Complete news archive

  • SSFA provision clarified

    The OCC has clarified a provision of the market risk capital rule. Specifically, it has addressed the measurement of a parameter used in the simplified supervisory formula approach (SSFA) for securitisation exposures.

    When an institution assigns the specific risk capital requirement for a securitisation position, the OCC is clarifying that exposures underlying the securitisation position should not necessarily be considered .......

    News Round-up 20 May 2013

  • Operations tool enhanced

    Misys has released Sophis VALUE v5, which is designed to offer increased transparency for traditional and alternative asset managers into their operations. New and upgraded features in the service include: support for compliance with Dodd-Frank derivatives requirements; connectivity to various execution venues; capability to clear and novate new trades.

    .......

    News Round-up 20 May 2013

  • Abacus CDO decision reversed

    New York's Appellate Division, First Department last week reversed a lower court's order and dismissed ACA Financial Guaranty Corp's lawsuit against Goldman Sachs in connection with the Abacus 2007-AC1 CDO (SCI 7 January 2011). ACA alleged that the bank fraudulently induced it into insuring the transaction by misrepresenting hedge fund Paulson & Co's economic interest, including Paulson's role in the .......

    Job Swaps 20 May 2013

  • ResCap plan agreed

    Ally Financial has entered into a comprehensive plan support agreement with the Residential Capital estate and its major creditors to support a Chapter 11 plan in ResCap's Chapter 11 cases. The plan will settle all existing and potential claims between Ally and ResCap and all potential claims held by third parties related to ResCap that could be brought against Ally .......

    News Round-up 20 May 2013

  • Spanish RMBS ratings reviewed

    Fitch has downgraded 97, affirmed 194 and upgraded three tranches from 80 Spanish RMBS. The agency has also maintained its rating watch negative placement on seven tranches.

    The transactions affected by these rating actions were previously placed on rating watch negative, following the publication of revised criteria assumptions for Spanish RMBS (SCI 21 March). During the course of the review, .......

    News Round-up 20 May 2013

  • CLO specialist recruited

    Lawrence Berkovich has joined Mayer Brown in Charlotte as a partner in the banking and finance practice. Previously, he was a counsel with Dechert in Charlotte.

    Berkovich concentrates his practice on complex structured finance transactions, with a particular emphasis on broadly syndicated and middle-market CLOs, CRE CLOs/CDOs and rated/unrated leveraged loan and CRE loan warehouse facilities. In addition, he has .......

    Job Swaps 20 May 2013

  • FFELP SLABS criteria updated

    Fitch has updated its criteria for US FFELP student loan ABS. The agency has placed 192 tranches on rating watch negative and 25 tranches on rating watch positive as a result.

    The criteria update reflects a new analytical tool Fitch has introduced as part of its rating process. The new tool simulates cashflows based on collateral stratifications and deal structure, and .......

    News Round-up 20 May 2013

  • SCI Start the Week - 20 May

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

    Pipeline
    A broad range of transactions remained in the pipeline at the end of last week. These deals comprise four ABS, four RMBS and two CMBS.

    The ABS currently in the pipeline consists of: €800m Bavarian Sky German Auto Loans 1; US$238m CarFinance Auto Receivables Trust 2013-1; US$599.7m Edsouth Indenture No.4 Series 2013-1; and €300m Volta Electricity Receivables Securitisation. The RMBS .......

    News 20 May 2013

  • Asian liberalisation?

    Signs of CDS gaining ground as Asian markets open up

    The OTC derivatives market in Asia continues to be fragmented and largely weighted towards FX and interest rate swaps. However, CDS remains a core constituent and there are encouraging signs that the sector is evolving.

    Overall CDS volume in the Asian Pacific region is down on previous years and trading has consolidated around only a few jurisdictions. The majority of .......

    News Analysis 20 May 2013

  • Senior CMBS analyst appointed

    Ed Barrett has left Morningstar to take up a role as CMBS director at Kroll Bond Rating Agency. He was structured credit svp at Morningstar and has also worked as a portfolio mananger at Aberdeen Asset Management and as a senior analyst at Deutsche Asset Management and at GMAC Commercial Mortgage Corporation.

    .......

