Complete news archive

  • Volcker to spur full conduit support

    The Volcker Rule's treatment of ABCP conduits will motivate conduit sponsors to employ full unconditional liquidity coverage and remove an important regulatory risk from the sector, Fitch says. To be exempt from the covered fund definition under the rules, outstanding ABCP must be fully supported and liquidity commitments must be available to fund for the full face amount of all .......

    News Round-up 13 December 2013

  • Stable outlook for German commercial ABS

    The fall in German corporate insolvencies in 2013 to a 14-year low will lead to decreasing default rates in German commercial ABS transactions, according to Fitch, supporting its stable ratings outlook for the sector in 2014. The decrease in corporate insolvencies is consistent with the agency's expectation of a benign economic environment in Germany, which is incorporated into its deal-by-deal .......

    News Round-up 12 December 2013

  • RMBS supply spikes

    US non-agency RMBS volume yesterday was up day-over-day, boosted strongly by the liquidation of the US$5.1bn ING bid-list (SCI 10 December). The Dutch government is understood to have sold the assets to five dealers.

    As expected, most of the supply consisted of block-sized senior option ARM bonds. But fixed-rate supply also picked up, with a mix of senior current paying .......

    Market Reports 12 December 2013

  • Idiosyncratic risk to boost CDS volume

    The credit derivatives market is entering 2014 amid a regulation-induced transformation. While capital rules and collateral remain challenges to market efficiency, Morgan Stanley credit derivative strategists anticipate that the transparency and potential increased liquidity of a centrally cleared and electronically traded market could be transformative.

    "We believe that a more active idiosyncratic risk environment will motivate increased single-name credit hedging .......

    News 12 December 2013

  • Capital rule changes introduced

    The US Fed has issued a final rule that makes technical changes to its market risk capital rule to align it with the Basel 3 revised capital framework adopted earlier this year. Technical changes to the rule reflect modifications by the OECD regarding country risk classifications.

    The final rule also clarifies criteria for determining whether underlying assets are delinquent for .......

    News Round-up 12 December 2013

  • CMBS surveillance criteria tweaked

    Fitch has updated its US fixed rate multi-borrower CMBS surveillance and Re-REMIC criteria.

    Under the changes, loss severity for the performing loan stress was increased to 50% (from 45%) to more closely reflect recent experience. This change is expected to increase overall transaction level loss severities slightly, but is not expected to have a significant rating impact.

    Additionally, the deterministic .......

    News Round-up 12 December 2013

  • CLO supply expectations polled

    With a head-count of 180, last week's SCI 7th Annual Seminar saw a 38% increase in attendance on the previous year's conference. Sponsored by Banca IMI and Reed Smith, the seminar focused on credit market dislocation and alternative ways of optimising CLO and ABS returns. Presentations from the event can be downloaded here.

    In a poll conducted after .......

    News Round-up 12 December 2013

  • Blackstone names new cfo

    Blackstone Mortgage Trust has appointed Paul Quinlan as cfo, replacing Geoffrey Jervis who is leaving the company. Quinlan will also serve as cfo for Blackstone's real estate debt strategies group.

    Quinlan was previously Blackstone's head of financial planning and business development and cfo for Blackstone Advisory Partners. He has also worked at Bank of America Merrill Lynch and at PricewaterhouseCoopers .......

    Job Swaps 12 December 2013

  • Industry vet to lead structured solutions

    ACGM has appointed Alfredo de Angelis as senior md and head of global structured solutions within the firm's investment banking and advisory group. He has extensive experience in the US, Latin America, EMEA and Asia-Pacific.

    De Angelis has over 20 years of experience in structuring and trading corporate and structured finance products as well as in credit derivatives. He has .......

    Job Swaps 12 December 2013

  • Bank reaches RMBS settlement agreement

    PNC Bank has reached an agreement in principle with Freddie Mac to resolve substantially all indemnification and repurchase obligations related to loans sold between 2000 and 2008. PNC will pay the GSE US$89m - less credits of US$8m - to resolve existing and future repurchase obligations and to compensate Freddie Mac for losses.

    PNC has already agreed to settle with .......

    Job Swaps 12 December 2013

  • ILS growth, diversification to continue

    The aggregate amount of outstanding catastrophe bonds will be approximately US$19.8bn at year-end, which is the largest since the market's inception. Moody's expects this market growth to continue as cat bond peril coverage widens across geographies and risk types.

