Markit Structured Finance

Markit Non-Agency RMBS - Yield Summary - May 17th, 2013

Mon, 20 May 2013 12:00:00 GMT

The Markit US ABS Pricing Sector Yield Summary gives a weekly snap shot of the US Non-Agency RMBS market. Our yield calculations are based on the performance of the senior most tranches in each sector from the most widely traded vintages.

Markit Non-Agency RMBS - Yield Summary - May 10th, 2013

Mon, 13 May 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - May 3rd, 2013

Tue, 07 May 2013 12:00:00 GMT

The ABS market \ a month in review

Tue, 30 Apr 2013 12:00:00 GMT

Since the handling of the Italian and Cyprus crises there has been very little volatility in the European ABS market. April saw spreads tightening across all European ABS sectors.

Markit Non-Agency RMBS - Yield Summary - April 26th, 2013

Mon, 29 Apr 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - April 19th, 2013

Mon, 22 Apr 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - April 12th, 2013

Mon, 15 Apr 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - April 5th, 2013

Tue, 09 Apr 2013 12:00:00 GMT

Global ABS Review

Thu, 04 Apr 2013 12:00:00 GMT

There has been no avoiding the situation in Cyprus in recent weeks. Who would have thought that such a small country with mainly Russian capital could paralyse the entire European credit space for two weeks?

Markit Non-Agency RMBS - Yield Summary - March 22th, 2013

Fri, 22 Mar 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - March 15th, 2013

Fri, 15 Mar 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - March 8th, 2013

Fri, 08 Mar 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - March 28th, 2013

Tue, 02 Mar 2013 12:00:00 GMT

Markit Non-Agency RMBS - Yield Summary - March 1st, 2013

Fri, 01 Mar 2013 12:00:00 GMT

Global ABS Review

Thu, 28 Feb 2013 12:00:00 GMT

As with the rest of the credit market, the European ABS market has been volatile during February. The last quarter started bullish but major negative macroeconomic news, such as French PMIs plunging to a historical low PMI of 42.3, elections in Italy, the financial crisis in Cyprus, the UK ratings downgrade and a crash in term of auto manufacturers’ new sales have all helped push spreads a bit wider.

Markit Non-Agency RMBS – Yield Summary – February 22nd, 2013

Mon, 25 Feb 2013 12:00:00 GMT

Markit Non-Agency RMBS – Yield Summary – February 15th, 2013

Wed, 20 Feb 2013 12:00:00 GMT

Global ABS Review

Thu, 24 Jan 2013 12:00:00 GMT

The year started in much the same way as 2012 ended, on a very slow note. However, since mid-January the market has picked up again in terms of activity. There has been some positive news flow since the Basel Committee diluted the liquidity requirement for LCR allowing high quality ABS to be part of it. We should expect a 15% to 25% hair cut to be applied, which are similar to levels used by the ECB for its current lending/repo scheme. Of course from a balance sheet perspective such announcement can only relieve pressure on many banks and will have a positive effect on ABS securities in both the US and Europe.

Global ABS Review

Wed, 19 Dec 2012 12:00:00 GMT

December 2012 will be remembered as one of the quietest months in the European ABS market since the beginning of the financial crisis in 2007. There was very little activity apart from a few BWICs and little is expected before the end of 2012. All spreads remained at the same level. Even Granite - which are generally the most liquid and volatile securities have remained unchanged over the month and the A, B, M and C securities are now traded at 98.38, 92.25, 89.5 and 82.5. Most of the activity this month has been around CLOs. 2013 will be a challenging year since the majority of senior ABS are now trading at the tightest levels seen since July 2007. Deals are also generally oversubscribed making these securities less interesting to invest in now than last year.

Global ABS Review

Thu, 22 Nov 2012 12:00:00 GMT

In November the ABS market proved to be a start among other fixed income products. Despite all the tensions surrounding hurricane Sandy, the US election, the French downgrade by Moody’s and a massive drop in both the bond and stock markets, the ABS market remained stable, especially at the triple-A levels. High beta elements such as UK Non-Conforming, CMBS, CLOs and Spanish RMBS were well bid in the different BWICs over the past month. It is only during the BWICs of this past week that these assets are having issues in finding proper bids.