    Job Swaps 20 May 2013

  • Mortgage specialist enlisted

    Keeyeol Nam has joined Tilden Park in New York as md to lead a team trading agency mortgages and mortgage derivatives. He was previously head of structured products at DB Capital Management and has also worked at RBS, where he was svp.

    .......

    Job Swaps 20 May 2013

  • Investment manager adds analyst

    John Robbins has joined Lucidus Capital. He becomes a research analyst in the investment manager's New York office.

    Robbins was previously at Elliott Management Corp, where he served as an analyst. Over the last 15 years he has also worked at Saba Principal Strategies, Morgan Stanley and Banc of America Securities.

    .......

    Job Swaps 20 May 2013

  • Freddie sale meets strong demand

    Further details have emerged on the US$1bn-plus US RMBS non-agency bid-list put out by Freddie Mac earlier this week (SCI 14 May). The collateral consisted mostly of subprime and adjustable rate prime or Alt-A loans, with all of the bonds originated in 2005 or earlier.

    The list was announced at the start of the week and scheduled to trade on .......

    Market Reports 17 May 2013

  • Equitable subordination risk rises

    The risk of equitable subordination has arisen for the first time during insolvency proceedings of German CMBS borrowers. The case involves the Orange loan securitised in Talisman 6, which is sponsored by Treveria.

    An insolvency creditor contested the voting rights of the lenders under the loan. The insolvency court then held that the voting rights of the Orange loan lenders .......

    News 17 May 2013

  • EU asset quality to be reviewed

    The EBA has agreed on recommendations to supervisors to conduct asset quality reviews on major EU banks. While banks' capital positions were significantly strengthened under the EBA's recapitalisation exercise, the objective of the asset quality exercises will be to review banks' classifications and valuations of their assets. The aim is to help dispel concerns over the deterioration of asset quality .......

    News Round-up 17 May 2013

  • CLO-like structure minted

    HIG WhiteHorse Capital has closed WhiteHorse VII, a term facility - structured like a CLO - to fund purchases of broadly syndicated loans. Arranged by RBS, the facility closed with an initial investment of US$25m from the equity holders, with the class A delayed draw note having sole discretion to advance funds in US$5m increments up to a total of .......

    News Round-up 17 May 2013

  • Final SEF rulemaking released

    The US CFTC has released a final rulemaking on core principles and other requirements for SEFs. The move has been welcomed by many participants (see separate article), but SIFMA strongly disagrees with the rules and warns they could negatively impact investors.

    SEFs were written into the Dodd-Frank Act three years ago. The final regulations establish procedures for the registration of .......

    News Round-up 17 May 2013

  • Co-op RMBS on review

    Moody's has placed on review for downgrade the ratings of 28 tranches in eight UK RMBS sponsored by Co-operative Bank. The rating actions follow the agency's downgrade of Co-operative Bank from A3/Prime-2 to Ba3/Not Prime on 9 May.

    Moody's believes that the affected RMBS transactions are exposed to increased payment-disruption risk, following the downgrade of Co-operative Bank. The ratings in .......

    News Round-up 17 May 2013

  • Greek country ceiling raised

    Fitch has upgraded 24, affirmed five and downgraded one tranche from 12 Greek structured finance transactions (two ABS and 10 RMBS). In addition, the three tranches of Lithos Mortgage Finance have been placed on rating watch evolving (RWE), pending the outcome of investigation into the transaction's recent performance.

    The action follows the revision of the country ceiling for Greece to .......

    News Round-up 17 May 2013

  • Counterparty credit risk uncovered - part two

    Terri Duhon, managing partner at B&B Structured Fina...

    As explained in the first in this series of articles (SCI 3 May), counterparty credit risk in interest rate swaps can generally be thought of as a symmetric picture of potential future exposure, a fraction of the notional of the trade and non-correlated between the credit risk of the client (counterparty) and the market risk of the trade. In this .......

    Research Notes 17 May 2013

  • SEF certainty

    CFTC clears up CDS concerns

    A perceived regulatory preference for CDS futures over swaps has caused serious consternation in the market. However, the publication of final SEF rules yesterday (16 May) has assuaged most concerns and paved the way for participants to advance.

    Bloomberg last month filed a lawsuit to prevent the US CFTC from implementing what it saw as flawed regulation (SCI 18 April). .......

    News Analysis 17 May 2013
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