Complete news archive

  • Subprime prices rise to 18-month high

    Fitch Solutions reports that US subprime CDS prices have increased to levels not reached since December 2008. Fitch's subprime RMBS total market price index increased by 7.6% month-on-month to reach 9.37.

    "Subprime asset quality has not only stabilised, but begun to improve significantly - a far cry from the historic lows at the beginning of 2010," says Fitch Solutions md .......

    News Round-up 9 June 2010

  • IOS relative value analysed

    In a recent examination of valuations across the Markit IOS index stack, ABS analysts at Barclays Capital suggest that fears of large-scale servicer selling have proven to be unfounded, with the sub-indices trading at a price multiple in the mid-90s to comparable trust IOs. This is very close to where they started three months ago, according to the analysts.

    The .......

    News Round-up 9 June 2010

  • Global CDS liquidity declines

    Fitch Solutions says global CDS liquidity declined in the past two weeks, partly due to short trading weeks in the UK and US. Emerging market sovereigns are still trading with greater liquidity than their developed market peers, however.

    "The sovereign CDS liquidity trends seen in recent weeks continue to persist, suggesting the CDS market may have pulled back from eurozone .......

    News Round-up 9 June 2010

  • CESR warned over ABS trade dissemination

    The Association for Financial Markets in Europe (AFME), the British Bankers' Association (BBA) and ISDA have jointly responded to the 7 May consultation paper on CESR technical advice to the Commission in the context of the MiFID Review - Non-equity markets transparency. Among other issues, the letter outlines a number of concerns about disseminating trade information in the securitisation markets.

    News Round-up 9 June 2010

  • Troubled companies index deteriorates

    The Kamakura index of troubled public companies deteriorated significantly in May after improving in 12 of the previous 13 months. The index leapt from 9.46% in April to 10.30% in May.

    Kamakura's index peaked at 24.3% in March 2009, but the intra-month value had since fallen to as low as 9.09% (SCI passim). May saw better credit conditions than 67% .......

    News Round-up 9 June 2010

  • May remits show continued non-agency improvements

    May remits indicate that current-to-delinquent rolls continue to improve across the non-agency RMBS sectors, according to ABS analysts at Barclays Capital.

    The analysts note that subprime rolls declined by 20bp-30bp month-on-month for later vintages, despite worse seasonals. The seasonal trend reversed to negative in April, following positive seasonals from January to March. Roll rates also declined noticeably for prime sectors .......

    News Round-up 9 June 2010

  • CMBS loss severities soar

    The inventory of US CMBS loans in special servicing is at an all-time high and likely to tread higher, despite loan resolutions increasing in 2009, says Fitch. Cumulative average loss severities for Fitch-rated CMBS through the end of last year reached 37.2%, with loss severities for 2009 alone reaching 57%.

    "Loss severities are expected to remain above the current cumulative .......

    News Round-up 9 June 2010

  • Indian retention requirements proposed

    The Reserve Bank of India has published draft guidelines on minimum holding periods and minimum retention requirements for securitisation transactions undertaken by non-banking financial companies. The guidelines modify the guidelines issued on 1 February 2006 and also introduce two new aspects; namely, defining a minimum holding period before selling an asset to an SPV and retention of a minimum portion .......

    News Round-up 9 June 2010

  • Tighter controls required to reduce reporting errors

    A number of reporting errors have been made in Asia ex-Japan by originators and servicers regarding their securitisations in the past year, says Fitch. Reporting errors have been found in asset performance data and payment accounts, with five asset performance reporting errors made across four transactions.

    Errors in ABS asset performance figures include the erroneous application of formulae and incorrect .......

    News Round-up 9 June 2010

  • EU CRA proposals gather momentum

    The European Commission (EC) has put forward amendments to the EU rules on credit rating agencies (CRAs). The EC has also launched a public consultation on reforming corporate governance in financial institutions and pledged to table the remaining financial reform proposals in six to nine months. The proposals, as well as plans for bank resolution funds, will be presented at .......

    News Round-up 9 June 2010

  • Small business methodology scrutinised

    A number of updates are being considered to the methodologies and assumptions S&P uses to rate US securitisations backed by small business loans. The scrutiny of the agency's Small Business Portfolio Evaluator (SBPE) model follows recent performance trends for small business loans and changes that S&P introduced to its CDO Evaluator (SCI passim), which shares the same portfolio default simulation .......

