Complete news archive
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New rating agency team takes shape
Kroll Bond Ratings has revealed the members of its senior management team. Ceo and chairman Jules Kroll is to be joined by James Nadler, Robert Anselmi, Ellen Coleman, Jerome Fons and Ajay Junnarkar.
Nadler becomes the president and coo of Kroll. He was previously the vp for corporate development at General Re in the new England asset management division. Prior .......
Job Swaps 21 July 2010
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Negative outlook for Irish RMBS market
According to the latest sector indices published by Moody's, Irish RMBS delinquencies have constantly increased since the beginning of the recession, and so far do not show any signs of abating. The lengthy repossession procedure partly contributes to higher arrears trends, the agency notes.
The indices show that 3.8% of the outstanding Irish prime RMBS portfolios were more than 90 .......
News Round-up 21 July 2010
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True sale
US RMBS market absorbs SIV bid lists
The central focus of the US RMBS market over last week was two bid lists from liquidating SIV-lite Golden Key. Both were well received, thanks in part to a seemingly more positive market attitude foreshadowed in previous weeks' trading.
The two lists, which included subprime and alt-A paper, "traded remarkably well, given the volatility we have seen over the past few .......
Market Reports 21 July 2010
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Greek mortgage loss assumptions updated
Fitch has updated its criteria for assessing credit risk in Greek prime residential mortgage loans that are used as collateral for RMBS. The agency says its new criteria address Greece's sovereign risk implications and it has kept the double-A rating cap for all new Greek RMBS.
The economic outlook, with austerity measures to be implemented and uncertainty over future asset .......
News Round-up 21 July 2010
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Property derivatives valuations service launched
Northern Trust has introduced a daily independent valuations service for complex OTC property derivatives. The product has been developed in response to an increasing trend for property funds to use OTC derivative instruments.
The product enables a transparent, daily independent valuation for complex IPD (Investment Property Databank) swaps. IPD is one of the most common benchmarks used for writing property .......
News Round-up 21 July 2010
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Retention requirements for ABS - part 2
In the second article of a two-part series, Paul Hastings pa...
US initiatives
Research Notes 21 July 2010
The Financial Reform Bill
Both the US House of Representatives and the US Senate have passed their own versions of a financial reform bill, which has emerged from conference consultations for the purpose of reconciling the two separate bills for a final vote by both houses of the US Congress (the Financial Reform Bill). If ultimately approved in its current .......
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Pair of FDIC structured transactions close
The FDIC has closed on two sales of 40% equity interests in two limited liability companies (LLCs) created to hold failed bank assets in receivership.
The first sale involved an unpaid principal balance of approximately US$1.85bn from 22 failed bank receiverships. The winning bidder of the multibank structured transaction is Colony Capital, with a price of approximately 59% of the unpaid principal .......
News 21 July 2010
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Euro CLOs show signs of stability
Fitch says the pace of defaults and negative credit migration within European CLO portfolios is slowing.
"While Fitch still has serious concerns regarding long-term refinancing risk, there have been clear positive performance signs in 2010," says Laurent Chane-Kon, director in Fitch's European structured credit team. "Most notably, the pace of default has slowed and triple-C exposure is declining."
During 2009, .......
News Round-up 14 July 2010
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Positive momentum for subprime price index
The latest Fitch US subprime price index results suggest that the positive momentum seen in May continued through to the end of June, carrying the index to 9.74, representing a month-on-month increase of 3.9%.
Alexander Reyngold, Fitch senior director, says: "Overall, the index continues to reflect positive trends from US subprime asset performance. However, there are several signals emerging that .......
News Round-up 14 July 2010
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Firming up
US ABS markets seeing uptick in activity and tightening spreads
The US consumer ABS secondary market saw something of a revival last week post the 4 July holiday, even though investors remain frustrated by the dealer bid. At the same time, while there are still positives for primary issuance, demand looks set to continue to outstrip supply.
"The secondary market has been very quiet over the past week or so, .......
Market Reports 14 July 2010
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Retention requirements for ABS - part 1
In the first article of a two-part series, Paul Hastings par...
