Complete news archive
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Aussie RMBS stress tested
Fitch's stress tests of Australian RMBS show the resilience of the ratings even through a severe sustained recession and house price deterioration. The agency conducted three scenarios stressing interest rates, unemployment and property price declines as the key drivers of defaults and losses.
"Concurrent increases in all three were run over a three-year period, as well as removing the benefit .......
News Round-up 16 August 2012
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Legacy RMBS criteria hit
S&P has announced various credit watch actions based on its updated criteria for monitoring the performance of existing US RMBS (SCI 10 August). The actions affect 16,872 ratings from 3,364 transactions with a par amount of US$253.95bn, accounting for approximately 25% of the agency's total rated US RMBS universe by both the number of classes and par amount.
Overall, the .......
News Round-up 16 August 2012
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FATCA Protocol unveiled
ISDA has launched the ISDA 2012 FATCA Protocol. The protocol offers market participants an efficient way to amend the ISDA Master Agreement tax provisions to address the effects of the Foreign Account Tax Compliance Act, which may impose a withholding tax on payments under derivatives transactions.
The impact of the protocol is to place the FATCA withholding tax burden on .......
News Round-up 16 August 2012
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Conflict of interest?
Rating agency reform proposals scrutinised
Credit rating agency reform is still being determined on either side of the Atlantic. Concerns that current regulatory proposals will create conflicts of interest and increase the cost of securitisations remain, however.
The rating agencies' apparent mis-rating of structured finance products was largely confined to subprime RMBS and ABS CDOs, SIVs and a subset of ABCP. Given that recent research .......
News Analysis 16 August 2012
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SEC CDO dispute continues
Appointed counsel for the US District Court for the Southern District of New York has filed a brief in support of US District Judge Jed Rakoff's decision to reject a proposed US$285m settlement between the SEC and Citi. The dispute concerns SEC allegations that Citi sold the US$1bn Class V Funding III CDO without disclosing that the bank bet against .......
Job Swaps 15 August 2012
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US CRE prices inch up
US commercial real estate prices, as measured by Moody's/RCA Commercial Property Price Indices (CPPI) national all-property composite index, were up by 0.5% in June. Core commercial property prices increased by 1%, while apartment prices dropped by 0.7%.
The strong apartment price appreciation that led the recovery has stalled, says Moody's, with apartment prices down 0.8% over the last three months. .......
News Round-up 15 August 2012
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Interest shortfall hits CIB4 X1 note
For what is believed to be the first time in conduit CMBS history, a tranche at the top of the cashflow waterfall has suffered an interest shortfall. The X1 interest-only class in JPMCC 2002-CIB4 was impacted after a loss of 120% on the largest loan in the deal wiped out all available cash.
The loss was triggered after LNR liquidated .......
News 15 August 2012
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Wide-scale PIA take-up unlikely
The publication of the Irish Personal Insolvency Bill in late June has clarified certain operational elements of the Personal Insolvency Arrangement (PIA) process, which is expected to be implemented towards end-2012 (SCI passim), according to Fitch. The agency says it has gauged views from Irish banks on the impact the legislation would have on their mortgage portfolios and it believes .......
News Round-up 15 August 2012
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EMEA CMBS resilience underlined
Fitch reports that a severe ratings stress test of EMEA CMBS underlines the considerable resilience of triple-A rated tranches in the face of a funding shock. The stress involves sharply higher inter-bank interest rates and property yields, two variables that closely chart funding conditions.
In Fitch's analysis, rates are assumed to rise by 4% while yield would increase by over .......
News Round-up 15 August 2012
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Clearing connectivity standard launched
Sapient Global Markets has unveiled a new industry standard for cleared OTC derivatives-related activity reporting for asset managers, futures commission merchants (FCMs) and custodians. The Clearing Connectivity Standard (CCS) is a standardised connectivity format that can be used by the FCM community to transmit OTC clearing-related information on behalf of their asset manager clients to custodians.
As industry regulatory reform .......
News Round-up 15 August 2012
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SEC's ABCP charge settled
The SEC has charged Wells Fargo's brokerage firm and a former vp for selling ABCP structured with high-risk RMBS and CDOs without fully understanding their complexity or disclosing the risks to investors. Wells Fargo has agreed to pay more than US$6.5m to settle the charges.
