Complete news archive
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iTraxx set to roll tighter
The Markit iTraxx Europe, Asia and SovX indices will roll into a new series tomorrow (20 September).
Structured credit strategists at UniCredit estimate that the new Series 16 Main index will start trading about 6bp tighter than the Series 15 Main index for contracts with standard maturities of 4.75 years and 5.25 years respectively. The major contribution to this roll .......
News Round-up 19 September 2011
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LNR restructures
LNR Property has announced a new operating and an ongoing realignment of global resources. The firm says the move aims to meet the evolving demands of current businesses, opportunities unfolding in the current market environment and requirements arising from the Dodd-Frank regulatory environment.
The new operating structure comprises three business units that span across the global marketplace: LNR Asset Services, .......
Job Swaps 19 September 2011
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Securitisation leaders hold firm
At the end of August 2011, with more than US$171bn of qualifying deals completed, the leaders maintained their places in the SCI US league tables for bank arrangers in the structured credit and ABS markets. All added to their account as the month saw US$10.9bn of issuance.
Europe, meanwhile, saw a stronger indication of the traditionally quietest summer month, with .......
News Round-up 19 September 2011
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Partial eclipse
European covered bond issuance threatens to leave RMBS behind
The European covered bond market has seen almost €20bn in new issuance over recent weeks, eclipsing the far quieter RMBS market. The move has led some to question whether there will be sufficient demand for both products going forward.
Rob Ford, ABS portfolio manager at TwentyFour Asset Management, does not agree that RMBS is being left behind. He says: "When .......
News Analysis 19 September 2011
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CLO tender offer announced
Citi has commenced a cash tender offer to purchase outstanding Skytop CLO income notes. For each US$1,000 unpaid principal amount of income notes validly tendered, the bank will pay US$400. The offer is scheduled to expire on 14 October, unless extended or earlier terminated.
....... News Round-up 19 September 2011
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Corporate trust beefs up
Wilmington Trust's corporate client services (CCS) business has announced the addition of five capital markets professionals to serve clients in Wilmington, Los Angeles and Dallas. The new staff members join Wilmington Trust from Wells Fargo and include John Deleray, Jeffrey Kassels, Gregory Hasty, Cam Lindsey and Mike Orendorf. The team specialises in providing traditional corporate trust and agency services for .......
Job Swaps 19 September 2011
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Housing concerns weigh on subprime CDS
The summer-long rally for US subprime credit default swaps (CDS) has come to a screeching halt, thanks to a sizeable drop-off last month, according to Fitch Solutions' latest index results.
Prices on US subprime CDS declined by 1.6% in August to 12.11, the lowest level since March of this year. Of note was performance for the 2007 vintage, which dropped .......
News Round-up 19 September 2011
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Collateral servicing platform enhanced
BNY Mellon has enhanced its derivatives collateral servicing platform for institutional clients with new margin management capabilities delivered through a secure web-based portal, DM Edge Connect. The firm says the enhancements provide clients with a fully automated system that facilitates the entire margin call and collateralisation process, improves reporting capabilities and reduces operational risk. To help introduce these enhancements, BNY .......
News Round-up 19 September 2011
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CMBS origination JV established
Barclays Capital and FundCore Finance Group have established a CMBS loan origination and securitisation programme. Barcap will provide funding to originate conduit loans, while FundCore will source loan opportunities.
The programme's loans will be jointly underwritten by Barclays Capital and FundCore and are anticipated to be periodically securitised. The two firms say they will look to originate and securitise five-, .......
Job Swaps 19 September 2011
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SCI Start the Week - 19 September
A look at the major activity in structured finance over the past seven days
Pipeline
Among the deals that entered the pipeline last week are: the C$535m Ford Auto Securitization Trust 2011-R3 auto ABS; the US$375.2m Sequoia Mortgage Trust 2011-2 private label RMBS; and the US$1bn JMPCC 2011-C5 CMBS. Additionally, Goldman and Citi are said to be in the market again with the US$1.7bn GS MST 2011-GC4, the CMBS they pulled last month.Pricings
News 19 September 2011
ABS issuance .......