Global ABS Review

Thu, 25 Oct 2012 12:00:00 GMT

The European ABS market once again showed strength in October since globally the market remained highly bullish with spreads tightening to levels not seen since the beginning of 2007. Short duration senior UK Prime now trades within the 30 bps area and building society ABS are within 50 bps. Dutch paper is also well bid within the 50 to 70 bps area. Buy-to-let paper is around 100 bps and UK non-conforming around 155 bps. Senior Auto ABS are even tighter than UK Prime, trading at 20 bps. Strong demand for Granite remained and traded for the A, B, M and C tranche at 98.35, 93.25, 90 and 80.25. Last month they traded at 98.1, 93.25, 89.5 and 79.5. This improvement in the secondary market could explain why RBS has decided to leave the UK government’s toxic asset insurance scheme.

Global ABS Review

Thu, 27 Sep 2012 12:00:00 GMT

The European ABS market is now in its third consecutive tightening month and, despite the huge amount of BWIC in the street, nothing seems to have satisfied the appetite of European ABS investors. Levels are now back at September 2007 levels for senior securities in sectors such as UK PRMB, Dutch RMBS and Auto ABS. Other sectors are by correlation driven tighter and issuers are again using this occasion to tender offer their bonds as is the case with Fastnet 2 where the A2, B , C and D were tendered at 75, 50, 40 and 30 respectively, whereas they were traded post tender at 65, 25, 17 and 10.

EU ABS Review

Thu, 23 Aug 2012 12:00:00 GMT

July and August were great sporting months in the UK and it seems the Olympic spirit has flowed into the European ABS market which, contrary to the past five summers, has remained bullish. The trend started when Northern Rock Asset Management decided to tender offer its Granite C tranche. Since then the entire market, and UK Prime RMBS, Dutch RMBS and Auto ABS in particular, has been moving in one direction – tighter. The levels being reached are now the tightest seen since September/October 2007, when the US sub prime crisis really started affecting the European ABS market.

EU ABS Review

Tue, 17 Jul 2012 12:00:00 GMT

As expected the end of June and beginning of July were very quiet. The biggest drivers of the market were a number of tender offers, all of which ended up with levels much higher than the minimum offered. This also impacted positively on the capital structure of these deals by driving the price up.

EU ABS Review

Thu, 28 Jun 2012 12:00:00 GMT

The Global ABS conference was once again very well attended this year. Regulation was a key focus, with subjects such as liquidity coverage ratio requirements - which may dramatically affect the way banks and investors invest in the ABS market in the coming months – featuring high on the agenda. The potential of a Greek exit weighed heavily on peoples’ minds, but the election the following weekend provided some breathing space and the formation of a government has clearly impacted positively on both the credit and ABS markets.

EU ABS Review

Thu, 17 May 2012 12:00:00 GMT

The elections in Greece and France, which both saw anti-austerity parties come into power, took their toll on an already struggling credit market which saw sovereign CDS widen significantly. French CDS widened from 180bps to 220bps in the space of a week, playing catch up with their historical high of 245bps in November 2011. Meanwhile, German CDS spreads remained unchanged.

EU ABS Review

Fri, 20 Apr 2012 12:00:00 GMT

The positive impact of the European Central Bank’s LTROs (long term refinancing operations) fell through when the Spanish bond auction of April 6 2012 did not go to plan and only €2.6bn of the expected €3.5bn bonds were sold. Both the equity and credit markets started to fall as a result, but it was over a week before any negative impact was seen in the European ABS market and some widening happened.

EU ABS Review

Tue, 27 Mar 2012 12:00:00 GMT

Unlike January and February the ABS market remained quiet in March, showing limited volatility. Prices and spreads continue to remain stable in the European ABS world despite the Greek credit event, which caused an auction where the cash settlement reached 21.5 cents. Most of the activity over the past two weeks has centered on Bid Wanted in Competition BWIC) and we are starting to see a good equilibrium also between the number of offers and the numbers of bids.

