those in some CDOs.

    The amendment essentially confirms that the transfer of credit risk that is only in the .......

    News Round-up 17 March 2010

  • Record year for DTCC CDS processing

    The DTCC Trade Information Warehouse reports that it supported the processing and recordkeeping of more than 2.2 million CDS contracts, worth more than US$25.1trn (€17.5trn) by the end of 2009. In addition, the Warehouse managed 50 credit events with a gross value of US$386bn, 129 successor events caused by restructurings and processed 11 million gross payments amounts in nine currencies .......

    News Round-up 17 March 2010

  • Innovative film equipment financing deal launched

    Moody's has assigned a definitive rating to a senior credit facility (SCF), composed of two loans, being extended to Kasima, an indirect subsidiary of Digital Cinema Implementation Partners (DCIP). Both the US$335m senior delayed-draw term loan and the US$110m senior revolver loan received a rating of Baa2.

    This transaction is a securitisation of cashflows consisting primarily of virtual print fees .......

    News Round-up 17 March 2010

  • US subprime prices rise

    Fitch Solutions says its latest RMBS CDS indices results indicate that US subprime RMBS prices started to rise again last month. The Fitch Solutions US Subprime RMBS Total Market Price Index increased month-on-month by over 6%, rising from 7.17 as of 1 February to 7.63 at the start of this month.

    The 2006 vintage performed most strongly, with a 17% .......

    News Round-up 17 March 2010

  • US arbitrage CLO rated

    Preliminary ratings have been assigned to COA Tempus CLO, a US$480m arbitrage CLO managed by Fraser Sullivan COA. The transaction - arranged by Citi - is backed by a revolving pool of broadly syndicated senior secured loans.

    S&P has assigned a triple-A rating to the US$327m class A1 notes, double-A to the US$15m class A2 notes and single-A to the .......

    News Round-up 17 March 2010

  • Regulator looks for ABS revival

    The UK's Financial Services Authority (FSA) suggests that financial institutions develop plans for new sources of more sustainable and longer-term finance in order to replace the £440bn of maturing debt plus SLS liquidity support which come due between now and the end of 2012.

    "Banks and building societies face major challenges in developing alternative sustainable sources of funding needed to .......

    News Round-up 17 March 2010

  • Initiative may stem German SME CLO defaults

    Following the Association of German Banks' recently-unveiled premium for new SME securitisations (see SCI issue 174), an initiative to provide existing SMEs with additional equity financing has launched. Initially sized at €550m, these capital resources will strengthen the equity base of SMEs and encourage additional financing for these entities.

    Moody's notes in its Weekly Credit Outlook that this will help .......

    News Round-up 17 March 2010

  • Agency IOS index launched

    The Markit IOS index - a synthetic total return swap (TRS) index referencing the interest component of 30-year fixed-rate Fannie Mae residential mortgage pools - launches today, 12 March. The index provides a synthetic solution for investing in or hedging exposure to interest-only (IO) securities by replicating these transactions with a TRS contract.

    The index is comprised of all Fannie .......

    News Round-up 17 March 2010
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