Complete news archive

  • Updated CLO methodology released

    DBRS has released its updated global methodology to rate and monitor CLOs and CDOs backed by non-granular portfolios of large corporate credits. The new methodology does not have any substantive changes from the proposed methodologies published last month, with a request for comments (SCI 11 January).

    The updated methodology generally utilises a proprietary model based on Monte Carlo simulation for .......

    News Round-up 8 February 2012

  • Sovereign CDS 'still useful'

    Fitch's latest quarterly European fixed income investor survey, representing the views of managers of an estimated US$7.1trn of fixed income assets, shows that the majority of investors still regard sovereign CDS as useful. This is despite the uncertainty surrounding whether the treatment of Greek debt write-downs by ISDA would constitute a credit event that triggered CDS contracts.

    "More than two-thirds .......

    News Round-up 8 February 2012

  • Global CDS liquidity spikes

    Fitch Solutions reports that - as of last Friday's market close - average global CDS liquidity was at its highest level since March 2009, when its liquidity scores began.

    "Whilst all regions have seen a notable up-tick in liquidity so far this month, CDS on European names are driving the increase - especially for developed market sovereigns, where market uncertainty .......

    News Round-up 8 February 2012

  • French derivatives association formed

    A new association of French valuation providers has been formed. The association professionnelle des valorisateurs d'instruments financiers (APVIF) has been set up as a response to the impact of the financial crisis and a lack of transparency in derivatives instruments.

    The founding members are DeriveXperts, Finance Innovation, Lexifi, Momentum Consulting, Pilcer & Associés, Pricing Partners, Société Générale Securities Services and .......

    Job Swaps 8 February 2012

  • Consultancy opens office in Asia

    GreySpark Partners has opened a new office in Hong Kong to support its APAC clients. The new office will provide on-site and local delivery for client projects that have so far been managed from the UK.

    The team will be led by Andrew McLauchlan, partner and md, who will be responsible for overall strategy and operations. He was previously based .......

    Job Swaps 8 February 2012

  • Shift to workouts expected to continue

    Fitch expects the shift towards putting loans backing European CMBS into workout, rather than granting extensions, to continue. This is because special servicers' options will become more limited as the volume of CMBS loans - many backed by non-prime collateral - coming due increases in 2012.

    Depending on the outcome of the workout process, this could increase the risk of .......

    News Round-up 7 February 2012

  • Italian mortgage performance analysed

    In a new special report, Moody's demonstrates that Italian mortgage loans most likely to default are those: made to foreign residents; that have been performing for less than 12 months before securitisation; that are originate-to-distribute by 'non-conforming' banks; that pay a floating rate; and with maturities of more than 20 years.

    According to the report, loan performance differs significantly according .......

    News Round-up 7 February 2012

  • Robust trading flows seen in non-agency RMBS

    The did-not-trade ratio for US non-agency RMBS bid-lists last week was one of the lowest seen in a long time. About US$2bn was out for the bid, with 75% of the bonds trading either to end accounts or dealer balance sheets.

    Babson Capital notes in a recent client memo that non-agency RMBS market sentiment remains markedly positive, demonstrated by robust .......

    News Round-up 7 February 2012

  • Kamakura moves into CRE risk

    Kamakura Corporation is set to launch a suite of commercial real estate default probability models based in part on data furnished by Trepp's Data Feed. In addition to the Kamakura CRE Default Models, Kamakura Risk Manager Version 8.0 - to be released later this month - will have full automated access to the Trepp CMBS Engine.

    The Kamakura CRE default .......

    News Round-up 7 February 2012

  • Glass ceiling?

    Acceptance of lower-rated securities, different criteria to broaden

    Sovereign rating ceilings - once a consideration only for emerging market credit structures - began to matter last year for the first time in European ABS. Given the consequent difficulty of securing a triple-A rating for many issuers, wider acceptance of lower-rated securities and greater acknowledgement of different rating methodologies may become the market norm.

    Fitch, Moody's and S&P now .......

    News Analysis 7 February 2012

  • Kibou doubles up

    The Japanese earthquake catastrophe bond Kibou has closed at twice the originally envisaged size. The deal issued on behalf of risk counterparty Hannover Re and reinsurer Zenkyoren - Japan's National Mutual Insurance Federation of Agricultural Cooperatives - finished up at U$300m having begun marketing at US$150m (SCI 16 January 2012).

