Complete news archive

  • NC RMBS arrears improvement slows

    Arrears levels in UK non-conforming RMBS transactions are not declining as quickly as in 2009, according to a new report by Fitch, suggesting that arrears may stay at elevated levels. The agency's sector index for Q110 shows the volume of loans three or more months in arrears at 19.7% of the value of outstanding loans, down from 20% in Q409. .......

    News Round-up 12 May 2010

  • Alt-A RMBS delinquencies declining

    Fitch says serious delinquencies for US Alt-A RMBS declined for the first time in four years, while subprime late-pays also fell, but that prime RMBS delinquencies increased slightly. The agency says the improvement for Alt-A and subprime delinquencies was caused by higher cure rates and an increased volume of loan modifications, along with improvements in liquidation and roll rates.

    "Last .......

    News Round-up 12 May 2010

  • Timeshare ABS delinquencies fall

    Total US timeshare ABS delinquencies slipped in Q110, according to Fitch's ABS timeshare index. The decline represents an improvement year-over-year, not only the historical seasonal improvement, analysts at the rating agency report.

    "Though still above historical norms, US timeshare ABS delinquencies are slowly migrating back to pre-recession levels," says Brad Sohl, a director at Fitch. Due to the expected stable .......

    News Round-up 12 May 2010

  • UK credit card performance 'mixed'

    Fitch says the performance of UK credit card trusts showed a mixed trend in Q110. Quarter-on-quarter improvements to delinquencies, payment rates and yield were offset by a further deterioration in average charge-off levels. The agency expects the UK's weak economy to continue to affect asset performance for the rest of the year and says positive developments were largely down to .......

    News Round-up 12 May 2010

  • Special servicers put brakes on delinquency rise

    Fitch reports that US CMBS delinquencies rose by 34bp to 7.48% in April because of underperforming properties in states with weak economies. However, the increase is not as great as in previous months, which is attributed to special servicers working through the inventory of defaulted loans. Eight states have delinquency rates in excess of 10%.

    "As expected, property market weakness .......

    News Round-up 12 May 2010

  • Japanese CRE picture improving

    Moody's says that although the Japanese CMBS loan default rate has risen since last year, Y260bn of loans were successfully repaid in Q110. The figure is more than six times the total defaulted loan amount during the same period last year, according to the rating agency.

    The agency expects total defaulted loan volume in 2010 to be lower than it .......

    News Round-up 12 May 2010

  • Ratings-linked SIV obligations downgraded

    Moody's has downgraded the senior obligations of the Harrier Finance Funding and Carrera Capital SIVs. The rating actions on Harrier affect US$1.8m and £157m of securities outstanding.

    Harrier's Euro and US MTN programmes have been downgraded to A3 from A2. The SIV is managed by Brightwater Capital Management, a wholly owned subsidiary of WestLB.

    Moody's explains that the rating actions .......

    News Round-up 12 May 2010

  • CDO Evaluator error expunged

    S&P has released version 5.1 of its CDO Evaluator credit model, correcting an error in the old version regarding the recovery rates the model assumes for certain sovereign debt held within or referenced by CDO transactions (see SCI issue 183). The error had no impact on any outstanding ratings.

    .......

    News Round-up 12 May 2010

  • Partnership to provide SF analysis platform

    FinCap Financial Services - Computech Corporation and CapitalFusionPartners' joint venture - has announced a strategic joint partnership with MBSData. Data from the latter will be available under the FinCap platform Fin*Fusion, an integrated suite of analytics providing tools for pricing, collateral analysis, portfolio surveillance and asset valuation.

    The Fin*Fusion system has been built as a multi-tier portfolio management system designed .......

    News Round-up 12 May 2010

  • RMBS data product launches

    Experian has launched CreditHorizons for Securities, a data-feed product to help determine the creditworthiness of underlying borrowers in mortgage deals. It consists of anonymised US consumer credit profiles, which have been matched to the private-label securitised mortgage deals in the loan-level database from First American CoreLogic/Loan Performance.

    The new offering is intended to enable investors to optimise pricing strategies, improve .......

    News Round-up 12 May 2010

  • Trading ideas: un-reach for yield

    Tim Backshall, chief strategist at Credit Derivatives Resear...

