Complete news archive

  • Risk factor module offered

    Xenomorph has released a new risk factor management module for its TimeScape platform. The enhancement enables risk managers to implement more robust oversight of the underlying risk factors driving their risk models, the firm says.

    The new module provides for easy definition of individual risk factors from formulas combining raw market data series, assignment of risk factor to groups, viewing .......

    News Round-up 5 March 2013

  • RFC issued on Canadian resi model

    Fitch has released a proposed new model framework for estimating losses on prime Canadian residential mortgage pools. Default risk estimates are based on a regression of loan and borrower attributes on roughly one million Canadian prime residential mortgages originated between 2003 and 2008.

    While Fitch obtained performance data from several major Canadian banking institutions, one data set in particular served .......

    News Round-up 5 March 2013

  • Servicer enforcement actions amended

    The OCC and the US Federal Reserve have released amendments to their enforcement actions against 13 mortgage servicers for deficient practices in mortgage loan servicing and foreclosure processing. The amendments require the servicers to provide US$9.3bn in payments and other assistance to borrowers.

    The amendments memorialise agreements in principle announced in January with Aurora, Bank of America, Citi, Goldman Sachs, .......

    News Round-up 5 March 2013

  • Hotels lead CMBS delinquency rebound

    The Trepp CMBS delinquency rate fell by 15bp to 9.42% in February, reaching its lowest level in a year. Overall, the delinquency rate has fallen by 92bp since hitting a peak of 10.34% at the end of July 2012.

    February saw US$2.7bn in newly delinquent loans, which put about 48bp of upward pressure on the delinquency rate. This was slightly .......

    News Round-up 5 March 2013

  • SLABS activity picks up

    After a slow start to the week, limited US secondary ABS supply is emerging. In particular, SCI's PriceABS data shows several student loan tranches attracting talk in the 80s and 90s during yesterday's session.

    The largest of these tranches was a US$21.9m piece of GCOE 2006-1 A11L, which was talked in the low/mid-90s. A smaller US$5.875m piece of .......

    Market Reports 5 March 2013

  • GSE scorecard released

    The FHFA has released its 2013 Conservatorship Scorecard for Fannie Mae and Freddie Mac. The Scorecard details specific priorities for the GSEs in 2013, which build upon the three strategic goals announced in FHFA's Strategic Plan for Enterprise Conservatorships released last year.

    These goals are: build a new securitisation infrastructure, including a common securitisation platform; contract Fannie Mae and Freddie .......

    News Round-up 5 March 2013

  • MBIA ratings hit

    S&P has lowered its financial strength rating on MBIA Insurance Corp to triple-C from single-B and lowered its financial strength rating on National Public Finance Guarantee Corp to double-B from triple-B. The outlook on MBIA Corp remains negative and on National remains developing. At the same time, the agency affirmed its single-B minus rating on MBIA Inc with a negative .......

    News Round-up 5 March 2013

  • SLABS one-stop-shop debuts

    SecondMarket - which has traditionally specialised in facilitating student-loan backed auction-rate securities (ARS) - has launched a new suite of products and services for student loan issuers. The new platform is expected to result in better student loan ABS pricing by bringing an expanded investor base to the market.

    As well as providing investor introductions, SecondMarket's offering will streamline the .......

    News 5 March 2013

  • Store closures weigh on CMBS

    The potential ramifications of retail store closures remain to be seen for US CMBS, Fitch notes.

    Abercrombie & Fitch, Best Buy, Sears, JC Penney, Office Depot and Barnes & Noble have recently announced store closures. A sizeable percentage of Fitch-rated CMBS have exposure to JC Penney, in particular.

    Other retailers - such as Wal-Mart, Costco, Dollar Stores and Forever 21 .......

    News Round-up 4 March 2013

  • Evolution driving ILS returns

    Swiss Re's Cat Bond Global Total Return Index posted a return of 10.28% for 2012. The catastrophe bond market closed the year at an all-time high of US$14.6bn on a market value basis across the 115 transactions that make up the index.

    Swiss Re believes that the market's evolution during 2012 and the securitisation of more complex risks - including .......

    News Round-up 4 March 2013

  • Dante legal battle ends

    Investors last week received monies from the redemption of nine of the outstanding Lehman Brothers Dante Series CDOs, bringing a 4.5-year legal battle to an end. The average pay-out was 99.8 cents on the dollar, with individual security redemptions varying between 86 and 112, according to a recent Structured Credit Research & Advisory client memo.

