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Issue 361 - 6th November

  • News Analysis

    • ABS

      • Under-rated opportunity?

        RRBs continue to offer compelling relative value

        Rate reduction bonds (RRBs) continue to offer spreads that are comparatively wide for the credit risk they represent. Volumes have declined recently, but the sector still provides a natural home for total return accounts. RRB spreads are consistent...

    • CLOs

      • Ringing the changes

        CLO risk retention to open door for BDCs

        Risk retention proposals for US CLOs will bring significant changes in the market. The regulatory requirements are set to affect not only the issuer base, but also how deals are structured. "The risk retention requirements are not perhaps being emb...

  • Market Reports

    • CLOs

      • Variety on show in US CLOs

        Yesterday proved a varied session for the US CLO secondary market, as the 2005-2013 vintages and all parts of the capital structure were represented. SCI's PriceABS data shows that prices remain slightly higher than in previous weeks. At the top of...

    • RMBS

      • Subprime boost seen

        US non-agency RMBS supply picked up yesterday, boosted by a mix of senior and mezzanine subprime flo...

  • News

    • Structured Finance

      • SCI Start the Week - 4 November

        A look at the major activity in structured finance over the past seven days

        PipelineAll securitised asset classes were well represented in the pipeline last week. The new entrants included the first-ever single-family rental securitisation (US$500m Invitation Homes 2013-SFR1) and Freddie Mac's second risk transfer deal (US$2...

    • CLOs

      • Euro CLO 1.0 upside eyed

        European CLO 1.0 bonds are generically priced to a 20% CPR scenario, but significant return upside could emerge from higher realised repayment rates. Deleveraging in the sector is anticipated to run well into 2014 and continue to enhance returns for...

    • CMBS

      • Auction exposure quantified

        Morgan Stanley CMBS strategists have decoded three common attributes of the 67 loans included in the upcoming CWCapital Asset Management auction (SCI 16 October), which they assert serve as a road map for special servicer behaviour going forward. The...

      • Class A EoD for Euro CMBS

        The class A notes of the Titan Europe 2006-3 CMBS experienced an interest shortfall last week, constituting a note event of default (see SCI's CMBS loan events database). Class A notes have not previously experienced an interest shortfall in such a l...

    • RMBS

      • Waiting for Watt?

        Representative Mel Watt's nomination as FHFA director suffered a setback yesterday as a motion to bring his nomination to a vote was defeated. Watt is not out of the running completely and several possible outcomes remain. "This may be only a tempo...

      • Further forbearance losses recognised

        At least 28 RMBS serviced by Chase (EMC) took losses related to past forbearance modifications, according to the October remittance. The affected transactions come from the BALTA, BSABS, BSMF, GPMF, HMBT, PRIME and SAMI shelves. The average write-d...

      • Modified loan trends analysed

        Of the 3.2 million currently outstanding mortgages in the Loan Performance database originated between 2004 and 2007, 1.2 million have been modified at least once, according to Morgan Stanley estimates. Given the variation in modification types, secu...

  • Job Swaps

    • Structured Finance

      • Origination exec promoted

        Barclays Capital has promoted Martin Attea to co-head of securitised products origination in its Ame...

      • Trader joins lobbyist

        Caitlin Kline has joined Better Markets as a derivatives specialist. She previously worked as a flow...

    • CDO

      • Trups CDO manager resigns

        Cira SCM (formerly known as Strategos Capital Management) intends to resign as collateral manager on...

    • CDS

      • Exchange union delayed

        IntercontinentalExchange (ICE) and NYSE Euronext have postponed the closing date of their agreed mer...

    • CMBS

      • CRE partner recruited

        Paul Hastings has hired commercial real estate specialist David Ryland as a partner in its London of...

  • News Round-up

    • Structured Finance

      • Benchmark indices tweaked

        Barclays has amended its benchmark fixed income indices, after concluding its annual index review an...

      • TRACE expansion proposed

        FINRA last week filed a proposed rule change with the US SEC to amend the TRACE dissemination protoc...

      • SFR securitisation debuts

        The much-anticipated debut single-family rental (SFR) securitisation has hit the market, with the se...

    • CDS
    • CMBS

      • CWCapital note sales due

        CWCapital Asset Management has disclosed plans to sell US$665m of CMBS assets through Auction.com on...

    • RMBS

      • Shortfall trends reviewed

        Morningstar has reviewed monthly occurrences of US RMBS interest shortfalls for the year to date thr...

      • EverBank MSR sale agreed

        Walter Investment Management Corp has entered into a series of definitive agreements through its Gre...

      • MSR flow sale agreed

        Two Harbors Investment Corp subsidiary Matrix Financial Services Corporation has entered into a flow...


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