Complete news archive

  • Rolling the dice

    Corporate bond reinvented?

    A new financial innovation is causing a buzz in the credit derivatives markets by isolating credit risk while providing high returns. The ebond, short for enhanced bond, seeks to achieve this by embedding a cleared CDS into a corporate bond to produce a hybrid security.

    "The concept is simple, when compared to some other structured products," explains Assia Damianova, special .......

    News Analysis 17 March 2015

  • IOS convexity examined

    Markit has launched two new IOS indices, referencing FN pools issued in 2014 for the 3.5 and 4 coupons. Overall, the IOS 3.5 of 2014 are expected to demonstrate worse convexity than the IOS 3.5 of 2013.

    To evaluate the new indices, Barclays Capital RMBS analysts compare the 3.5s of 2014 with the existing index for 3.5s issued in 2013. .......

    News Round-up 17 March 2015

  • Fee cap impact anticipated

    The European Parliament last week voted to cap interchange fees in credit and debit card transactions across the EU. Since the move is the culmination of long-standing regulatory pressure, Fitch says it has already been anticipated in the agency's UK credit card ABS ratings.

    Interchange fees will be capped at 0.3% of the transaction value for consumer credit cards and .......

    News Round-up 17 March 2015

  • Balloon date pay-offs dip

    The percentage of US CMBS loans paying off on their balloon date fell in February, after a sharp rise in January and a large dip in December, according to Trepp. The latest reading is about 12 points lower than the January rate of 71.9%.

    The February rate stands at 59.5%, which is below the 12-month moving average of 65.4%. The .......

    News Round-up 17 March 2015

  • SF upgrades trump downgrades

    Global structured finance (SF) upgrades exceeded downgrades in 2014 for the first time since the financial crisis, says Fitch. Across the agency's universe, 12% of ratings improved and 7% were downgraded. The triple-A level exhibited the most stability, with almost 99% of ratings either remaining the same or paying off in full.

    The number of CMBS downgrades decreased sharply in .......

    News Round-up 17 March 2015

  • Slight decline for Trups defaults

    The number of US bank Trups CDO combined defaults and deferrals marginally decreased to 20.7% at end-February, according to Fitch's latest index results for the sector. This compares with 20.8% at end-January.

    In February, three banks representing US$16m of notional in two CDOs cured. Additionally, one previously cured issuer representing US$5m of notional in one CDO redeemed its Trups.

    There .......

    News Round-up 17 March 2015

  • SLABS forbearance eyed

    The Obama Administration last week released a Presidential Memorandum directing the US Department of Education and other federal agencies to do more to help borrowers with their student loan repayments. Structured product strategists at Wells Fargo suggest that the proposals are unlikely to have a significant effect on expected student loan ABS cashflows or prepayment rates, unless forbearance policy changes .......

    News 17 March 2015

  • Internal transfer for Euro CLOs

    MAN GLG Credit Advisers is set to assign, by way of novation deeds, collateral management responsibilities for three European CLOs to MAN Investments (CH). The affected transactions are RMF Euro CDO IV and V, as well as CLAVOS Euro CDO.

    The novation deeds have received the consent from all parties to the documents. Moody's confirms that the move will not .......

    Job Swaps 17 March 2015

  • Euro ABS/MBS gets some momentum

    The European secondary ABS/MBS market is being given some momentum again today thanks to primary activity and an uptick in BWICs.

    "Supply has slowed down this week on BWICs after last week's high levels of activity, though there are a few now scheduled for today," says one trader. "At the same time, primary is really picking up, which is good .......

    SCIWire 17 March 2015

  • Counterparty risk assessments applied

    Moody's has revised a number of its methodologies - including several cross-sector, primary and secondary rating methodologies for structured finance (SF) securities - to reflect the incorporation of bank counterparty risk (CR) assessments in the analysis of certain transactions. The move follows an RFC on the proposals issued in January (SCI 8 January).

    CR assessments constitute Moody's opinion of probability .......

    News Round-up 16 March 2015

  • Gentle start for US CLOs

    The US CLO secondary market is off to a gentle start this week.

    After last week's sustained strong trading levels held spreads firm across vintages and the capital structure, the US CLO secondary market looks to be easing itself into what could be another busy week. The BWIC calendar is building strongly for tomorrow with six lists already on the .......