    Kibou's single tranche series 2012-1 class A notes priced at .......

    News Round-up 7 February 2012

  • Embarcadero Re closes

    The second catastrophe bond from the California Earthquake Authority's (CEA) Embarcadero Re programme (SCI 20 January 2012) has closed.

    The single-tranche US$150m transaction priced at 725bp over Treasury money market funds. S&P has rated the deal double-B minus.

    Embarcadero Re series 2012-I is based on CEA's ultimate net losses. CEA policies do not cover certain perils usually included in earthquake .......

    News Round-up 7 February 2012

  • Recession threat highlights Euro CLO concentration

    The threat of a new recession in Europe has highlighted that the performance of a few issuers could have negative repercussions for the entire European CLO universe, according to Moody's in its latest CLO Interest publication. Having studied the broad characteristics of the 50 most referenced issuers in the European CLO leveraged loan universe, the rating agency suggests that these .......

    News 7 February 2012

  • Risk management tool use extended

    Bureau van Dijk (BvD) has incorporated Fitch Solutions' Bank Credit Model into its Bankscope database. The dataset is now available to all Bankscope subscribers.

    BvD's Bankscope product combines widely-sourced data with software for searching and analysing banks across the globe. Fitch's Bank Credit Model launched last year (SCI 3 October 2011). It provides daily financial implied ratings and implied CDS .......

    Job Swaps 7 February 2012

  • Bank makes senior appointments

    Credit Agricole Corporate and Investment Bank has promoted Frederic Truchot and Stephane Publie to head of fixed income markets and head of coverage for Americas, respectively. They each also join the management committee.

    Truchot has been with Credit Agricole for more than 20 years and was most recently head of capital markets in Japan. He succeeds and will report to .......

    Job Swaps 7 February 2012

  • DB UK CMBS announced

    Deutsche Bank's latest UK CMBS - the £210m DECO 2012-MHILL - has hit the market. The transaction securitises a single commercial real estate loan, which the bank made to refinance entities managed by Queensland Investment Corporation's (QIC) 50% ownership in the Merry Hill shopping centre and adjacent retail and office parks. Westfield Group entities hold the remaining 50% ownership.

    Merry .......

    News Round-up 6 February 2012

  • Coherence Capital unveiled

    Further details have emerged about Coherence Capital Partners, the asset management firm formed by ex-Sailfish Capital co-managing partner Sal Naro (SCI 3 February). The creation of Coherence Capital is the result of a management buyout of Jefferson National's core insurance unit.

    Coherence Capital will manage traditional and non-traditional fixed income assets for a broad audience of investors. In addition, as .......

    Job Swaps 6 February 2012

  • Law firm expands Perth practice

    Allens Arthur Robinson is expanding its Perth finance practice by transferring Ben Farnsworth from Sydney and recruiting Simon Chan from Allen & Overy. Tim Lester, who leads the team, says the appointments are a reaction to the office's rapidly increasing workload.

    Farnsworth is a senior associate who has been with the firm since 2010. He began his career as an .......

    Job Swaps 6 February 2012

  • More large liquidations predicted

    An increase in dispositions of larger CMBS loans in the coming months would not be a surprise, according to Citi securitised products analysts. They argue that there are three drivers behind such an expectation.

    First, while special servicers may continue to aggressively liquidate the small loans in their pipeline, they may also now turn their attention to potentially liquidate larger .......

    News 6 February 2012

  • NY AG files MERS suit

    New York Attorney General Eric Schneiderman has filed a lawsuit against Bank of America, JPMorgan Chase and Wells Fargo, charging that the use of a registry system known as Mortgage Electronic Registration System (MERS) resulted in deceptive and fraudulent foreclosure filings. It follows a similar lawsuit filed recently by Massachusetts AG Martha Coakley (SCI 2 December).

    MERS and its parent .......

    Job Swaps 6 February 2012

  • Trio of CLO prints point to tighter spreads

    Goldman Sachs priced the US$430m Ares XXIII CLO for Ares Management on Friday, the third CLO to print last week. This brings year-to-date US CLO issuance to almost US$2bn, double the level at this time in 2011, with full-year issuance forecast to hit US$20bn.

    Notably, the Ares CLO comprises a fixed rate tranche, which is expected to appeal to US .......

    News Round-up 6 February 2012
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