New EuroMTS for accession states

EuroMTS, the electronic market for benchmark securities, has launched a new market for the trading of euro-denominated government securities of those countries expected to enter the European Union in May 2004.

Countries whose bonds will be eligible for trading in New EuroMTS include Cyprus, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Slovakia and Slovenia.

The firm says that the market will promote the efforts of these countries towards integration into the European fixed income capital markets, facilitating transparent and liquid trading of their debt.

EuroMTS is in the process of forming a user committee composed of investment banks involved in the relevant securities markets; this will define trading rules for New EuroMTS. Issuing entities will also be asked to contribute to the markets’ organisation.

The intention is to implement a set of listing criteria for New EuroMTS that will lead to the required issue size gradually increasing to the same level as that of EuroMTS at the time of convergence, or soon thereafter.

Following the establishment of market rules, new issuers will be connected to New EuroMTS. The launch is expected before year end.

Cantor enters asset management

Interdealer brokerage Cantor Fitzgerald is continuing its efforts to broaden its product offering with the appointment of Irvin Goldman as president of its debt capital markets and asset management divisions.

Mr Goldman, formerly managing director and head of sales and trading at CSFB, will be responsible for building an asset management business that will provide money managers with capital raising, prime brokerage, clearing and trading execution.

Cantor Fitzgerald extended its fixed income business earlier this year, when it announced that it would offer sales and trading of high yield bonds to its clients.

The firm stresses that this is separate from Cantor’s interdealer business.

Moody’s launches RMBS tool

The latest report from rating agency Moody’s introduces an analytical tool for residential mortgage-backed securities (RMBS) portfolios. The firm says MILAN (Individual Loan Analysis) is a benchmarking product that will be used together with cash flow models in its rating analysis of German RMBS.

According to Moody’s, the modelling tool enables easier analysis of multi-seller and pan-European portfolios and the agency expects to enhance the consistency and transparency of its residential mortgage analysis in Europe.

The report offers a detailed look into the process of analysing RMBS portfolios. Explaining the reasoning behind the assumed German default frequencies and severity calculations, it provides information on penalties and credits associated with certain types of loans, capturing additional frequency and severity drivers.

“MILAN is one of several tools in rating RMBS. It relies primarily on good loan-by-loan data obtained from the originator,” says Jeanne Kerschkamp, co-author of the report.

The MILAN results are further adjusted accounting for structural and legal credit risks of a particular transaction as well as for additional risks resulting, for instance from replenishment and substitutions over time,” she says.

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