Complete news archive

  • ABS CDO on the block

    An auction is being held for Independence IV CDO on 28 March. The collateral will be sold only if the proceeds are at least equal to the auction call redemption amount. The underlying assets comprise RMBS, CMBS and ABS CDO securities.

    .......

    News Round-up 11 March 2013

  • EMIR protocol launched

    ISDA has launched the March 2013 EMIR Non-Financial Counterparty (NFC) Representation Protocol and a Timely Confirmation Amendment Agreement. The two documents are the first in a series of tools that ISDA plans to make available to market participants to facilitate their compliance with EMIR.

    The former document is designed to allow swap market participants to simultaneously amend multiple ISDA Master .......

    News Round-up 11 March 2013

  • Loan mods help drive delinquencies lower

    Two large loan modifications helped drive US CMBS delinquencies lower for a ninth straight month, according to Fitch's latest index results for the sector. CMBS late-pays declined by 30bp in February to 7.61%, from 7.91% a month earlier. In addition, the dollar balance of delinquent loans fell below the US$30bn mark for the first time since February 2010.

    The sharp .......

    News Round-up 11 March 2013

  • Mortgage vet to oversee integration

    Vericrest Financial has appointed Joe Anderson as chairman and ceo, effective immediately. He will lead the integration of Vericrest with Caliber Funding as the firms combine to create a full-service residential mortgage banking organisation offering both loan origination and servicing solutions.

    Anderson was formerly senior md of Countrywide Home Loans' prime retail lending division, leading all origination channels. He has .......

    Job Swaps 8 March 2013

  • Third stress test completed

    The largest US bank holding companies have continued to improve their ability to withstand an extremely adverse hypothetical economic scenario and are collectively in a much stronger capital position than before the financial crisis, according to the Fed's latest stress test summary results.

    Reflecting the severity of the stress scenario - which includes a peak unemployment rate of 12.1%, a .......

    News Round-up 8 March 2013

  • REC 6 hit by low recovery projections

    Fitch has downgraded Alburn Real Estate Capital (REC 6)'s class A, B and C notes and affirmed the class D and E notes. The CMBS tranches are now all rated single-C, reflecting the insufficient residual collateral value in the transaction to repay the class A notes in full by their maturity in October 2016.

    Fitch estimates that 25% of the .......

    News Round-up 8 March 2013

  • CMBS pay-offs dip

    The percentage of US CMBS loans paying off on their balloon date has exceeded 60% for the fifth time in the last six months, according to Trepp's January pay-off report. In February, 61.8% of loans reaching their balloon date paid off - a decrease of about five percentage points from the January reading. The rate is well above the 12-month .......

    News Round-up 8 March 2013

  • RMBS ticks over as secondary supply slows

    US RMBS non-agency secondary supply was notably lighter in yesterday's session. A number of names were successfully covered, however, with dealer talk showing slight movement.

    BWIC volume for non-agency RMBS was US$326m, according to Interactive Data. "Bid-list supply is down across all major collateral segments, with this week's aggregate total running at the lowest level observed year-to-date. Dealer offering levels .......

    Market Reports 8 March 2013

  • Q4 CMBS loss severities analysed

    The weighted average loss severity for all loans backing US CMBS that liquidated at a loss was 40.8% in 4Q12, the same as the prior quarter, Moody's reports. From 1 January to 15 December 2012, US$15.8bn of CMBS loans liquidated, consistent with the same period from the previous year.

    The weighted average loss severity for all liquidated loans, excluding those .......

    News Round-up 8 March 2013

  • Stable outlook for Canadian ABS

    Moody's outlook remains stable for Canadian auto and credit card ABS and for the country's seven covered bond programmes. The stable outlook reflects the very strong collateral attributes in both credit card and auto ABS in Canada. Neither sector is expected to be able to match their strong 2012 levels of issuance, however.

    Although originators of auto loans continue to .......

    News Round-up 8 March 2013

  • Wave of CLO 2.0 re-pricings forecast

    CLO 2.0 deals are starting to reach the end of their non-call periods and tighter loan spreads are encouraging equity holders to redeem transactions sooner than many investors seem to have anticipated. Several 2010 CLOs have already been refinanced, called or re-priced (SCI 7 March) and the trend is set to continue for 2011-vintage deals.