    The firm points out that .......

    News Round-up 4 March 2013

  • Call for RFQ rule overhaul

    SIFMA, ISDA and the Managed Funds Association (MFA) have released a summary of results from a member survey, where over 84% of respondents indicated that the five request for quotes (RFQ) rule proposed by the CFTC would result in increased transaction costs. Additionally, nearly 70% of respondents indicated they would migrate to other markets if required to post five RFQs.

    News Round-up 4 March 2013

  • EHA CMBS on review

    Moody's has placed on review for downgrade the ratings of 28 classes of notes in 14 CMBS secured by loans made to multiple English housing associations (EHAs). The action follows the recent downgrade of the UK's government bond rating to Aa1 with a stable outlook and the subsequent rating actions taken on 28 EHAs. The move reflects the increased default .......

    News Round-up 4 March 2013

  • NRAM files over ABS CDO

    Northern Rock (Asset Management) last week filed a lawsuit in the Supreme Court of the State of New York against several UBS entities in connection with the Kleros Preferred Funding VI CDO. The firm alleges that UBS sold it US$48.5m of Kleros VI notes knowing that the underlying assets were 'toxic'. It claims that UBS fraudulently provided false and misleading .......

    Job Swaps 4 March 2013

  • IBRC compression cycles completed

    TriOptima says it held compression cycles for both the subordinated and senior debt-related single name credit default swaps of the Irish Bank Resolution Corporation (IBRC), following a bankruptcy event on 7 February (SCI 14 February). Over 70% of the notional principal outstanding of subordinated CDS and over 50% of the senior CDS notional principal submitted to the cycles were compressed.

    News Round-up 4 March 2013

  • Strong collateral performance continues

    Fitch believes the small increase in US household debt and sizable reduction in disposable income are unlikely to impact ABS trusts, as collateral performance measures remain strong across most asset classes.

    The New York Fed last week reported that household debt increased in the fourth quarter by 0.3% - the first fundamental increase since 3Q08. Separately, the US Commerce Department .......

    News Round-up 4 March 2013

  • Investment bank targets capital markets growth

    Houlihan Lokey is continuing to expand its capital markets advisory business in Europe. Ken Goldsbrough recently joined from Greenhill & Co as capital markets md to oversee the bank's capital markets services in the region.

    The US-based investment bank says there is a significant opportunity for alternative lenders as traditional providers are being constrained by regulation. Houlihan Lokey believes that .......

    Job Swaps 4 March 2013

  • CMBS resolution volume drops

    US CMBS resolution volume last month dropped by 16% on the basis of liquidated balance, according to Trepp. On the basis of loan count, February's total was less than half of January's level. February average loss severity ended up at 44.26%, 13bp lower than January's 44.39%.

    February liquidations came in at US$965.4m, relative to the 12-month moving average of US$1.36bn. .......

    News Round-up 4 March 2013

  • SCI Start the Week - 4 March

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

    Pipeline
    Only three new deals entered the pipeline last week. They were: a UK CMBS called Intu (SGS) Finance series 1; a US$1.2bn CMBS called WFRBS 2013-C12; and a A$500m Australian RMBS called Triton Trust No.2 Bond Series 2013-1.

    Pricings
    New issue volume kept pace with recent weeks, with four ABS, one RMBS, two CMBS and four CLOs pricing. Three of the .......

    News 4 March 2013

  • Clearing countdown

    US credit derivatives participants prepare for mandatory clearing

    Mandatory swap clearing in the US for four categories of CDX and iTraxx CDS will begin next week. Even with that deadline looming large, a significant number of managers are understood to remain unready for the changes.

    Over 200 funds are anticipated to be caught by mandatory clearing, with up to a third said to be unprepared, as of mid-February. .......

    News Analysis 4 March 2013

  • Auto prepay model introduced

    JPMorgan has introduced an auto loan ABS loss/prepayment model, to enable credit analysis and relative performance comparison between deals, shelves and economic scenarios. The model is constructed using pool level data from 630 prime and subprime deals, and consists of six sub-models that are customised for the prime and subprime sectors.

    Using static pool variables and macroeconomic forecasts of the .......

    News Round-up 1 March 2013
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