Complete news archive

  • ERF tender offer announced

    Aviva Annuity UK has launched a tender offer for certain RMBS issued by Equity Release Funding (ERF) 3, 4 and 5 up to a maximum of £300m. Aviva's offer follows news that ERF 3 will not exercise its right to redeem the class B notes on the interest payment date falling in April 2010.

    "Whilst no decision whether to call .......

    News Round-up 24 March 2010

  • Flat card charge-offs suggest improvement

    US credit card charge-offs held steady in February, finishing at 11.08%, just 1bp above a revised January rate of 11.07%, says Moody's. The trailing three-month charge-off rate reached 10.82%, the highest since last September.

    Delinquencies fell to 5.91% last month, their lowest level since August. February payment rates fell slightly from January, which is to be expected in the shortest .......

    News Round-up 24 March 2010

  • Fourth UCI tender results in

    Results of the fourth tender offer for class A notes of BNP Paribas' UCI RMBS issues 8 to 17 have been announced. A total of €109.1m face value of bonds was accepted, bringing the full amount repurchased by BNP Paribas to €1.2bn. The bank issued its first tender offer for the bonds in October 2009 (SCI passim).

    According to UniCredit, .......

    News Round-up 24 March 2010

  • Little impact from UK loan modifications

    Fitch says data submitted to it suggests that loan modifications, while being encouraged by the UK government, have had little impact on the country's mortgage market. The data also indicates that almost half of all loans reviewed for modification are deemed by the servicer to be unsuitable for modification.

    Formalised loan modification programmes, first seen in UK RMBS in January .......

    News Round-up 24 March 2010

  • Special servicer replacements for Deco pair

    The special servicers on two loans backing two Deutsche Bank CMBS deals are to be replaced. Capita Asset Servicers will be replaced by Hatfield Philips International on the Wildmoor Northpoint loan in Deco 11 - UK Conduit 3, while Hatfield is to be replaced by Deutsche Bank on the Allokton loan in Deco 17 - Pan Europe 7.

    The second .......

    News Round-up 24 March 2010

  • Spanish SME CDOs weighed by reserve depletions

    Increasing Spanish SME CDO reserve fund depletions will mean performance remains under pressure this year, says Fitch. The rating agency expects increased defaults and for more transactions to draw on reserve funds as a result.

    "As delinquencies roll into defaults, the transactions' reserve funds are deployed to redeem the senior notes," says Glenn Moore, senior director in Fitch's structured credit .......

    News Round-up 24 March 2010

  • ILS queue builds

    Deutsche Bank will be unveiling a "better version" of longevity bonds in the next couple of weeks, according to Michael Amori, head of longevity derivatives group at Deutsche Bank, speaking at a SIFMA insurance-linked securities conference. The deal is among a bevy of ILS and cat bond offerings expected for 2010, the latest of which - Merna Re II - has begun .......

    News 24 March 2010

  • Positive quarter for US CRE

    US commercial real estate prices rose by 1% in January, marking the third monthly increase in a row, according to Moody's/REAL Commercial Property Price Indices (CPPI). This reflects a continued recovery from their October 2009 low, when prices were down 43.7% from their peak two years previously.

    "Commercial property prices have increased in each of the past three months," says .......

    News Round-up 24 March 2010

  • UK RMBS extension risk measures introduced

    Moody's has introduced new measures to assess the extension risk of notes issued by UK RMBS master trusts. The new measures are an attempt at quantifying the likelihood that the principal repayment of bullet, scheduled amortisation and controlled amortisation notes will not be made by their scheduled maturity dates.

    Extension risk arises when, in certain cases, there are insufficient funds .......

    News Round-up 24 March 2010

  • SF ratings transition worsens

    According to S&P's 2009 rating transitions study, the agency lowered global structured finance ratings by an average of 3.5 rating notches in 2009, which is slightly more than the 3.2-notch average decline in 2008. In addition, the rating agency downgraded approximately US$3.5trn of the roughly US$10trn original issuance amount of outstanding global structured securities during the year.

    The downgrades reflect .......

    News Round-up 24 March 2010

  • Servicing continuity risk criteria published

    Fitch has published its global rating criteria for analysing servicing continuity risk in structured finance transactions. The report formalises the rating agency's approach when assessing the risk of servicing disruption events, such as a servicer bankruptcy.