EU ABS Review

Wed, 22 Feb 2012 12:00:00 GMT

The European ABS market enjoyed its strongest rally since April 2009 in January and February of this year no matter the rating, country and sector. The main reason for this can be found in macroeconomics data and the correlation to other debt instruments such as sovereign. Granite, the benchmark of the European ABS market, has been going slightly down since last week. The A, B, M and C tranches are now traded at 95.7, 84.3, 75 and 60 cents. It seems that for the A tranche the 96 cents is a strong resistance point while 65 cents seems to be the one for the C tranche. It is also interesting to note that Standard & Poor’s upgraded Granite’s M tranche from A- to A+ and the C tranche from BB to BBB-.

EU ABS Review

Fri, 13 Jan 2012 12:00:00 GMT

The European ABS market opened the New Year in the same fashion as it closed out the old – on a quietly positive note. As per much of last year, the core/periphery split persisted with spreads on the former continuing to grind tighter. Some securities from peripheral countries also saw improvements in pricing, Banco BPI recently provided a major boost by coming out with a tender offer on their three Duoro (Portuguese RMBS) transactions, close to ten points above secondary market levels. This also helped push some of the other Portuguese RMBS transactions higher. This enthusiasm was however short lived as the ongoing sovereign debt saga once again took centre stage, with most investors happy to sit on the sidelines.

US ABS Review

Fri, 18 Dec 2009 12:00:00 GMT

US ABS Review

EU ABS Review

Fri, 11 Dec 2009 12:00:00 GMT

EU ABS Review

Fri, 27 Nov 2009 12:00:00 GMT

EU ABS Review

US ABS Mid-Month Review

Mon, 23 Nov 2009 12:00:00 GMT

US ABS Mid-Month Review

EU ABS Review

Fri, 13 Nov 2009 12:00:00 GMT

EU ABS Review

US ABS Monthly Review

Mon, 2 Nov 2009 12:00:00 GMT

US ABS Monthly Review

EU ABS Weekly Review

Fri, 23 Oct 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Mid Month Review

Thu, 15 Oct 2009 12:00:00 GMT

US ABS Mid Month Review

EU ABS Weekly Review

Fri, 9 Oct 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Fri, 2 Oct 2009 12:00:00 GMT

US ABS Weekly Review

Wed, 16 Sep 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 11 Sep 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Thu, 03 Sep 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 28 Aug 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Wed, 19 Aug 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 14 Aug 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Tue, 04 Aug 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 24 Jul 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Fri, 17 Jul 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 10 Jul 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Thu, 02 Jul 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 26 Jun 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Thu, 18 Jun 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 05 Jun 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Tue, 02 Jun 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 15 May 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Tue, 05 May 2009 12:00:00 GMT

US ABS Weekly Review

EU ABS Weekly Review

Fri, 24 Apr 2009 12:00:00 GMT

EU ABS Weekly Review

US ABS Weekly Review

Mon, 20 Apr 2009 12:00:00 GMT

US ABS Weekly Review

ABS Weekly Review

Thu, 9 Apr 2009 12:00:00 GMT

ABS Weekly Review

Fri, 3 Apr 2009 12:00:00 GMT

ABS Weekly Review

Fri, 27 Mar 2009 12:00:00 GMT

ABS Weekly Review

Tue, 17 Mar 2009 12:00:00 GMT

ABS Weekly Review

Fri, 13 Mar 2009 12:00:00 GMT

ABS Weekly Review

Fri, 6 Mar 2009 12:00:00 GMT

ABS Weekly Review

Fri, 27 Feb 2009 12:00:00 GMT

ABS Weekly Review

Fri, 20 Feb 2009 12:00:00 GMT

ABS Weekly Review

Fri, 13 Feb 2009 12:00:00 GMT

ABS Weekly Review

Fri, 6 Feb 2009 12:00:00 GMT

ABS Weekly Review

Fri, 30 Jan 2009 12:00:00 GMT

ABS Weekly Review

Fri, 23 Jan 2009 12:00:00 GMT

ABS Weekly Review

Fri, 16 Jan 2009 12:00:00 GMT

ABS Weekly Review

Markit European ABS Surveillance: Deals Covered Jan 09

Tue, 13 Jan 2009 12:00:00 GMT

Markit European ABS Surveillance: Deals Covered Jan 09

ABS Weekly Review

Fri, 9 Jan 2009 12:00:00 GMT

ABS Weekly Review