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’PrimeX makes primetime
Earlier this week, FT Alphaville brought you a structured finance index primer. Now that everyone’s up-to-speed, let’s take a look at the latest price action, look at some (gasp!) fundamentals, and stir the debate on subprime versus prime — a party that we are admittedly fashionably late to.
S&P takes away (CDO) diversification candy
Some very interesting proposed changes to Standard & Poor’s rating methodology for CDOs made of stuff like ABS, in the following request for comment, we think:
Standard & Poor’s Ratings
Her Majesty’s SME CLOs?
It’s like putting your foot on the accelerator but because the transmission mechanism isn’t working properly, the car wheels don’t respond.
Actually George, that might be because the car is on fire,
Northern Crock(ed) liability management
Bad bank, bad behaviour?
A timeline of recent events at debt-ish Northern Rock Asset Management:
June 8, 2011 – We refer to the PROVIDE GRAPHITE 2006-1 Credit Linked Notes (the Notes) issued by Graphite Mortgages plc (the Issuer),
ABS, CDS and various other acronyms in Australia
Your daily dose of financial innovation, right here.
Flexi ABS Trust 2011-1 may be a structured finance deal you’ve never heard of, but it’s making waves amongst securitisation types in Australia. Put simply it’s the first ever Australian deal to bundle interest-free payment plans for retail goods like jewellery,
The other (missing) side of risk retention?
Risk retention is all about ‘aligning the incentives’ of various securitisation players.
But CreditSights analysts reckon regulators may have grabbed the wrong end of the securitisation stick, so to speak,
Further further reading
For the commute home, where your discount windows have always been transparent and available with easy credit,
- Appetite grows for asset-backed securities. Exotic ones, no less. Awesome.
- A venture capitalist is caught running a weed empire.
Premium capture is the new 436(g), Citi says
The repeal of Rule 436(g) sent the securitisation industry into a tizzy in the summer of 2010.
Now a component of last week’s proposed risk retention rules for Mortgage-Backed Securities (MBS) is sparking comparisons from some analysts,
Choose your own risk retention
So now that the Federal Reserve has gifted US banks with a one-size-does-not-fit-all policy in (some) securitisation risk retentions, which version will they be going for?
After all, they’ve got horizontal and vertical (and even L-shaped) slices to choose from.
The RMBS risk retention exemption, qualified
US federal agencies on Tuesday published 233 pages of proposed rules around credit risk retention for sponsors of asset-backed securities, a requirement laid down in the Dodd-Frank legislation.
Sexy lede,
Irish secret liquidity, forever
Irish bank borrowings from Europe’s central bank in February — down €10bn, to €116bn (after much collateral swap shenanigans).
Irish bank borrowings from their own central bank, with collateral unacceptable at the ECB — up €20bn,
The privatisation of liquidity ops
FT Alphaville has been researching the issue of so-called ‘liquidity transfers’ ever since we first came across the matter in Life & Pension Risk in October.
As Risk noted at the time, there’s been
More ABS outlooks
‘Tis the season for 2011 predictions, and Moody’s has just released three more of them — one for credit card asset-backed securities and two for student loan ABS.
Emphasis ours in all excerpts. First,
Your guide to the Fed’s $3.3 trillion data dump
Cast your minds back to 2007, 2008 and 2009 — and think hard.
You’ll need to. The Federal Reserve has just released the mother-of-all data dumps — showing who received payouts from its circa $3,000bn bailout programmes,
Toxic Pub Co. meets toxic bond insurer
You won’t find Ambac mentioned in Punch Tavern’s most recent annual report.
But it’s there. Hovering — waiting — in the background.
The zombie US bond insurer began guaranteeing some of the British (toxic) pub co.’s formidable securitisation programmes back in 2003.
A rocky road to yield
A data point, in the relentless search for yield.
The bottom tranches of Granite — the mortgage securitisation vehicle of Northern Rock — crossed the 50 price level for the first time last week. This is,
One size does not fit all in ABS risk, Fed says
Risk retention requirements for Asset-Backed Securities *yawn.*
But the 96-page report released by the US Federal Reserve this week — outlining the potential impact of risk retention on ABS — makes for interesting financial crisis forensic reading.
Moody’s looks to Finland – to explain Ireland, Spain
Want to know the shape of things to come in Ireland? Spain?
Look no further than … Finland.
That particular Nordic nation experienced an almighty financial boom in the 1980s. In 1990 came the the bust — led by a slowdown in the global economy,
The FDIC considers safe harbours (again)
On Monday, the FDIC finally approved a new set of rules governing “safe harbour” provisions for ABS, which will be effective starting December 31.
As we’ve noted previously, safe harbour provisions
The Fed’s balance sheet and an ABS update
Courtesy of the Atlanta Fed, below you can see what both sides of the Fed’s balance sheet currently look like. In light of Bernanke’s noncommittal speech, for now you can probably expect only gradual changes — not in size,
Teenage-backed bonds
In case you were wondering what, erm, securitising teenagers might look like . . .
. . . here’s one idea:
That’s the structure used by ‘boutique investment firm’ Thackeray Walsh LCC to securitise the (future) income streams of an A-rated pool of youngsters.
Issuers object (again) to proposed RegAB changes
The SEC’s proposed overhaul of RegAB is intended to bring added transparency to securitisations, but right now one of the proposals is just bringing confusion.
Or so market players would have you believe,
Back to the future, with US covered bonds
You’d think America was welcoming a new European immigrant to its debt markets from the way the House passed the United States Covered Bonds Act 2010 last week.
Here’s the abstract of a timely new NBER paper from University of North Carolina economic history professor Kenneth Snowden (emphasis ours):