Wells Fargo sold the ABCP to municipalities, non-profit institutions and other customers without getting sufficient .......
Job Swaps 15 August 2012
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Pre-auction CDO buzz
BWIC supply was very strong yesterday, with SCI's PriceABS data showing a record 473 line items. The data includes several of the names slated for sale in tomorrow's Maiden Lane III auction (SCI 10 August).
The New York Fed has 14 ABS CDO tranches up for bid in the auction. Of the ones that appeared on bid-lists yesterday, .......
Market Reports 15 August 2012
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Tight CMBS market trading up
Buyers outnumber sellers in the European CMBS secondary market at present. Given recent spread tightening, investors have started working harder for yield.
"There is very good demand for CMBS senior second-pays and quality third-pays, but there are not very many sellers around. It feels very positive, but there is limited paper so trading has been less active than it could .......
Market Reports 14 August 2012
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Consolidation loans criticised
Consolidation loans are credit negative for private student loan securitisations, Moody's notes in its latest Credit Outlook publication. Because prepayments by high-quality borrowers will increase, the amount of excess spread available to cover loan losses of poorer-quality borrowers will decrease, the agency suggests.
SunTrust Bank has this month begun rolling out a loan product that consolidates a borrower's private student .......
News Round-up 14 August 2012
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Asian access
Gregory Park, managing partner at Harvest Northstone Capital, answers SCI's questions
The Structured Credit Interview 14 August 2012
Q: How and when did Harvest Northstone Capital become involved in the Asian structured credit market?
A: Harvest Northstone Capital is a joint venture between Northstone Peak, the fund I established in 2011, and Harvest Alternative Investment Group. Harvest Alternative Investment is a wholly owned subsidiary of Harvest Fund Management Co, the second largest fund house .......
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GSI loan restructured
Berwin Leighton Paisner (BLP) has disclosed that it advised Hatfield Philips International on the restructuring of the German State Income (GSI) loan securitised in the Windermere XIV CMBS (see SCI's CMBS loan events database). The restructuring involved the sale of the Justizzentrum in Halle (Saale), Germany.
Specifically, Ebertz & Partner (E&P) acquired 93.86% of the Wichford Group's interest .......
News Round-up 14 August 2012
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Countrywide schedule agreed
An agreed schedule for the US$8.5bn Countrywide RMBS case has been released. The final hearing is set for 2 May 2013, with fact discovery and depositions to begin on 14 December.
The schedule has increased the certainty on timing somewhat, according to MBS analysts at Barclays Capital, who believe that the cash will most likely be paid out in late .......
News Round-up 14 August 2012
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Dodd-Frank Protocol launched
ISDA launched the August 2012 Dodd-Frank Protocol, which is designed to allow swap market participants to simultaneously amend multiple ISDA master agreements for the purpose of facilitating compliance with Dodd-Frank regulatory requirements. The protocol consists of a series of amendments to existing documentation, as well as standardised questionnaires that must be completed by counterparties to satisfy new regulations.
These questionnaires .......
News Round-up 14 August 2012
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CRE lawyer snapped up
Mark Foster has joined Sabal Financial Group as general counsel. He will be responsible for all legal and regulatory aspects of Sabal's business operations, focusing on issues surrounding real estate transactions and distressed loans.
Foster has broad CMBS and CRE experience, including involvement in acquisitions, dispositions, leasing, entitlements, real estate licensing and title insurance issues. He was most recently vp .......
Job Swaps 14 August 2012
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Agency, non-agency take turns in spotlight
US RMBS has been prominent on the week's early bid-lists. SCI's PriceABS data shows 119 RMBS line items for Monday, including a good number of non-agency bonds after supply had slowed last week.
Both LMT 2007-5 3A4 and LMT 2007-8 2A1 were covered yesterday - at 94 handle and 80 handle respectively - at the upper-end of the .......
Market Reports 14 August 2012
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SCI Start the Week - 13 August
A look at the major activity in structured finance over the past seven days
Pipeline
A number of US transactions entered the pipeline last week, only to rapidly price. European deals remain thin on the ground.Pricings
The week's pricings were dominated by CLOs and auto ABS. But two RMBS, a student loan deal and a CMBS printed as well.Five CLOs hit the market last week: US$362m ACAS CLO 2012-1; US$359m Halcyon Loan Advisors Funding .......
News 13 August 2012