Complete news archive

  • 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

  • Price indexation lifts Aussie WALTV

    Fitch has introduced property price indexation to its Australian RMBS criteria, assessing indexed property values for over 818,000 loans in 131 rated public securitisations. This has resulted in an improved weighted average loan-to-value (WALTV) ratio of 57.4%, compared with 63.3% prior to indexation.

    The aim of indexation is to provide a more accurate picture of the value of security backing .......

    News Round-up 1 August 2013

  • MS beefs up CMBS research

    Richard Hill has joined Morgan Stanley's US securitised products group to lead CMBS and CRE debt research, reporting to Vishwanath Tirupattur. He was previously director of CMBS and CLO strategy at RBS.

    .......

    Job Swaps 1 August 2013

  • Lower advances weigh on GMAC bonds

    Ocwen's acquisition of the servicing portfolio of GMAC Mortgage is said to be credit negative for related fast-pay subprime RMBS bonds due to Ocwen's policy of lower advances and its greater focus on modifications, as opposed to liquidations. Bonds will receive less up-front cash if the advancing rate on the GMACM portfolio falls from its current level of about 65% .......

    News Round-up 1 August 2013

  • ABX recovery estimates up

    Improving collateral pool performance has led to an increase in Moody's principal recovery estimates for the RMBS bonds referenced in the ABX indices. The agency notes in its latest ResiLandscape publication that the market price of the indices has risen at a much faster pace than its recovery estimates have, owing to improved investor sentiment driven by rising home prices.

    News Round-up 31 July 2013

  • Eminent domain action slammed

    SIFMA says it strongly opposes the City of Richmond, California's notification of 32 trustees and servicers of offers to purchase loans and that they may use eminent domain to seize mortgages for modification. The association notes that the action will hurt many more homeowners, both within the city and around the country, than it is alleged to help.

    "The practical .......

    News Round-up 31 July 2013

  • CRA supervisory colleges recommended

    IOSCO has published its final report on supervisory colleges for credit rating agencies, which recommends establishing supervisory colleges for internationally active credit rating agencies (CRAs) and provides preliminary guidelines on how to constitute and operate them. The recommendations are aimed at improving the integrity of CRAs, the organisation says.

    The creation of a CRA college could enhance the effectiveness of .......

    News Round-up 31 July 2013

  • Euro CLOs exiting reinvestment periods

    The majority of senior notes in European CLOs have begun to amortise through the exit of reinvestment periods, according to Fitch's latest CLO Tracker reading. The average triple-A note factor across Fitch-rated transactions is now 75.78%, versus 76.24% in the April 2013 Tracker report.

    With only three transactions showing a senior note factor of 100%, this is indicative of deals .......

    News Round-up 31 July 2013

  • Solid auto ABS performance continues

    US auto loan ABS asset performance continues to be solid, with historically low delinquency rates and loss rates at or near record lows, according to Fitch. This is despite a slight up-tick in loss rates observed last month.

    A number of macro factors are helping to bolster auto ABS performance, including: stable employment levels, the revival in the housing market, .......

    News Round-up 31 July 2013

  • CMBS liquidations jump

    Liquidated US CMBS loan volume jumped this month, with a concurrent drop in loss severity. July liquidations totalled US$2.05bn, the second highest liquidation volume since Trepp began tracking the number in January 2010 and well above the 12-month moving average of US$1.35bn.

    The highest monthly liquidated volume was in November 2011, with US$2.1bn in liquidated loans. While 218 loans were .......

    News Round-up 31 July 2013

  • Special servicing transfer agreed

    Berkadia Commercial Mortgage is set to transfer to KeyCorp Real Estate Capital Markets substantially all of its third-party commercial mortgage special servicing portfolio. Moody's has determined that the transfer will not result in a downgrade or withdrawal of the current ratings on any class of certificates it rates in the impacted CMBS deals. The move follows a separate sub-servicing agreement .......

