Complete news archive

  • Canadian ABCP ratings outlook 'stable'

    Moody's says in its annual review and outlook report on Canadian ABCP that its rating outlook is stable for the sector, as bank sponsors demonstrate commitment to maintaining ratings on their conduits and the performance of the assets in them remains stable.

    "Performance of consumer assets, which make up the majority of the assets funded in conduits, has been stable .......

    News Round-up 10 March 2010

  • RFC issued on revised NHG criteria

    Fitch says it is seeking feedback from market participants in respect to its revised criteria for rating transactions of Dutch mortgages backed by the Nationale Hypotheek Guarantie (NHG).

    The NHG is a state-sponsored guarantee that compensates lenders and issuers for potential losses on guaranteed mortgages. However, guarantee administrator Stichting Waarborgfonds Eigen Woningen (WEW) may not indemnify mortgage losses if, upon .......

    News Round-up 10 March 2010

  • SIV-lite ratings withdrawn

    S&P has withdrawn its credit ratings on all of Duke Funding High Grade II-SEGAM I's notes. Before withdrawing the ratings, the class C and D notes were removed from credit watch negative.

    The withdrawal follows a prolonged period of insufficient information received on the SIV-lite. Furthermore, S&P says it does not expect to receive any future reports.

    Ratings on the .......

    News Round-up 10 March 2010

  • Resi re-REMIC criteria updated

    Fitch has published an updated 'US Residential Mortgage Re-REMIC Criteria' report, summarising its current criteria for analysing credit risk in the issuance of new securities backed by US RMBS. According to the rating agency, analysis of RMBS resecuritisation transactions incorporates loan-level analysis of expected losses to the underlying pool of mortgages using the ResiLogic loss model, examining recent performance trends .......

    News Round-up 10 March 2010

  • CMBS extension 'not the start of a trend'

    Noteholders of German single loan CMBS transaction, Fleet Street Finance Two, approved the extension of the maturity date of the notes by three years from 2014 to 2017 (see last issue). However, Moody's does not expect many such extensions to follow for other deals.

    Moody's explains in its latest Weekly Credit Outlook that final maturity extensions will only happen in .......

    News Round-up 10 March 2010

  • US auto ABS performance improves

    Seasonal weakness drove US prime auto loan ABS losses slightly higher in January versus prior months, according to Fitch. However, despite high unemployment and pressure on loss frequency, losses in January were over 20% lower on an annual basis for the third consecutive month.

    Fitch director Benjamin Tano explains: "Tax refunds and credits will support performance for the remainder of .......

    News Round-up 10 March 2010

  • Documentation discrepancies hit CLO cashflows

    Subtle differences in CLO mechanics may significantly influence the potential cashflow that noteholders receive, according to a new report from S&P. Some of the most common variations pertain to the calculation of overcollateralisation (o/c) tests, event of default (EOD) conditions and the voting rights of the controlling classes (typically senior noteholders). S&P warns that even the slightest variations can have .......

    News Round-up 10 March 2010

  • Dante ruling strikes again

    Five notes from two synthetic CDOs (Elva Funding and Rembrandt I Synthetic CDO) have been placed on rating watch negative (RWN) by Fitch, as a result of the agency's global review of all such transactions with exposure to US-based derivative counterparties.

    The rating actions affect securities from transactions with embedded CDS, where Fitch currently rates the securities higher than the .......

    News Round-up 10 March 2010

  • Secondary CRE loan prices see small increase

    The aggregate value of commercial real estate loans priced by DebtX that collateralise CMBS increased to 76.7% as of 29 January, up from 75.9% as of 31 December. Loan values are down from 81.3% compared to January 2009.

    "Loan prices rose in January due primarily to the downward shift of the treasury yield curve and a modest tightening of whole .......

    News Round-up 10 March 2010

  • Drop in Euro auto ABS delinquencies

    Overall delinquency rates in S&P's European auto ABS index decreased by 6bp in Q409 from the end of Q3, according to its latest report. The addition of five new transactions to the index in Q4, accounting for 5.2% of the index, partially explains the decrease.

    S&P says that the performance of the Q4 transactions included in the report has stabilised .......

    News Round-up 10 March 2010

  • Manager-specific default rates analysed

    All European CLO managers experienced defaults in their CLO portfolios during 2009. However, a wide dispersion range of 1.4% to 26% in the actual default rate per manager existed, according to Moody's. Without naming specific managers, the rating agency comments that default rates for more than 85% of managers fell into a range between 5% and 14.5%.