    SCIWire 16 March 2015

  • CLO index expands

    JPMorgan has introduced a post-crisis single-B series to its CLOIE index. The bank estimates that this index surveys 80% of the US single-B universe and currently contains pricing information for US$2.2bn in original notional from 221 separate single-B tranches.

    The single-B CLO sub-sector performed well in 2012 and 2013, returning 41.3% and 17.1% respectively, according to the index. However, returns .......

    News Round-up 16 March 2015

  • CMBS delinquencies edge up

    US CMBS delinquencies increased by 5bp in February to 4.77% from 4.72% a month earlier, according to Fitch's latest index results for the sector, due to a US$4.9bn decrease in the agency's rated universe. However, the dollar balance of late-pays was virtually unchanged at US$17.9bn.

    New CMBS delinquencies finished February at US$327m, up slightly from US$274m in January, but still .......

    News Round-up 16 March 2015

  • Low oil prices to benefit ABS

    Moody's expects the dramatic drop in oil prices since 2014 to benefit most asset classes in the US ABS market, though it will have a negative impact on some sectors. In general, cheaper gasoline will put more money in consumers' pockets, providing a broad, if slight, uplift to securitisations backed by unsecured consumer receivables such as student loans and credit .......

    News Round-up 16 March 2015

  • RFC on Israeli RMBS

    Moody's is seeking comments on its proposals for analysing the credit risk of Israeli RMBS transactions. The agency plans to use the proposed approach in conjunction with its existing methodologies to rate RMBS and covered bonds in Israel.

    To derive the calibration of the country-specific values and assumptions for Israel, Moody's benchmarked the Israeli residential real estate market to other .......

    News Round-up 16 March 2015

  • Mezz CLO fund launched

    AXA Investment Managers has launched a short maturity CLO opportunity fund. The fund aims to offer investors a net total return of 4% to 6% by investing in the vintage US CLO mezzanine universe, while maintaining an investment grade average rating.

    Christophe Fritsch, co-head of securitised and structured assets and head of structuring at AXA IM, says: "The fund was .......

    News Round-up 16 March 2015

  • CDS trade counts jump

    The average daily trade counts and notional volume in CDS increased during 2014, according to ISDA. Swap execution facility (SEF) volumes also increased during the year, while off-venue volumes decreased.

    Average daily trade counts grew by 12.2%, from 754 trades per day during 2013 to 846 trades during 2014, while average daily notional volume grew from US$28.5bn in 2013 to .......

    News Round-up 16 March 2015

  • SCI Start the Week - 16 March

    A look at the major activity in structured finance over the past seven days

    Pipeline
    The pipeline saw a mix of new entrants last week. Of the newly-announced deals, six ABS, four CMBS, three RMBS and two ILS remained by Friday.

    The ABS entrants comprised three auto transactions - US$1.61bn Ford Credit Auto Owner Trust 2015-A, US$400m Prestige Auto Receivables Trust 2015-1 and US$187.21m United Auto Credit Securitization Trust 2015-1 - as well as .......

    News 16 March 2015

  • Euro ABS/MBS stays positive

    The positive tone in European ABS/MBS continued through to the end of last Friday and into today's open.

    Another healthy BWIC calendar on Friday appears to have been comfortably absorbed by the market though no covers have yet been released for the large CDO liquidation list. Market tone remained positive across the board with Portuguese paper the main beneficiary.

    Today .......

    SCIWire 16 March 2015

  • US CLO demand continues

    The US CLO secondary market rally is continuing and so is investor demand.

    "Bid lists are still trading well and we've seen some bonds trading at pretty steamy levels," says one trader. "Double-As have come in the most in percentage terms, but people are still fighting for paper further down the capital stack."

    The trader sees no sign of demand .......

    SCIWire 13 March 2015

  • Waive, goodbye

    Penalty waiver leads to rapid pay-off

    The Pickwick Plaza loan securitised in GCCFC 2007-GG9 has paid off early, a month after it was modified to waive prepayment penalties (see SCI's loan events database). Although investors will typically be wary of such modifications, this case included an unusual claw-back provision.

    The pay-off is understood to have resulted in US$188m in principal proceeds to the trust .......

    News Analysis 13 March 2015
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