    News Round-up 9 June 2010

  • Monoline commutes remaining ABS CDOs

    Ambac Financial Group has commuted all its remaining US$16.4bn of ABS CDO exposure. The commutation agreement provides that Ambac Assurance Corporation (AAC) will pay in aggregate US$2.6bn in cash and US$2bn of newly issued surplus notes of AAC.

    The surplus notes have a scheduled maturity of 7 June 2020 and interest is payable at the annual rate of 5.1%. All .......

    News Round-up 9 June 2010

  • Euro ABS surveillance platform prepped

    Markit and Cairn Capital are to launch the Markit ABS Performance Monitor platform. This service will combine Markit's ABS surveillance capability with Cairn's advisory and credit market knowledge to provide performance monitoring for European ABS.

    Users of the platform will have access to one-page deal summaries, both current and historical, with the ability to drill into details, such as comparable .......

    News Round-up 9 June 2010

  • Student loan ARS tenders gather pace

    The Student Loan Consolidation Center Student Loan Trust I (SLCC I) has commenced a cash tender offer to purchase up to US$450m aggregate principal amount of its outstanding auction rate student loan asset-backed notes, senior series 2002A and 2002-2A. The tender offer consideration payable for each US$50,000 principal amount of notes validly tendered will be determined pursuant to a Dutch .......

    News Round-up 9 June 2010

  • Moody's launches structured credit publication

    Moody's has launched a new quarterly newsletter called Structured Credit Perspectives. The publication will include the rating agency's views on credit issues and news, as well as performance metrics in structured credit asset classes such as CSOs, SF CDOs, Trups CDOs, derivatives product companies, market value CDOs and municipal CDOs. Each edition will also include a section providing new performance .......

    News Round-up 9 June 2010

  • Second Indian MFI CLO closes

    IFMR Capital has concluded a R339m multi-originator micro-loan securitisation with three Indian microfinance institutions. IFMR Capital Mosec II issued two tranches backed by 36,972 micro-loans that were originated by Sahayata Fintrade, Satin Creditcare and Asirvad Microfinance.

    One of India's top mutual funds subscribed to the senior P1+(so) rated tranche and IFMR Capital invested in the subordinated piece. The deal follows .......

    News Round-up 9 June 2010

  • Data providers link up in RMBS

    CreditHorizons for Securities, which delivers Experian's consumer credit information for non-agency MBS deals and launched last month (see SCI issue 184), now offers the ability to link consumer credit data to Lewtan's private-label deal library, ABSNet Loan. It expands the offering to a broader base of non-agency RMBS investors, the two firms say.

    "Experian is committed to providing the market .......

    News Round-up 9 June 2010

  • Waterfall transparency

    Tania Fago, senior product manager at Quantifi, comments on...

    On 7 April 2010 the SEC proposed rules to amend the offering process, as well as tighten the disclosure and reporting requirements for ABS. The proposed changes are designed to increase transparency and thereby improve investors' understanding of these financial products, which have traditionally been more opaque.

    Specifically, the SEC proposals would:

    • require the filing of a computer programme .......

    Talking Point 9 June 2010

  • Hydrocarbon royalties deal marketing

    A US$150m Argentinean oil and gas royalties securitisation is marketing. Moody's has assigned provisional ratings of Ba3 (global scale) and Aa1.ar, and Ba2/Aaa to the Fideicomiso Financiero Chubut Regalias Hidrocarburiferas I VDF A and VDF B notes respectively.

    The debt securities will be issued by Banco de Valores, acting solely in its capacity as issuer trustee, and are backed primarily .......

    News Round-up 9 June 2010

  • Private equity eyes timeshare securitisations

    Private equity funds are currently buying pools of timeshare loans, which could eventually be securitised, say structured finance sources. The funds are looking at a variety of loans, but the smaller regional loans are the most targeted.

    "Some of the smaller regional timeshare developers are running into trouble. They really don't want to have their capital tied up in real .......

    News 9 June 2010

  • Weighed down

    Secondary and primary markets hindered by broader concerns

    US RMBS trading over the previous two weeks has remained quiet in the face of continued volatility in the broader markets. Economic and political pressure continues to weigh on the secondary markets, while concerns over financial reform and regulation threatens to potentially hinder new issuance.

    One RMBS analyst notes: "It has been more anaemic in the sense that there aren't .......

    Market Reports 9 June 2010
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