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CRE CDO delinquencies flatten out
Delinquencies for US CRE CDOs flattened out this past month on limited loan activity, according to Fitch's latest index results for the sector.
With asset managers reporting only three new delinquent assets last month, August delinquencies fell slightly to 11.6% from 11.8% in July. Among the newly delinquent assets were one defaulted whole loan and two credit-impaired securities. The newly .......
News Round-up 16 September 2011
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Vendor adds stochastic rating model
Pricing Partners has added a stochastic rating model to its Price-it derivatives pricing library that enables users to price ratings-linked products. Using rating transition matrices, the model bootstraps transition densities and can be plugged into the pricing platform.
....... News Round-up 16 September 2011
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ABS CDO sales scheduled
Dock Street Capital Management has been retained as liquidation agent for Rockville CDO I. The collateral will be auctioned in two sales taking place on 27 September.
....... News Round-up 16 September 2011
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UK RMBS criteria changes proposed
S&P has issued an RFC on proposed changes to its criteria for rating UK RMBS. It details changes that align the agency's criteria for UK RMBS closely with those for global RMBS.
The proposal discusses two of the fundamental principles of structured finance ratings and criteria: the credit quality of the securitised assets; and the payment structure and cashflow mechanics. .......
News Round-up 16 September 2011
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RMBS monitoring tool enhanced
CoreLogic has enhanced its TrueLTV private label RMBS monitoring tool. The service will now provide insight into loss severities and risk exposure of paid-off and REO loans at both the property and portfolio levels.
Previously, TrueLTV included updated valuations on active liens in a security where outstanding mortgage liens were reflected on the property record. The enhanced service incorporates updated .......
News Round-up 16 September 2011
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Caveat emptor?
Jurisdiction may play key role in RMBS fraud case volume
Regulators and investors in both the US and the UK remain focused on the fraudulent misrepresentation of structured finance securities and the resulting losses. However, as the number of cases in the US is set to increase in the coming months, the caveat emptor approach taken by the UK courts may deter potential claimants in this jurisdiction.
A couple of .......
News Analysis 16 September 2011
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Real estate partner returns
Pierre-Denis Leroux has returned to Blake, Cassels & Graydon's real estate group as a partner in the Montréal office. He was previously a partner at McCarthy Tétrault.
Leroux practises commercial law, focusing on acquisition and disposition of real estate, as well as structured and secured financing. He has documented some of the most complex transactions in Canada in these practice .......
Job Swaps 15 September 2011
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Non-public default model released
Kamakura Corporation has updated its Kamakura Risk Information Services platform to include a non-public firm default model. The model is based on 2.866 million annual observations of non-public firms and 41,119 company failures in a multi-national non-public firm database. It displays default probabilities on an annualised, cumulative and forward basis for a 1-, 2- and 3-year term.
....... News Round-up 15 September 2011
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Sigma case rejected
SIFMA - represented by Cadwalader partner Martin Seidel and associate Nathan Bull - filed an amicus curiae brief in support of JPMorgan, which the association claims vindicates the rights of multiservice financial services firms. The move was in connection with a case involving the Sigma Finance SIV.
On 5 August, US District Judge Shira Scheindlin granted partial summary judgment to .......
News Round-up 15 September 2011
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Euro ABS CDOs affirmed
Fitch has downgraded three tranches and affirmed 53 tranches of 21 European ABS CDOs. Simultaneously, the agency has withdrawn the ratings of two tranches.
Fitch believes the affected transactions are highly distressed, as reflected by the highest rating of double-C. The performance of the deals has been in line with the agency's expectations since the last review between October 2010 .......
News Round-up 15 September 2011
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ABS CDO sale due
The trustee of Kent Funding II has been direction to sell and liquidate all of the ABS CDO's assets. The holders of at least two-thirds of the aggregate outstanding amount of each class of notes voted to liquidate the transaction on 9 September. All secured parties are eligible to bid at the upcoming public sales.
....... News Round-up 15 September 2011