Complete news archive

  • Non-agency MBS alternative?

    US covered bond developments debated

    Congress is set to debate the Covered Bonds Act next month - a move that has been welcomed by investors looking for an alternative to non-agency RMBS. However, issuers appear to be less convinced about the development of a covered bond market in the US.

    According to one RMBS investor, it's premature to expect the buy-side to re-enter the US .......

    News Analysis 18 August 2010

  • Survey suggests easing lending standards

    The US Federal Reserve Board has released its July 2010 Senior Loan Officer Opinion Survey on Bank Lending Practices. The survey addresses changes in the supply of, and demand for, bank loans to businesses and households over the past three months.

    The July survey indicates that, on net, banks had eased standards and terms over the previous three months on .......

    News Round-up 18 August 2010

  • SEF core principles draft released

    The Wholesale Market Broker's Association, Americas (WMBAA) has released for comment a draft of its 'Core Principles for Swap Execution Facilities', which it recently submitted to the Commodity Futures Trading Commission (CFTC) and the US SEC. It intends to the draft as a starting point for a dialogue with the various regulatory and industry participants that will be affected by .......

    News Round-up 18 August 2010

  • Mortgage/Treasury basis to underperform

    The decision by the US Federal Reserve to keep constant its holdings of securities at their current level by reinvesting its MBS portfolio paydowns into longer-term US Treasuries has prompted Barclays Capital MBS analysts to move to an underweight position on the mortgage/Treasury basis. They expect the basis to underperform in the near term.

    Re-emerging overseas demand and limited origination .......

    News Round-up 18 August 2010

  • Independent insight

    New service to address audit and corporate governance issues

    As the degree of challenge that auditors and financial institutions' audit committees are able to bring to in-house valuations of complex securities is being questioned, Green Street Capital believes it can provide the market with a solution. The advisory firm has launched a new independent valuations service for structured credit investment portfolios.

    Green Street says its new service is needed .......

    News Analysis 18 August 2010

  • Interest shortfalls reaching higher up CMBX

    US conduit CMBS interest shortfalls rose by 60% in the first half of this year, after nearly doubling in H209, according to MBS analysts at Bank of America Merrill Lynch. These shortfalls are impacting increasingly higher up the capital stack.

    For example, this month shortfalls hit the AM tranche on one deal (MSC 2006-IQ12) and continued to eat into the .......

    News Round-up 18 August 2010

  • Standing firm

    CLO spreads hold amid more liquidations

    The majority of recent BWICs, when they do trade, transact between one or two participants until a few noisy market-wide liquidations whet appetites. But, after last month's much-ballyhooed Stanton CDO-squared auction and another liquidation on 5 August, most secondary spreads were standing firm by that day's close.

    The reason has more to do with the kind of paper that's available .......

    News Analysis 18 August 2010

  • Emirates auto loan ABS prices tight

    Emirates NBD and Citi have closed the Y19bn Aa2 rated Emirates NBD Auto Finance (see SCI issue 193) transaction. This is believed to be the Middle East's first true-sale securitisation of a revolving pool of auto loans granted to private and commercial clients in the UAE.

    The deal is guaranteed by the Japan Bank for International Cooperation (JBIC) and involves .......

    News Round-up 18 August 2010

  • New housing programmes to have minimal impact

    New programmes are being launched by the US Treasury and Department of Housing and Urban Development (HUD) to provide more support for targeted foreclosure prevention programmes. MBS analysts at Bank of America Merrill Lynch note that the two programmes are complimentary, but doubt their effectiveness.

    The Treasury programme injects an extra US$2bn into 17 states and the District of Columbia .......

    News Round-up 18 August 2010

  • Re-thinking valuation - part 2

    In this second column in a series of articles on structured...

    Valuation and model risk
    What is the price of a security?
    In a formal sense, a price is the exchange value at which buyers and sellers agree to trade a security. In an open market, we generally refer to this value as a market price.

    When we are pricing a portfolio, ideally we are attempting to estimate the portfolio's price, should it .......

    Talking Point 18 August 2010

  • Delivering premium returns

    Sander Nieuwland, ceo of IMC asset management (IMCam), answers SCI's questions

    Q: How and when did IMCam become involved in structured credit?
    A:     The asset management activity of IMC began in 1998, focusing initially on distressed debt and quickly expanding into ABS, with the launch of a number of funds and CDOs. The IMC Group was founded in 1989.

