Complete news archive

  • Australian RMBS delinquencies rise in Q1

    The ability of Australian borrowers to repay their mortgages - as measured by delinquencies rates - started to experience some constraint in Q110, according to Moody's. Specifically, prime mortgage delinquencies greater than 30 days increased to 1.34% from 1.10% in Q409. Meanwhile, non-conforming mortgage delinquencies greater than 30 days continued to rise to 13.02% from 12.13%.

    Ryan Lu, a Moody's .......

    News Round-up 2 June 2010

  • Macro concerns reflected in index-intrinsic basis

    Credit strategists at Barclays Capital have analysed the historical performance of both the CDX index and the underlying single names at times when the basis becomes substantially positive or negative. They found that a positive basis tends to preface both index tightening and single-name widening. However, large negative bases were found to have limited implications for the index, but are .......

    News 2 June 2010

  • Strong Singaporean CMBS cashflow reported

    Singaporean CMBS transactions are enjoying strong cashflow from their underlying properties, according to a quarterly Moody's report on the sector. The agency notes no rating implications on any outstanding Singaporean CMBS based on the performance of the underlying properties. The Q110 report says the transactions continue to enjoy at least three times actual debt service coverage ratio, while appraisers' loan-to-value .......

    News Round-up 2 June 2010

  • BWIC trading stalls amid inventory rethink

    A growing percentage of BWIC lists that are making the rounds lately are not trading, say investors. The stall in trading began last week as dealers evaluate inventory levels heading into month end.

    "Dealers are unwilling to bid more bonds from customers unless they sell some of their inventory. They are trying to get their inventory down," says one structured .......

    News 2 June 2010

  • LSS note ratings raised

    S&P has raised its ratings for 11 spread-trigger leveraged super senior (LSS) notes and removed them from credit watch negative. Ratings for two LSS notes have also been affirmed, with one removed from credit watch negative.

    The rating actions follow positive movements over several months in two key transaction variables - weighted-average spread (WAS) and trigger spread level. The WAS .......

    News Round-up 2 June 2010

  • Loan analytics platform enhanced

    S&P has made changes to its structured finance and whole loan analytics platform, ABSXchange, which it believes will allow European ABS market participants to perform more robust transaction analysis. More than 200 new cashflow models have also been added across EMEA ABS, CMBS, RMBS and CLOs and Australian RMBS.

    ABSXchange's latest amendments introduce enhancements to the platform's portfolio analysis capabilities .......

    News Round-up 2 June 2010

  • CDOROM v2.6 released

    Moody's has released an updated version of its CDO modelling tool CDOROM. The new v2.6 includes updates to assumptions used for analysing CDOs backed by corporate and structured finance assets, and improved tools for analysing CLO portfolios. The latest modelling tool for Trups CDOs has also been included.

    CDOROM v2.6 uses Moody's updated Trups CDO modelling methodology to reflect changes .......

    News Round-up 2 June 2010

  • Trading idea: halitosis

    Byron Douglass, senior research analyst at Credit Derivative...

    Halliburton's latest results show a change of tide with regards to its fundamentals. Cashflows, interest coverage and margins are all below multi-year trends, indicating momentum heading in the wrong direction for the company.

    Tack on event risk from the Gulf spill and a short credit recommendation on Halliburton is an easy call. At 90bp, the downside risk to the trade .......

    Research Notes 2 June 2010

  • Returning interest

    European CMBS market activity in the week to 27 May

    Although European CMBS markets have slowed due to eurozone contagion, the impact on pricing levels has been limited. Interest is now returning to the sector and the previous few days have seen an increase in activity.

    One trader notes that the CMBS market has slowed in line with the rest of the ABS market. He says: "When there is distress .......

    Market Reports 2 June 2010

  • Wait-and-see attitude

    European RMBS market activity in the weeks to 20 May

    Since a dramatic market spike two weeks ago the European RMBS market has seen something of a recovery. However, the market has clearly been left shaken, as only the most liquid names have seen some trading activity and expected new issuance has been postponed. Nevertheless, in the midst of this wait-and-see game the marketing of a new RMBS transaction has .......

    Market Reports 26 May 2010

  • Decreased liquidity

    US ABS market activity in the week to 24 May 2010

    Despite the initial belief that the US ABS market might remain relatively immune to the current eurozone concerns, participants have witnessed a weakened market, widening spreads and decreased liquidity. New issuance is, however, expected to re-start after the Memorial Day holiday - albeit at slightly wider spreads than previously anticipated.