    "Servicing continuity is a potential risk for all structured finance transactions," says Edward Register, Fitch EMEA SF operational risk group senior director. "Fitch's approach .......

    News Round-up 24 March 2010

  • EMEA CLOs still lag US stabilisation

    In Moody's 2009 global CLO review, the rating agency reports that the performance of the loan portfolios backing US and EMEA CLOs has started to recover. However, just as EMEA CLOs lagged behind the US in the pace of their deterioration, they are similarly behind in stabilisation (see also last issue).

    Key performance metrics for CLOs issued in the US .......

    News Round-up 24 March 2010

  • US auto ABS criteria enhanced

    Fitch has updated its US auto loan ABS rating criteria, including several enhancements to its auto loan ABS credit analysis. The criteria remain broadly unchanged, as supported by the high level of rating stability in Fitch-related auto loan ABS transactions during the recession and credit crisis, and despite the bankruptcy of General Motors and Chrysler.

    Enhancements to the criteria, most .......

    News Round-up 24 March 2010

  • US equipment ABS shielded from construction stress

    Fitch says that stress in both the residential and commercial construction markets will keep loss and delinquency levels for US equipment ABS with construction equipment concentrations elevated. However, various structural features are expected to shield these transactions from negative rating actions.

    Equipment ABS performance suffered in 2009 because of the poor global economic climate. "The construction sector has seen the .......

    News Round-up 24 March 2010

  • Second-lien RMBS loss projections revised

    Moody's has revised its loss projections for 2005-2007 second-lien US RMBS and expects cumulative losses to average around 25%-55% of outstanding balance for non-subprime closed-end second (CES) pools, 70-85% for subprime CES pools and 40-50% for HELOC pools. The updated numbers represent more than a 50% increase for non-subprime CES and nearly a 20% relative increase for subprime CES and .......

    News Round-up 24 March 2010

  • Australian ABCP outlook 'stable'

    Despite the decline of Australian ABCP issuance in 2009, Moody's says its ratings outlook for the sector in 2010 is stable, with asset performance expected to stabilise and strengthen. The impact of proposed changes to the Basel 2 framework remains uncertain, but is expected to lead to some restructurings and conversions to full support.

    A new Moody's report says that .......

    News Round-up 24 March 2010

  • Mexican RMBS concerns continue

    Mexican RMBS performance will continue to deteriorate over the coming months, but at a slowing pace as unemployment begins to decrease, according to a new report by Moody's. Performance is expected to begin to stabilise by the end of the year, but the rating agency's outlook for Mexican RMBS remains negative for 2010.

    The Sofoles (mortgage bank) sector should continue .......

    News Round-up 24 March 2010

  • Understanding the credit quality of residual pools

    Priya Balan, European ABS research analyst at Barclays Capit...

    With the recession having caused a substantial rise in delinquency and default rates in many European RMBS sectors, and with the risk of non-call remaining high in some of these sectors, investors have grown increasingly concerned about the quality of the residual pools; i.e., the quality of the collateral pools remaining towards the end of the life of these transactions. .......

    Research Notes 24 March 2010

  • Trading ideas: keep it short

    Dave Klein, senior research analyst at Credit Derivatives Research, looks at an equity basket trade

    We inaugurate our weekly equity basket trade with a short-heavy list of names. Strong equity performance over the past month kept the ratio of expensive equities to cheap ones high. Consumer cyclicals make up a large portion of the basket (see Exhibit 1 - basket sector breakdown), as they currently do in our daily equity portfolio.

    Research Notes 24 March 2010

  • FDIC securities sales leave investors in a quandary

    Investors looking to buy whole loan, CMBS and distressed securities being unloaded by the FDIC lately have not exactly been pleased with the process. However, despite the challenges, the chance to make a few quick investing wins is keeping them from walking away just yet.

    Calling the current transparency of the documents for sale by the FDIC "lumpy", one investor .......

    News 24 March 2010

  • Residual value

    Non-performing CLO equity in demand

    CLO equity is in demand: fund managers are recording substantial increases in equity valuations, while traders report that residuals of certain deals are pricing as high as 70c or 80c on the dollar. Investor attention is now being turned to non-performing equity in the anticipation that improving deal metrics will result in the resumption of cashflows for those assets.

    Non-performing .......

    News Analysis 24 March 2010
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