Complete news archive

  • Master trusts' ability to pay examined

    In the absence of sponsor support, CPR speeds have a significant bearing on the ability of RMBS master trusts to repay bonds on their scheduled maturities. European ABS analysts at Deutsche Bank suggest that certain UK trusts - such as Holmes, Lanark, Silverstone and Gracechurch - will likely generate ample principal receipts to ensure timely bond repayment. However, based on .......

    News 10 November 2010

  • Record agency fails prompt charge speculation

    Failures to deliver in agency MBS reached a new high of US$1.1trn last week. MBS analysts at Barclays Capital suggest that this raises the probability of introducing a fail charge to the market.

    Historically, fails remained somewhat low until 2H09 when the Fed's purchase programme significantly reduced float in the market. Yet, in the wake of the Fed's involvement in .......

    News 10 November 2010

  • Language inconsistency highlighted in Euro CMBS

    European Prime Real Estate 1 recently avoided a sequential redemption event upon the occurrence of an NAI shortfall amount. The fact that a CMBS structure did not capture such an event and pay-out accordingly highlights the lack of language consistency - with respect to triggers and other protection features - between different CMBS programmes that is arguably not immediately visible .......

    News 10 November 2010

  • LBO basket trade touted

    Buying CDS protection on potential LBO candidates has been a popular trade over the past few months. To gain from a short position on a basket of LBO candidates, Goldman Sachs credit strategists estimate that investors need more than 17% of names to complete a deal, assuming the targets are downgraded to single-B. Conversely, names that have deteriorated on LBO .......

    News 10 November 2010

  • Likelihood of loan repurchases estimated

    MBS analysts at Barclays Capital have formulated what they describe as a "first-cut" approach to estimating the likelihood of first-lien non-agency loan repurchases. This involved comparing the characteristics and distributions of repurchases with other delinquent loans.

    The BarCap analysts found little evidence to suggest that loans that go delinquent later (for example, two to three years out) do not get .......

    News 10 November 2010

  • New NAIC CMBS model 'less punitive'

    The National Association of Insurance Commissioners (NAIC) has released guidelines detailing its new method for determining capital requirements for CMBS. The new capital requirements are expected to be less punitive than under the existing model, leading to little or no forced selling from insurers.

    Initial results from the Blackrock model indicate that it is more optimistic than most Street projections, .......

    News Round-up 10 November 2010

  • Central clearing infrastructure analysed

    The Committee on Payment and Settlement Systems (CPSS) has issued a report on developments in the clearing industry's market structure, their drivers and the implications for financial stability.

    The report shows that different types of market structure have developed over the last decade, creating specific risks and amplifying interdependencies between systems and markets. However, the Committee says, there is no .......

    News Round-up 10 November 2010

  • Ambac credit event determined

    ISDA's Americas Determinations Committee has determined that a bankruptcy credit event occurred with respect to Ambac Financial Group on 8 November - the date it announced it had filed under Chapter 11. An auction will held in due course to settle CDS on Ambac Financial.

    .......

    News Round-up 10 November 2010

  • Promotions for investment management duo

    Douglas Kelly is to succeed Edward Bedrosian as president of Annaly Capital Management's wholly-owned subsidiary Merganser Capital Management. Kelly, who was previously cio of Merganser, will continue to oversee its investment process along with Andrew Smock as co-cio. Founder of Merganser, Bedrosian will serve as chairman through 2011.

    Kelly joined the firm in 1986, leading the portfolio team for ten .......

    Job Swaps 10 November 2010

  • Bank adds trading heads

    BB&T Capital Markets has appointed Peter Faherty and Jim Maughan to its fixed income trading operation. With nearly 20 years of mortgage securities experience, Faherty joins the firm's New York office as head of mortgage securities trading. Maughan joins BB&T's Boca Raton's office as head of agency trading, bringing more than 20 years of experience to the firm's agency operations.

    .......

    Job Swaps 10 November 2010

  • Goldman fined over Wells Notices

    FINRA has fined Goldman Sachs US$650,000 for failing to disclose that two of its registered representatives, including Fabrice Tourre, were the subjects of investigations. Tourre's Wells Notice was issued in connection with the SEC's investigation of the Abacus 2007-ACI CDO (SCI passim).