    Elton Wells, head of SecondMarket's structured products group, explains that .......

    Market Reports 26 May 2010

  • Smooth-ish progress

    Final pre-hurricane season cat bonds line up

    The last three catastrophe bond deals of the 2010 pre-hurricane season have all progressed relatively smoothly. However, they have not all ended up precisely as originally envisaged.

    United Services Automobile Association's Residential Re 2010 (see SCI issue 184) priced yesterday, 25 May. The multiple US peril three-year deal was at one point targeting a total size of U$500m split over .......

    News Analysis 26 May 2010

  • Sponsor continues to support RMBS redemptions

    Lloyds is understood to have made significant refinancing contributions to its Pendeford and Arkle RMBS trusts to support £1bn of redemptions on the Pendeford 2008-1 A1 notes and £3bn on the Arkle 2008-1 Series 4 this week and last.

    "At the end of April, Arkle Funding 1 bank balance was £1.52bn and the Pendeford cash accumulation ledger was only £140m, .......

    News Round-up 26 May 2010

  • MAV II offers good risk/return

    Structured credit strategists at Citi have found that the single-A rated Master Asset Vehicle II (MAV II) notes, the result of the Canadian ABCP restructuring under the Montreal Accord (SCI passim), are protected from principal losses under most reasonable scenarios. The strategists undertook a statistical analysis of the 650 credits in the underlying pools and concluded that although the product .......

    News Round-up 26 May 2010

  • CMBS loan restructurings to increase

    With many EMEA sponsors having insufficient equity to support their loans, CMBS loan and transaction restructurings were a main theme during Q110, according to Moody's in its latest surveillance report for the sector.

    "Most borrowers of CMBS loans that matured during Q110 could not repay or refinance their loan, and the loans either had their maturity date extended or defaulted .......

    News Round-up 26 May 2010

  • Enforcement clarification expected for Eurosail

    A legal clarification is expected in the coming weeks that could allow enforcement in Eurosail deals where there is no conflict of interest in the senior notes. The failure of Lehman as currency swap counterparty on these transactions has left them unhedged and undercollateralised due to the 10%-18% decline in sterling against the euro and a nearly 30% decline against .......

    News Round-up 26 May 2010

  • DPR notes extended

    The Series 2008-1 notes issued by International Diversified Payment Rights Company, a Cayman Island SPC, have been amended to extend the interest-only period and the legal final maturity for two years. Moody's says that the amendment has not resulted in the downgrade or withdrawal of its A1 foreign currency rating currently assigned to the Series 2003-1, Series 2004-1, Series 2007-1, .......

    News Round-up 26 May 2010

  • Ocala Funding mired in another court ruling

    A recent Eleventh Circuit Court of Appeals ruling - that the broad statutory receivership powers of the FDIC entitle it to marshal trust property of a failed bank - has added to the uncertainty around the Ocala Funding ABCP programme (SCI passim). The court's decision vacated a preliminary injunction barring the FDIC from selling the assets of Ocala on the .......

    News Round-up 26 May 2010

  • Equipment leasing and finance confidence up

    Confidence in the equipment finance market rose over the past three months, according to the Equipment Leasing & Finance Foundation. The Monthly Confidence Index for the Equipment Finance Industry (MCI-EFI) rose to 67.4 in May, up from 65.4 during April and 60.2 in March.

    The index is a qualitative assessment of prevailing business conditions and expectations for the future in .......

    News Round-up 26 May 2010

  • Creative CMBS workout strategies emerging

    A rapid increase in specially serviced US CMBS loans has brought the volume to approximately 5000 loans - totalling US$81.7bn - at the end of Q110, according to Fitch in a recent report for the sector. As special servicers continue to add staff to help manage the rapidly escalating workload, the rating agency notes that creative workout strategies have emerged.

    News Round-up 26 May 2010

  • Contagion concerns spark sovereign CDS divergence

    Emerging market sovereign CDS liquidity continued to outpace that for developed market sovereigns in the past two weeks, according to Fitch Solutions. At the same time, the firm notes that the stabilisation of global CDS spreads did not last long, with widening caused by an unexpected sector.

    Jonathan Di Giambattista, md for Fitch Solutions, says: "Sovereign CDS liquidity trends continue .......

    News Round-up 26 May 2010
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