    The average default .......

    News Round-up 10 March 2010

  • Dutch RMBS prepayment index increases

    The weighted-average Dutch RMBS prepayment index increased to 6.08% in Q409 from 4.56% in Q3, according to a report published by S&P. This uptick in constant prepayment rates appears to mirror a slight increase in the number of housing transactions completed in the Netherlands.

    S&P's total delinquency index for Dutch RMBS transactions increased from 1.19% to 1.28%, maintaining its low .......

    News Round-up 10 March 2010

  • Continued stress for UK card ABS

    Fitch says that the UK credit card ABS sector will continue to display signs of stress during this year, with the performance of the underlying receivables continuing to reflect the overall deterioration in the UK's economy. Charge-offs and delinquencies on credit cards in the UK are expected to rise further, although the negative impact on excess spread levels may be .......

    News Round-up 10 March 2010

  • US CLO concentration risk analysed

    S&P has published its quarterly report regarding concentration risk in the outstanding US CLO transactions that it rates as of Q409.

    The rating agency reviewed 645 outstanding rated US cashflow CLOs to determine the concentration risk in CLOs for the period. It then identified the top 100 corporate obligors that appeared most often in the approximately 5,000 corporate obligors that .......

    News Round-up 10 March 2010

  • Defaults continue for Japanese CMBS

    Moody's has released its February 'Japan CMBS: Monthly Loan Performance Report', which provides updates on loans maturing last month, loan payment conditions and defaulted loans, as well as an analysis of the characteristics of loans maturing this month.

    Twelve of the loans backing Moody's-rated Japanese CMBS, together amounting to Y47.8bn (US$531m), matured in February 2010. Two, at Y13.7bn (US$152m), were .......

    News Round-up 10 March 2010

  • Tepid response to CSO tender offer

    A tender offer announced last week by Deutsche Bank for six outstanding series of notes issued by Asgard CDO (see last issue) resulted in just €30m of the €327m series A euro floating rate notes being repurchased. No other notes in the tender offer were accepted for purchase.

    Asgard CDO is a 2005 corporate synthetic CDO managed by Henderson Global .......

    News Round-up 10 March 2010

  • Mangusta loan enforced

    Special servicer Hatfield Philips has enforced the €159m Mangusta loan, originated in 2005 and maturing in July 2012. This follows the transfer of the borrower's interest in the loan from German domiciled entities to an Austrian domiciled entity and the acceleration of the loan.

    Hatfield Philips says it reacted quickly to enforce the loan. The realisation of enforcement rights based .......

    News Round-up 10 March 2010

  • Increased concerns for UK pub sector

    Moody's has published its latest performance update for the UK pub sector covering developments over 2009. The rating agency currently rates the corporate family rating (CFR) of one pub operator, Enterprise Inns, and four whole business property transactions secured by pub portfolios located in the UK.

    In the last two years, the UK pub sector has experienced significant pressure ensuing .......

    News Round-up 10 March 2010

  • Swap headache for numerous ABN-linked ABS

    A number of European ABS, RMBS and CMBS for which RBS NV (formerly ABN AMRO Bank NV) acts as swap counterparty are being monitored by Moody's, following the downgrade to A2 from Aa3 of the long-term senior unsecured debt rating of RBS NV by the rating agency last month.

    In each of the transactions the swap agreement requires RBS to .......

    News Round-up 10 March 2010

  • Long/short credit fund launched

    Henderson Global Investors has launched the Henderson Credit Long Short Fund - a Cayman domiciled hedge fund managed by Stephen Thariyan, head of credit, along with fund managers Thomas Ross and Chris Bullock.

    The Henderson Credit Long Short Fund targets a net return of 10%-12% per annum in a high conviction portfolio. The fund uses simple strategies, investment grade and .......

    Job Swaps 10 March 2010

  • Specially serviced loans surge

    In their latest update on CMBS remittances, securitisation analysts at Barclays Capital note that what was "particularly troubling" for February was the surge in specially serviced current loans. By current balance, more than US$3.3bn of current loans transitioned to their respective special servicer during the month.

    "As we have repeatedly stressed, specially serviced current loans are a strong leading indicator .......

    News Round-up 10 March 2010
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