Complete news archive

  • EC contemplates more securitisation

    The European Commission has released a Green Paper on long-term financing in Europe. AFME has been quick to praise the included proposals, such as the Green Paper's call for increased capital markets funding for housing, including residential mortgages, which could see securitisation play a pivotal role.

    "Reshaping securitisation markets could also help unlock additional sources of long-term finance. Subject to .......

    News Round-up 26 March 2013

  • Fitch makes Alt-A rating changes

    Fitch has taken various rating actions on 10,133 classes in 772 US Alt-A RMBS transactions. The vast majority of tranches - 9,735 - have been affirmed, but there were also 49 classes upgraded, 346 downgraded and three classes with ratings withdrawn.

    The rating upgrades reflect the improving performance of the seasoned collateral, driven by positive selection on the remaining borrowers .......

    News Round-up 26 March 2013

  • OTC clearing certainty hub launches

    MarkitSERV has launched MarkitSERV Credit Centre, a pre-trade credit checking solution for the OTC derivatives market. The offering will provide buy-side firms, regional banks and other institutions that access clearing through FCMs with a consolidated view of the credit available to them.

    FCMs will update credit lines during the trading day as client portfolios change and electronic execution venues will .......

    Job Swaps 26 March 2013

  • Structural flaws limit RMBS ratings potential

    JPMorgan's first post-crisis RMBS, JPMMT 2013-1, would not be rated Aaa by Moody's. The rating agency explained last month that US RMBS with weak structural frameworks would not achieve top ratings (SCI 26 February 2013) and says this transaction contains several structural weaknesses that expose investors to risk of losses.

    The collateral in JPMMT 2013-1 consists of high quality loans .......

    News Round-up 26 March 2013

  • Holistic remedy

    Jacob Lyons, md at CR Investment Management, answers SCI's questions

    Q: How and when did CR Investment Management become involved in the CMBS market?
    A:     At the core of CR Investment Management's philosophy is the marriage of credit skills with the understanding and operation of underlying assets. Our focus is on real estate and shipping: both asset classes have similar dynamics and a similar client base.

    Also at the core of .......

    The Structured Credit Interview 26 March 2013

  • UK scheme is RMBS positive

    The UK government's plan to stimulate mortgage lending is credit positive for RMBS, argues Moody's. The government has announced a three-year scheme aimed at boosting high-LTV residential mortgage lending.

    The Help to Buy scheme starts in January 2014. It will involve the government partially guaranteeing up to £130bn of high-LTV loans for home purchases, which is 2.8 times the total .......

    News Round-up 25 March 2013

  • Clearing is coming

    European credit derivatives participants prepare for EMIR

    Mandatory central clearing has already begun in the US and is now being rolled out in Europe (SCI passim). The changes under EMIR are expected to enhance the liquidity of the most liquid CDS names and spur demand for credit index futures.

    The European credit derivatives market has now had a week to get used to requirements under EMIR to .......

    News Analysis 25 March 2013

  • Fitch downgrades distressed bonds

    Fitch has downgraded 704 distressed bonds in 285 US RMBS transactions to single-D. They were all previously rated double-C or single-C and have either incurred a principal write-down or are interest-only classes that have a notional balance off a class that incurred a principal write-down.

    Of the 704 affected classes, 428 are Alt-A, 249 are prime, and 15 are subprime, .......

    News Round-up 25 March 2013

  • REIT eyes further purchases

    Two Harbors Investment Corp intends to use share sales proceeds to make further RMBS purchases. It has generated around US$763m by offering 57,500,000 shares and will also target prime jumbo residential mortgage loans, credit sensitive residential mortgage loans and mortgage servicing rights.

    Credit Suisse Securities is acting as the lead book-running manager for the offering. Barclays Capital, Bank of America .......

    News Round-up 25 March 2013

  • Subprime RMBS placed on review

    Moody's has placed 16 tranches from nine RMBS transactions issued by Renaissance and Delta Funding on review for downgrade. The collateral backing these deals primarily consists of first-lien, subprime residential mortgages.

    The affected tranches are one class of DFC HELTrust 2001-2, one class of Renaissance Home Equity Loan Trust 2004-2, one class of Renaissance Home Equity Loan Trust 2004-4, three .......

