Complete news archive

  • Survey blasts CLO retention rules

    The Loan Syndications and Trading Association has submitted a comment letter to the Fed, the OCC, the FDIC, the SEC, the FHA and the Department of Housing and Urban Development. The letter prominently features a new survey - polling 35 CLO managers that collectively manage US$228bn in 509 CLOs - conducted by the LSTA, which shows that new risk retention .......

    News Round-up 5 August 2013

  • Cengage auction due

    An auction to settle the credit derivative trades for CENGAGE LEARNING ACQUISITIONS INC LCDS is to be held tomorrow (6 August). ISDA's Americas Credit Derivatives Determinations Committee last month resolved that a bankruptcy credit event occurred in respect of the name (SCI 11 July).

    .......

    News Round-up 5 August 2013

  • Pending civil charges disclosed

    Bank of America has disclosed in an SEC quarterly filing that the US Department of Justice and other government agencies intend to recommend civil charges against it in connection with MBS. The bank says it has been in active discussions with senior staff of each government entity in connection with the respective investigations and to explain why the threatened civil .......

    Job Swaps 5 August 2013

  • DTCC leadership changes announced

    The DTCC has made a number of executive management appointments, effective from 1 September.

    Alexander Broderick is joining the company as ceo, DTCC Deriv/SERV. Based in London, he will oversee DTCC's OTC derivatives global post-trade processing and trade reporting services.

    Broderick is currently ceo of New York Portfolio Clearing (NYPC) and over the coming months will have dual responsibilities and .......

    Job Swaps 5 August 2013

  • AS tranches 'thinning'

    As US CMBS triple-A credit enhancement increases due to a combination of increased leverage and concentration, Fitch reports that the junior triple-A class size is 'thinning'. If junior triple-A credit enhancement (CE) continues to increase and the super-senior triple-A level remains at a 30% attachment point, the loss given default may grow more rapidly than investors expect, the agency warns.

    News Round-up 5 August 2013

  • Index trading chief added

    Citi has recruited John Mann as head of credit index trading, based in New York. He was previously at Goldman Sachs and will report to Brian Archer, head of global credit trading, in his new role.

    .......

    Job Swaps 5 August 2013

  • ABS CDO transferred

    Vertical Capital has replaced Strategos Capital Management as collateral manager on Kleros Preferred Funding. Moody's has confirmed that the move will not result in the withdrawal, reduction or other adverse action with respect to the ABS CDO's ratings. In reaching this conclusion, the agency considered the experience and capacity of Vertical Capital to perform the duties of collateral manager to .......

    Job Swaps 5 August 2013

  • SCI Start the Week - 5 August

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

    Pipeline
    Three CMBS remained in the pipeline at the end of last week. The transactions comprised: US$1.79bn JPMBB 2013-C14, US$1.1bn WFRBS 2013-C15 and US$150m Wireless Capital Partners.

    Pricings
    A diverse range of deals priced last week, as investor focus remained on the new issue ABS market. In fact, US benchmark issues were consistently oversubscribed.

    Among the upsized transactions was US$1bn CarMax Auto .......

    News 5 August 2013

  • Euro CLO supply 'exceeding expectations'

    European CLO issuance this year has already exceeded the majority of observers' expectations, S&P says in its 2Q13 European CLO Performance Index Report. So far in 2013, 10 European CLOs have priced, bringing total issuance for the year to €3.4bn. In addition, the agency estimates that the sector will see at least another €1.4bn of new issuance in Q3.

    However, .......

    News Round-up 2 August 2013

  • STACR stacks up

    Risk-sharing programme to aid RMBS price discovery

    Freddie Mac upsized and priced its inaugural risk-sharing transaction last week (SCI 17 July). The structure was welcomed for protecting taxpayers from certain risks by transferring them to the private market, as well as for providing the GSEs with a way to achieve risk-based pricing of the guarantee fee.

    Importantly, the deal is expected to achieve this without affecting the .......

    News Analysis 2 August 2013

  • Counterparty conundrums

    Investors, issuers adapting to swap-related dilemmas

    Given the difficulty of replacing counterparties and expense of posting collateral for cashflow securitisations, high volumes of swap-related rating agency confirmations look set to continue, potentially eroding investor protections in their wake. At the same time, investor acceptance of AA/A rated senior paper is growing, together with appetite for deals without embedded derivatives risk.