    IMCam was established in its present form two years ago when IMC bought .......

    The Structured Credit Interview 18 August 2010

  • Innkeepers bankruptcy to set CMBS precedent

    MBS strategists at RBS have analysed the largest Innkeepers loan - the US$825.4m Innkeepers Portfolio, which was securitised in LBUBS 2007-C6 and 2007-C7 - following its bankruptcy last month. They find that the total combined loss to the two trusts may be in excess of US$300m when additional costs and expenses are considered, which is sufficient to nearly wipe out .......

    News Round-up 18 August 2010

  • DTCC gets Euro repository go-ahead

    The DTCC's new European subsidiary, DTCC Derivatives Repository, has received UK FSA approval to operate as an FSA-regulated service company. This new subsidiary will jointly house the global equity derivatives repository and will maintain global credit default swap data identical to that maintained in its New York-based Trade Information Warehouse.

    The move is, in part, intended to help ensure that .......

    News Round-up 18 August 2010

  • RFC issued on Indian CDS guidelines

    The Reserve Bank of India (RBI) has released for comment a draft report on the introduction of CDS in the country. Draft guidelines were first issued in 2003 and then in 2007, but the issuance of final guidelines was deferred due to the status of risk management practices then prevailing in the banking system and the experiences relating to the .......

    News Round-up 18 August 2010

  • GSE buyout impact on prepay speeds to lessen

    GSE buyouts are expected to remain a component of prepayment speeds going forward, but the impact on speeds will likely be lower in coming months. This is because newer vintages display much stricter underwriting standards, according to analysts at FTN Financial.

    They note that speeds increased across all product types except five-year GNMA II, which decreased to 6.2 CPR from .......

    News Round-up 18 August 2010

  • J.G. Wentworth expects one more before year-end

    Specialty finance firm J.G. Wentworth intends to issue at least one more ABS transaction by the end of the year, according to Stefano Sola, cio at the firm.

    The private placement issuer brought a US$115m ABS offering last week via UBS and Jefferies & Co. The deal was split between US$97.2m class A notes and US$8.9m class B notes. The .......

    News Round-up 18 August 2010

  • Golub sees appeal of one-stop assets

    Golub Capital is in favour of more one-stop assets, or having control over the assets from sourcing to closing, than just mezzanine, says ceo David Golub. But he anticipates having a mix of the two going forward.

    "If we go through a period where we see a lot of one-stop opportunities, we're not going to turn them down because we .......

    News Round-up 18 August 2010

  • Covered Bond Act implications weighed

    Moody's outlines in its latest ResiLandscape publication the positive and negative aspects of the US Covered Bond Act (see also separate News Analysis), which has been approved by the House of Representatives Financial Services Committee and is now awaiting a House vote.

    If the bill becomes law in its current form, it will establish investor-friendly procedures following an issuer default, .......

    News Round-up 18 August 2010

  • Private SLABS market-weight recommended

    ABS analysts at Bank of America Merrill Lynch recommend a market-weight to the private student loan ABS sector. More recent deals should fare better than their seasoned counterparts due to tighter underwriting standards and more conservative structures, they note. At the same time, the potential for continued ratings volatility on seasoned deals and headline risk related to issuers and the .......

    News Round-up 18 August 2010

  • Second-priority US CLO risk recommended

    The yield pick-up for second- versus first-priority CLOs is one of the most compelling opportunities in the US CLO market at present, according to structured credit analysts at JPMorgan. There appears to be a 2%-3% difference in yield between AA/mezzanine AAA tranches and pass-through triple-As, they note.

    "We believe this premium is too extreme, given the seniority of second-priority risk..., .......

    News Round-up 18 August 2010

  • Subordinate ABS relative value touted

    ABS strategists at JPMorgan maintain that the best relative value in the US market can be found by "going down in credit". This is because subordinates continue to lag the rally observed in senior ABS and the credit curve remains steep.

    "Given the increased credit enhancement available across asset classes, declining loss trends and diminishing seller/servicer event risk, we find .......

    News Round-up 18 August 2010
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