    News Round-up 25 March 2013

  • OTC clearing chief appointed

    John Wilson has joined Newedge as global head of OTC derivatives clearing, based in London. He previously held that same role at RBS and spearheaded the development of the clearing service there.

    .......

    Job Swaps 25 March 2013

  • Additional CDO auction announced

    An auction is being held for Bristol CDO I today. The US$223.5m class A-1 tranche, US$20.5m class A-2, US$30m class B and US$13m class C tranches will all be on the block. An auction for the same CDO was previously held in January (SCI 2 January 2013).

    .......

    News Round-up 25 March 2013

  • SCI Start the Week - 25 March

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

    Pipeline
    It was another busy week for new deal announcements as the end of Q1 approaches. There were two newly-announced ABS, three RMBS, three CMBS and four new CLOs that were still in the pipeline come the end of the week.

    The ABS were £299.8m A-Best 8 and US$270m STORE Master Funding I & II series 2013-1. The RMBS were A$275m .......

    News 25 March 2013

  • Single-name shut-out?

    CVA charge adds pressure to move to CDS indices

    Single-name CDS liquidity has been falling for the last few years as trading concentrates on an ever-smaller universe. The CVA charge under Basel 3 appears to be hastening this process, with banks increasingly turning to indices to hedge, potentially creating an index-only market.

    The outstanding notional of the single-name CDS market was around US$15trn in 2012, less than half its US$33.4trn peak .......

    News Analysis 22 March 2013

  • Railcar ABS methodology released

    Moody's has published a methodology report covering its global approach to rating ABS collateralised by railcars. Given that this type of securitisation has so far been executed in the US only, most of the analysis is based on the US experience.

    The leases are typically operating leases, as opposed to financing leases. "In railcar leasing ABS, the transaction sponsor typically .......

    News Round-up 22 March 2013

  • Auto performance exceeds expectations

    Asset performance came in stronger for US prime auto ABS, while subprime auto loans reversed a seven-month trend of rising losses, according to Fitch's latest index results for the sector.

    Prime and subprime 60+ day delinquencies came in lower in February by 4.7% and 2.4% month-over-month (MOM) respectively. Prime annualised net losses (ANL) dropped by 4.8% MOM, while subprime ANL .......

    News Round-up 22 March 2013

  • Subprime supports secondary RMBS

    Overall US non-agency RMBS BWIC volume rose slightly yesterday, with subprime supply in particular shooting up. SCI's PriceABS data shows 143 US RMBS line items for Thursday's session, based on an estimated US$565m in total non-agency volume.

    "BWIC volume is up slightly from the prior session, driven mainly by an increase in subprime line items. Synthetics are mixed .......

    Market Reports 22 March 2013

  • Brean adds fixed income pair

    Brean Capital has made two additions to its fixed income team in New York, each reporting to Robert Tirschwell. John Caladim joins as financial strategies md and Jon Coleman joins as vp responsible for trading US agency small business administration bonds.

    Caladim's mandate will be to build out an analytical team responsible for creating tailored investment portfolios, developing balance sheet .......

    Job Swaps 22 March 2013

  • Widespread super-senior shortfalls unlikely

    The interest shortfalls that affected the super-senior class of MSC 2007-HQ13 are unlikely to be widespread across US CMBS conduit deals, Fitch suggests. The few super-senior classes that could be affected are from transactions that have a high percentage of already realised losses, a large amount of appraisal reductions and increasing loan concentration. Pools with a larger proportion of senior .......

    News Round-up 22 March 2013

  • CLO chief brought in

    TPG has appointed Douglas Paolillo to run its CLO desk in New York. He was previously md at GSO Capital Partners.

    Paolillo spent a decade at Blackstone Group, where he worked in the corporate debt division. Previously he was a director at CIBC World Markets where he served as senior investment analyst for the SIVs managed by Trimaran Advisors and .......

    Job Swaps 22 March 2013

  • CMBS 2.0 loan enters special servicing

    The US$13.6m 2100 Grand loan, securitised in CMBS 2.0 deal JPMCC 2011-C3, has been transferred to special serving. The move follows the bankruptcy of the Los Angeles-area office building's primary tenant, special effects firm Rhythm & Hues.

    CMBS analysts at Barclays Capital suggest that the firm's stay in bankruptcy may be short, as an auction for the property is set .......

    News Round-up 22 March 2013
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