While there has been some improvement in at least certain areas of the financial markets, the ABS market has yet to see any evidence of significant recovery since the onslaught of the credit crisis. In this current climate of suspicion, if not outright hostility, towards structured products, regulators are seizing the opportunity to propose and implement measures that will have .......
Research Notes 14 July 2010
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Stressing out
Euro stress-test credibility questioned
CEBS released further information on the EU-wide stress tests on 7 July. While some believe the exercise will serve to stabilise the ABS market, others question its credibility.
Credit strategists at Citi suggest that the European stress tests are unlikely to wield the same stabilising influence on markets as the US stress tests did last year, with their credibility likely .......
News Analysis 14 July 2010
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Delaying disaster?
Euro CMBS turns to extensions in face of due debt
The slumbering European CMBS market is waking up to a nightmare scenario, with tens of billions of euros of debt coming due in the next couple of years. Sponsors are desperately seeking deals with bondholders to extend the terms of their transactions, but such extensions cannot go on indefinitely.
This poses a serious problem for a market that has already .......
News Analysis 14 July 2010
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Interest deferrals expected on Spanish SME deals
According to the latest sector indices published by Moody's, weighted-average 90- to 360-day delinquencies represented 1.87% of the outstanding balance of Spanish SME transactions in May 2010. This is well below the historical high reached a year ago at 2.92%.
The decrease in delinquency levels is particularly noticeable for worse performers such as the Bancaja and Pastor transactions. The decrease .......
News Round-up 14 July 2010
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Senior ABS CDO notes hit
Moody's has downgraded the rating of 79 classes of notes issued by 42 ABS CDOs. The rating actions are the result of deterioration in the credit quality of the underlying portfolios, including an increase in the weighted average rating factor, failure of one or more coverage tests, and exposure to underlying assets whose ratings are currently on review for possible .......
News Round-up 14 July 2010
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Fair value feedback provided
ISDA has commented on the IASB's exposure draft 'Fair Value Option for Financial Liabilities' (see SCI issue 191). The association says it welcomes and supports the key proposals in the exposure draft.
As part of ISDA's feedback, the association says it believes the definition of 'own credit' needs to be tightened to focus only on the credit risk of the .......
News Round-up 14 July 2010
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Long/short credit fund launched
LBBW and Universal Investment have joined forces to launch a long/short absolute return credit fund. Dubbed LBBW Pro-Fund Credit, it will invest in investment grade corporate bonds and iTraxx/CDX index strategies. The fund managers will use also single name CDS, as well as index swaps.
The idea behind the fund is to use a quantitative optimisation model to exploit price .......
Job Swaps 14 July 2010
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Capital solutions fund closes
GSO Capital Partners has closed its Capital Solutions Fund with total commitments of over US$3.25bn. The fund's strategy is focused on providing privately negotiated capital solutions to companies in need of liquidity or significant capital structure transformation due to pending covenant violations, debt maturities, cyclical downturns in their businesses or other funding requirements.
The strategy leverages GSO Capital Partners' distressed, .......
Job Swaps 14 July 2010
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New investment manager proposed for flexible CMBS
A change in investment manager from F&C Investment Business to Ignis Investment Services has been proposed for the F&C Commercial Property Finance CMBS. The proposal was made in relation to an intended restructuring of the deal, consisting of the acquisition by UK Commercial Property Trust (UKCPT) of the entire issued share capital of each subsidiary of F&C Commercial Property Trust .......
Job Swaps 14 July 2010
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Landmark Islamic securitisations emerge
Two innovative sukuk came to the market this week. Cagamas Berhad launched its new Islamic CP and MTN programmes, while Emirates NBD Auto Financing prepped its first auto ABS issuance.
Moody's assigned provisional Aa2 ratings to the Y24bn Emirates NBD Auto Finance transaction. All of the notes are expected to be bought by the Japan Bank for International Cooperation (JBIC).
News 14 July 2010
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Hedge hunting
Ari Bergmann, principal at Penso Advisors, answers SCI's questions
Provider Profile 14 July 2010
Q: How and when did Penso Advisors become involved in the business of systemic risk management?
A: Penso Advisors advises on systemic risk and manages tail hedging strategies for clients. The business was established at the beginning of 2010 because there was a realisation that systemic risk is here to stay. Systemic risk hit the market .......