    CLO analysts at RBS note .......

    News 8 March 2013

  • Looser underwriting eyed in auto ABS

    Competitive industry pressures - particularly in the subprime sector - are driving looser underwriting, which may in turn push losses modestly higher in US auto ABS, according to Fitch. However, low actual losses, strong average credit quality and stable or increasing credit enhancement levels should help steer auto ABS performance away from any significant deterioration.

    FICO and credit tier distributions .......

    News Round-up 8 March 2013

  • Smith Breeden director returns

    Carl Bell has returned to Smith Breeden Associates as a principal and senior portfolio manager. As a senior member of the firm's investment team, he will focus on the analysis and trading of structured credit, including non-agency RMBS, CMBS and ABS. Bell will also continue to serve on Smith Breeden's board of directors; he has served as an outside director .......

    Job Swaps 8 March 2013

  • Euro CLO mezz widens

    The European mezzanine CLO secondary market weakened somewhat to start the month. Single-As are trading at about 50DM wider, although more senior and strong equity paper remain well bid.

    "The most exciting development recently was this big BWIC from the US from GoldenTree. There were some sizable positions on the list and it was interesting to see these guys actually .......

    Market Reports 7 March 2013

  • CLO 2.0 re-pricings analysed

    Many of the first CLO 2.0 deals are reaching the end of their call-protected period, with some transactions issued considerably above current spread levels. Indeed, two 2010-vintage US CLOs last month undertook re-pricing exercises to take advantage of recent spread tightening.

    First, Apollo Credit Management refinanced the class A1, A2, B, C and D notes of ALM Loan Funding 2010-3 .......

    News Round-up 7 March 2013

  • Valuations platform strengthened

    S&P Capital IQ has broadened its coverage of derivatives and other complex financial instruments. Valuations are available via a feed or a secure web-based solution that is designed to enhance the valuation process - from trade upload and mapping, through to reporting and challenges. As part of these efforts, and thanks to the integration of CMA (SCI 3 July 2012), .......

    News Round-up 7 March 2013

  • Listed fund debuts

    TwentyFour Asset Management has launched the TwentyFour Income Fund, which aims to generate a net total return of between 7% and 10% by investing in the lower-rated, less liquid tranches of European ABS. Following a successful fund-raising working with Numis Securities, ordinary shares in the Guernsey-incorporated closed-ended fund began trading on the London Stock Exchange yesterday (6 March).

    The fund's .......

    News Round-up 7 March 2013

  • Auto ABS expected to weather depreciation

    Vehicles are likely to depreciate to a greater degree this year, though not enough to present any major obstacles to US auto loan and lease ABS, according to a new report developed by Black Book and Fitch. The report will be released on a quarterly basis and aims to highlight key trends tied to auto supply and demand that drive .......

    News Round-up 7 March 2013

  • CDX 20 set to roll wider

    Provisional changes to the Markit CDX IG index constituents have been published ahead of the roll to Series 20. The new index is scheduled to start trading on 20 March.

    Two names will be removed from the current index - one because of a downgrade to high yield (CenturyLink) and the other due to low liquidity (Canadian Natural Resources). They .......

    News Round-up 7 March 2013

  • ML-style GSE unwind advocated

    The FHFA has called for a new securitisation infrastructure in which Freddie Mac and Fannie Mae's presence is contracted (SCI 5 March). The Bipartisan Policy Center also published a report last month calling for the elimination of the GSEs over a five- to 10-year period, but any such wind-down could have significant ramifications for the securitised markets.

    Freddie Mac and .......

    News 6 March 2013

  • Analytics platform enhanced

    Numerix has introduced Numerix CrossAsset Server (CAS), which extends the features of Numerix CrossAsset into an in-memory, gridded server platform that can compute pre-trade pricing, mark-to-market, Greeks, sensitivities, cashflows and market and counterparty credit risk measures. The aim is to preserve the flexibility that front office quants require, while meeting performance benchmarks for traders and risk management operations.

    CAS is .......

    News Round-up 6 March 2013
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