    Demand has outstripped even the surging supply. While there has been US$6.54bn of new issuance so far this year, pricing continues .......

    News Round-up 11 December 2013

  • CMBS outlook 'moderately positive'

    While the US CMBS market has benefited from low interest rates, better access to capital and the recovery in property fundamentals, S&P warns that several economic risks remain. The rating agency predicts GDP growth of 2.6% and has a moderately positive 12-month outlook for CMBS.

    Average credit metrics such as LTV ratios, percentage of interest-only loans and deal diversity have .......

    News Round-up 11 December 2013

  • SEF connectivity offered

    Calypso Technology has extended its OTC clearing solution to support swap execution facility (SEF) connectivity. As a first step in providing clients with access to SEFs, the firm is interfacing with Tradeweb's TW SEF to offer an out-of-the-box request-for-quote (RFQ) and order book integration solution. The platform supports straight-through processing for interest rate swap and credit derivatives clearing workflows and .......

    News Round-up 11 December 2013

  • US CMBS inches wider

    US CMBS spreads inched wider yesterday as bid-list supply came in at around US$200m. SCI's PriceABS data recorded several covers from the session, with a range of vintages from 2004 to 2013 represented.

    Several odd-lots circulated during the session split between legacy names and CMBS 3.0 bonds, with legacy super seniors ending the day about 1bp wider, according .......

    Market Reports 11 December 2013

  • Negative outlook for WBS

    Fitch says its outlook for UK pub and healthcare whole business securitisations is predominantly negative for 2014. This is driven by a fragile UK economic recovery, public spending austerity and regulatory pressures.

    "Continuing decline in average real income, combined with public spending cuts mainly affecting healthcare funding as well as various regulatory pressures are all holding back the outlook of .......

    News Round-up 11 December 2013

  • Call to limit RWEM disclosure

    DBRS has issued a comment letter regarding the proposal to incorporate existing Rule 17g-7 under the Securities Exchange Act of 1934 into new rule 17g-7(a)(1)(ii)(N). Current Rule 17g-7 requires each NRSRO to include in any report accompanying an ABS credit rating a description of all the representations, warranties and enforcement mechanisms (RWEMs) available to investors, regardless of what those RWEMs .......

    News Round-up 11 December 2013

  • Major market recovery boosts CRE prices

    The recovery in major markets boosted the recovery in national commercial real estate prices to within 11% of the December 2007 peak, according to the latest Moody's/RCA CPPI report. Major markets recouped roughly 95% of their peak-to-trough decline, while national prices have recovered almost 75% of their peak-to-trough decline. Non-major markets recouped around 56% of their losses.

    The national all-property .......

    News Round-up 11 December 2013

  • Further g-fee hike confirmed

    The FHFA has directed Freddie Mac and Fannie Mae to raise guarantee fees as part of its ongoing drive to shrink the role of the GSEs in the market. The changes will move the effective annual g-fee for 30-year mortgages to around 62bp and decrease the likelihood of Mel Watt hiking fees when he takes over from Ed DeMarco as .......

    News 11 December 2013

  • SIMM proposed

    ISDA has proposed a standard initial margin model (SIMM) to facilitate the introduction of final BCBS-IOSCO guidelines in respect of margin requirements for non-centrally cleared derivatives. The association says that a common methodology would have several key benefits to the market, such as permitting timely and transparent dispute resolution and allowing consistent regulatory governance and oversight.

    In order to realise .......

    News Round-up 11 December 2013

  • Volcker Rule concerns linger

    The US Fed, the FDIC, the OCC, the CFTC and the SEC have issued final rules to implement section 619 of the Dodd-Frank Act, known as the Volcker Rule. While changes from the original proposal have broadly been welcomed by the securitisation industry, some lingering concerns remain.

    The final rules prohibit insured depository institutions and companies affiliated with insured depository .......

    News 11 December 2013

  • Top trades touted

    Morgan Stanley suggests in its global securitised products outlook for 2014 that the market is on the verge of a major transition from being liquidity-driven to being growth-dependent. While the returns are more modest in this scenario than they have been in the past, strategists at the bank believe that alpha opportunities within the sector remain more significant, scalable and .......

    News 11 December 2013
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