    Job Swaps 31 July 2013

  • Further decrease for Trups CDO defaults

    Combined US bank Trups CDO defaults and deferrals further decreased to 27.8% at end-2Q13, from 28.2% at the end of the previous quarter, according to Fitch. Similar to Q1, the number of new cures outpaced the number of new defaults.

    While the number of new cures in 2Q13 - at 11 - was lower than the 25 registered in 1Q13, .......

    News Round-up 31 July 2013

  • Another CDS antitrust suit emerges

    MF Global Capital has become the latest firm to file an antitrust suit alleging that swap dealers conspired to control the credit derivatives market (SCI passim). The complaint - filed in Illinois Northern District Court - names Bank of America, Barclays, Citi, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC, ISDA, Markit, Morgan Stanley, RBS and UBS as defendants.

    .......

    Job Swaps 31 July 2013

  • Ratings impact unlikely from interchange cap

    The European Commission's proposed cap on interchange fees for credit card-based payment transactions is unlikely to have a significant ratings impact on UK credit card ABS transactions, Fitch says. The agency notes that given regulatory pressure on interchange fees is mentioned as a risk factor in prospectuses for credit card ABS, it has not given full credit to interchange in .......

    News Round-up 30 July 2013

  • MTM losses weigh on Reg XXX deal

    Fitch has affirmed and subsequently withdrawn the ratings of Ballantyne Re's class A1 (double-C), B1 and B2 (both single-C) notes. The rating rationale is based on the significant mark-to-market losses Ballantyne Re has experienced in its investment portfolio of RMBS and ABS.

    Fitch notes that the Regulation XXX vehicle's liabilities exceed the current book value of its assets by "a .......

    News Round-up 30 July 2013

  • Second clearing phase completed

    The second phase of required clearing for iTraxx credit default swap (CDS) indices began last week for category 2 entities. Category 2 entities include commodity pools, private funds and persons predominantly engaged in activities that are in the business of banking or that are financial in nature, except for third-party sub-accounts.

    The CFTC adopted its first clearing requirement determination for .......

    News Round-up 30 July 2013

  • RFC issued on floorplan update

    S&P has requested feedback on proposed changes to the methodology and assumptions it uses to rate global non-diversified auto dealer floorplan (non-diversified ADFP) ABS. The proposed revisions are part of the agency's effort to enhance the comparability of its ratings across all sectors of the fixed income market, it says.

    The proposed criteria consider an ADFP pool to be 'non-diversified' .......

    News Round-up 30 July 2013

  • Nephila names new partner

    Guy Swayne has joined Nephila Capital as a partner, based in Bermuda. He will focus primarily on risk origination, working with established and new counterparties that are seeking protection from natural catastrophe and weather exposures. In addition, he will assist the management team with certain aspects of managing the firm and contribute to shaping the firm's strategic initiatives.

    Swayne has .......

    Job Swaps 30 July 2013

  • Structured products head hired

    Western Asset has recruited Anup Agarwal as head of structured products, based in Pasadena. He has 16 years of industry experience and was most recently with Stark Investments.

    At Stark, Agarwal was head of consumer finance, responsible for managing agency and non-agency MBS, ABS, CMBS and CDOs, as well as an opportunistic mortgage fund. Prior to his four years at .......

    Job Swaps 30 July 2013

  • Accelerating evolution

    CLO structural changes gather pace amid increased issuance

    The pick-up in CLO issuance has accelerated structural innovation on either side of the Atlantic. At the same time, regulatory pressures continue to shape the market.

    In Europe, this process began with Cairn CLO III, which hit the market in February (SCI passim). Although the 5% retention piece required by CRD Article 122a was placed with a third-party, European regulators have .......

    News Analysis 30 July 2013

  • Bank beefs up West Coast CMBS team

    John Boyt and Joshua Greene have joined Barclays' CMBS finance team in Los Angeles as director and vp, respectively. They will expand the bank's focus on CRE lending opportunities in the Western US.

    Before joining Barclays both Boyt and Greene were operating under an exclusive joint venture with the bank to originate loans for CMBS. Boyt has previously worked for .......

    Job Swaps 29 July 2013
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