    Peter Nowell, head of ABS trading .......

    News Analysis 2 August 2013

  • CMBS 2.0 term defaults 'unlikely'

    US CMBS 2.0 term defaults are unlikely as long as the economy continues to strengthen, according to the latest 'Fitch Voice: Structured Finance' publication. While CMBS loans that come due in 2022 and 2023 will likely do so in a higher rate environment, overall they have been reasonably underwritten.

    Should the broader economy reverse direction, any downgrades to CMBS 2.0 .......

    News Round-up 2 August 2013

  • Client clearing due for European roll-out

    ICE Clear Europe is set to introduce client clearing for European credit default swaps after receiving regulatory approval in the UK and US. The service is expected to launch on 7 October and will be available for 43 European index and 121 corporate single name CDS instruments. Twelve clearing members will participate in the pre-launch testing.

    The buy-side clearing solution .......

    News Round-up 2 August 2013

  • Watchlist criteria released

    CREFC Europe has released Watchlist Criteria for Europe, which forms part of the European Investor Reporting Package (E-IRP). The Watchlist Criteria aims to help improve clarity in the identification of loans to be placed on the Watchlist by allowing the application of pre-determined standards.

    Watchlists are compiled by servicers based on the criteria defined by CREFC Europe and include comments .......

    News Round-up 2 August 2013

  • CMBS delinquencies nudge 2010 lows

    For the third time in the last four months, the Trepp CMBS delinquency rate fell significantly. The rate dropped by 17bp in July, bringing the delinquency rate for US CMBS loans to 8.48%, the lowest reading since the September 2010 rate of 8.45%. The Trepp delinquency rate is now 123bp lower than where it began the year.

    The meaningful decline .......

    News Round-up 2 August 2013

  • Ares unveils strategic partnership

    Ares Management and Alleghany Corporation have announced a new strategic partnership. Under the agreement, Alleghany invested US$250m for a 6.25% equity ownership interest in Ares and committed to invest up to US$1bn of capital in various existing and new Ares investment strategies.

    Through its relationship with Ares, Alleghany seeks both to participate in Ares' strong business prospects and to enhance .......

    Job Swaps 2 August 2013

  • Fannie risk-sharing deal on the cards

    National Mortgage Insurance Corporation has agreed to insure approximately US$5bn in residential mortgages in its first risk transfer transaction with Fannie Mae, with an expected effective date in 3Q13. The transaction is contingent on National MI receiving regulatory approval of the pool policy of insurance by the District of Columbia Department of Insurance, Securities and Banking.

    The transaction was offered .......

    News Round-up 2 August 2013

  • Tourre found liable in Abacus case

    Ex-Goldman Sachs executive Fabrice Tourre has been found liable in the US District Court for the Southern District of New York for misleading investors in the Abacus 2007-AC1 CDO. The jury found against him on six of the seven claims brought by the SEC in April 2010 (SCI passim). According to the regulator, Tourre deliberately made material misstatements and omissions .......

    Job Swaps 2 August 2013

  • XA tiering opportunities touted

    Generic CMBS 3.0 XA tranche prices have widened by 75bp from their early-May tights of swaps plus 110bp, underperforming corresponding 10-year dupers that have sold off by only about 25bp. While remaining positive on these triple-A rated senior IOs, Barclays Capital CMBS analysts recommend paying close attention to some emergent trends that could cause tiering between some individual XA tranches.

    News 1 August 2013

  • TRIPRA impact analysed

    Fitch has released a report discussing some potential economic and credit rating effects for the property/casualty insurance industry and CMBS market if the Terrorist Risk Insurance Program Reauthorization Act (TRIPRA) is not renewed or coverage substantially declines. Legislation was recently introduced in the US House of Representatives to extend the Act, which expires on 31 December 2014.

    Over the last .......

    News Round-up 1 August 2013

  • FVA methodology unveiled

    Numerix has unveiled a new methodology for calculating funding value adjustment (FVA) for vanilla and exotic deals, at both the trade and portfolio level. Available within its CrossAsset pricing and risk analytics suite, the universal framework proposes an efficient, practical implementation of the FVA calculation, the firm says.

    The methodology proposed by Numerix for FVA expands upon Barclays quantitative research .......

    News Round-up 1 August 2013
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