    The liquidity-fuelled rally of the last fifteen months appears to be stalling as expectations of a linearly extrapolated strong recovery seem a little over-confident. The risk transfer from private to public balance sheets appears to be sloshing back the other way and along with this re-pricing of risk we believe that the turn in the credit cycle that is occurring .......

    Research Notes 12 May 2010

  • Portuguese banks stockpiling assets

    Portuguese structured finance transactions have seen increasing signs of declining performance that could lead to negative rating action, says Fitch. The agency rates 24 RMBS, three ABS and two SME CDO transactions in the jurisdiction and says most show a steady increase in defaults and arrears.

    "Fitch's expectation for performance deterioration does not warrant downgrades to SME transactions at this .......

    News Round-up 12 May 2010

  • Temporary pause

    US CLO market activity in the week to 10 May

    The US CLO market has proven not to be immune to the effects of sovereign contagion - spreads have widened in the secondary market and new issuance has been put on the backburner. However, market participants suggest that this pause in activity is a temporary one.

    "I think that bids have definitely backed off," says Sal Cincinelli, CDO market specialist .......

    Market Reports 12 May 2010

  • Positive sentiment

    European MBS market activity in the week to 29 April

    European MBS trading volume has remained thin over the past week off the back of further news from Greece. However, spreads have generally held up well in both the RMBS and CMBS markets, and participants remain positive about the week's performance.

    "In RMBS people have been focusing on the news from Greece and are in a wait-and-see mode," says one .......

    Market Reports 5 May 2010

  • Cat bond activity increases

    More catastrophe bonds have begun marketing, joining the growing deal pipeline (SCI passim) ahead of the 1 June start to the hurricane season. Meanwhile, the latest deal to close was upsized and priced at the tight-end of guidance.

    Aon Benfield and BNP Paribas have started showing Lodestone Re to investors. The three-year US hurricane and quake deal on behalf of .......

    News 5 May 2010

  • PrimeX sees flow from ABX accounts

    The first two trading sessions of Markit's PrimeX indices have consisted of flow from a base of accounts that trade the ABX index, according to dealers. However, they suggest that a more diversified investor base would be needed to see more growth in the product.

    The trades so far are two-way in nature, with no particular bias to either buy .......

    News 5 May 2010

  • J.G. Wentworth plans regular securitisations

    Specialty finance company J.G. Wentworth is planning to access the ABS market about every quarter to six months, depending on market conditions, according to Stefano Sola, chief investment officer at the firm. The company issued its largest securitisation last month when it brought a US$252m structured settlement and annuity receivables offering.

    The light supply of ABS deals created a new .......

    News 5 May 2010

  • On the move

    CDPCs make strides for the long haul

    While most CDPCs are not writing new CDS, they are not standing still either: most have entered new business transactions, consolidated or closed up shop. One thing is certain, however. In the post-credit crisis environment, CDPCs are here to stay - albeit not in the exact form in which they started.

    For years, CDPCs have performed a necessary function by ......

    News Analysis 5 May 2010

  • ABS decoupling

    Market appears resilient to sovereign troubles for now

    The European ABS market has remained fairly resilient in the wake of three sovereign downgrades. While benchmark UK and Dutch bonds moved slightly wider and Greek, Portuguese and Spanish bonds have all traded down by several points, investors appear to be in no great rush to offload the affected paper. However, analysts warn that further volatility in credit markets will .......

    News Analysis 5 May 2010

  • Ripe for resurgence?

    New conduit launches, growing demand to boost Euro ABCP

    The European ABCP sector looks set for resurgence, following a decline in volumes and the unwinding/consolidation of a number of programmes in recent years. New conduit launches, combined with growing opportunity to tap US demand, have proven to be a boon to the market.

    Lloyds TSB Bank last week launched a new A-1 rated hybrid multi-seller ABCP conduit - dubbed .......

    News Analysis 5 May 2010

  • Upward ascent

    US RMBS market activity in the weeks to 4 May

    The US RMBS market has maintained its upward ascent over the past few weeks, showing little of the disruption expected due to the principal forgiveness programmes announced in late March. In addition, positive market sentiment has been bolstered by liquidations of seasoned mezzanine bonds and the introduction of high quality new issuance.

    Due to positive market technicals, secondary RMBS prices ......

    Market Reports 5 May 2010
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