    Firms are required to file a Form U4, reporting the receipt of a Wells Notice within 30 days. In .......

    Job Swaps 10 November 2010

  • Euro RMBS market nerves hold

    Primary issuance continues to be at the forefront of European ABS market activity, with another week of newsworthy deals. At the same time, traders report a spike in interest in mezzanine paper in the secondary market.

    "It's been a steady week, with plenty of new issuance. Most of the activity is coming in from the UK right now," one ABS .......

    Market Reports 9 November 2010

  • Roundtable discussion

    The importance of loan-level data for ABS investors

    Large amounts of aggregation and the absence of loan-level data have traditionally made determining the true value of assets in the ABS market difficult. S&P recently held an event at the London Stock Exchange ("Gearing up for European loan-level data") and chaired a round-table session with other market participants to discuss the impact that the provision of loan-level data may .......

    Talking Point 9 November 2010

  • Careful implementation urged on Volcker Rule

    The CRE Finance Council has submitted a comment letter to US Secretary Timothy Geithner, chair of the Financial Stability Oversight Council (FSOC), in response to an FSOC study on rulemaking to prohibit proprietary trading by certain financial institutions, known as the 'Volcker Rule'. The letter emphasises that regulators should strictly adhere to the Dodd-Frank Act, which directs that the Volcker .......

    News Round-up 9 November 2010

  • MS sued over CDO swap obligations

    Morgan Stanley has disclosed in a 10Q filing that it could take a US$274m loss on a CDO, known as Tourmaline CDO I. The firm - along with Barclays Capital - is being sued by US Bank for breaching swap agreement obligations under the transaction, which involved posting collateral if Morgan Stanley was downgraded. A trial is due to begin .......

    Job Swaps 9 November 2010

  • Positive outlook for 2009 vintage prime auto ABS

    Fitch reports that lower-than-expected losses for 2009 US prime auto loan ABS are positioning the vintage for continued positive rating performance, as the broader economy slowly improves.

    Through the first three-quarters of this year, expected cumulative net losses (CNLs) on 2009 auto ABS were twice as low -1.3% to 1.5% - than those of 2008 and 2007 vintages (2.8%-3%). Fitch consequently .......

    News Round-up 9 November 2010

  • Positive credit watch for US CLOs

    S&P has placed its ratings on 415 tranches from 146 US corporate CLO transactions on credit watch with positive implications. The affected tranches have a total issue amount of US$39.08bn.

    The performance of the speculative grade corporate credit environment has improved in recent quarters, S&P notes, which has consequently improved the collateral quality of US CLOs. With no leveraged loan .......

    News Round-up 9 November 2010

  • GSE recapitalisation costs estimated

    The ultimate taxpayer cost to resolve Fannie Mae and Freddie Mac could reach US$280bn, including the US$148bn already invested, according to S&P. However, the agency estimates that this figure could swell to US$685bn with the establishment of a new entity to replace the two GSEs, which the government would initially capitalise.

    "It appears unlikely in our view that housing and .......

    News Round-up 9 November 2010

  • CVA pro joins advisory firm

    Jon Gregory has joined Solum Financial Partners as a partner. Previously, he had been working as an independent consultant in CVA and counterparty credit risk for the last two years. Prior to this, Gregory was involved in credit derivatives and credit trading at Barclays Capital and BNP Paribas.

    .......

    Job Swaps 9 November 2010

  • Ambac files for voluntary bankruptcy

    Ambac Financial Group has filed for a voluntary petition for relief under Chapter 11 of the US Bankruptcy Code for the Southern District of New York. The firm will continue to operate in the ordinary course of business as 'debtor-in-possession' under the jurisdiction of the Bankruptcy Court.

    Ambac says it was unable to raise additional capital as an alternative to .......

    Job Swaps 9 November 2010

  • Rating agency adds SF trio

    DBRS has made a trio of appointments across its US and European structured finance groups.

    Mike Babick joins the agency as svp and lead analyst, focusing on its ABS business. He reports to Claire Mezzanotte, head of the firm's US and European ABS, RMBS and covered bond group. Babick previously worked at Assured Guaranty Corporation as md in its consumer .......

    Job Swaps 9 November 2010
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