Complete news archive

  • Post-crisis single-Bs outperform

    The total amount of CLOs paid down in JPMorgan's Collateralised Loan Obligation Index (CLOIE) since the October rebalance through 30 November was US$9.62bn in par outstanding, split between US$1.96bn and US$7.66bn of pre-crisis and post-crisis CLOs. US$17.3bn was added to the post-crisis CLOIE across 182 tranches from 40 deals at the November rebalance.

    CLOIE extended a streak of five straight .......

    News Round-up 2 December 2016

  • US CLOs keep busy

    The busy end to November has continued into December for the US CLO secondary market.

    "Secondary is a little busier than it has been," says one trader. "Trading desks have had a very good year and are now looking to position themselves for next year."

    This week's pick-up in secondary volumes is being assisted by a couple of additional factors, .......

    SCIWire 1 December 2016

  • Charge-off record reversed

    US credit card ABS 60-plus day delinquencies and charge-offs are up slightly from previous record lows, according to Fitch. After remaining below 1% for the last six months, Fitch's index shows an increase in 60-plus day delinquencies and charge-offs to 1.01% for the month of November, although the level remains well below the historical high of 4.54% in December 2009.

    News Round-up 1 December 2016

  • STACR listings to be pulled

    Freddie Mac will request that its STACR debt notes, as well as debt securities and mortgage securities, no longer be admitted to trading on the relevant markets in Luxembourg and Ireland. It expects to formally initiate the delisting process with the Luxembourg and Irish stock exchanges by 1Q17.

    As a result of the listings on the European stock exchanges, Freddie .......

    News Round-up 1 December 2016

  • CIRT pricing detail provided

    Fannie Mae is now making additional disclosures for its Credit Insurance Risk Transfer (CIRT) programme. Effective immediately, the GSE is disclosing pricing information for all of its deals dating back to 2014, when the CIRT programme began.

    The additional information complements the disclosures that Fannie Mae has already been providing on its website, including copies of final insurance documents and .......

    News Round-up 1 December 2016

  • Delinquencies continue to climb

    The Trepp US CMBS delinquency rate continued to climb in November, reaching 5.03%, an increase of 5bp from October. The rate is now only 10bp lower than the year-ago level and 14bp lower since the beginning of the year.

    CMBS loans that were previously delinquent but paid off with a loss or at par totalled about US$800m last month. Removing .......

    News Round-up 1 December 2016

  • RPL RMBS characteristics surveyed

    Re-performing loan (RPL) RMBS issuance has remained steady since the launch of the first transaction, Towd Point Mortgage Trust 2015-1, last year. Moody's expects volumes in the sector to increase, given the steady supply of non-performing loans and RPLs from ongoing sales by the US Department of Housing and Urban Development (HUD), the GSEs and various banks.

    As of 30 .......

    News Round-up 1 December 2016

  • Euro ABS/MBS distracted

    New deals are continuing to keep focus way from the European ABS/MBS secondary market.

    "Primary is still distracting most players, with a couple of new deals in particular drawing most attention right now," says one trader. "The Red & Black autos deal is pretty straightforward, but the next Towd Point issue is more complex and it's taking a bit of .......

    SCIWire 1 December 2016

  • Tip of the iceberg?

    ABS impact investment to rise as green bonds gain traction

    Securitisation is increasingly recognised as providing the 'double bottom-line' benefits sought by impact investors. Indeed, the number of impact investors allocating to ABS is expected to continue rising alongside issuers seeking to broaden their investor base, despite the election of reported climate change denier Donald Trump.

    Impact investment is growing, with a number of bond funds - such as BlackRock .......

    News Analysis 30 November 2016

  • Recovery analysis RFC issued

    S&P is requesting feedback on its structured finance recovery analysis of US RMBS, US and Canadian CMBS and global CLOs. The rating agency's intention is to provide information that looks beyond its first-dollar-of-loss credit ratings in cases where its credit ratings are limited because of timeliness of payments, and to facilitate greater credit differentiation within its existing credit rating categories.

    News Round-up 30 November 2016

  • Retailer's exposure 'at risk'

    Hhgregg has reported lower earnings for the second fiscal quarter ended 30 September, following a series of store closures. Morningstar Credit Ratings suggests that the move may foreshadow a decline in the retailer's brick-and-mortar presence, potentially putting 43 properties backing US CMBS loans - totalling US$2.64bn in allocated property balance - at risk.

    "While we do not expect a slew .......

    News Round-up 30 November 2016

  • CLO performance predicted

    US CLO performance should be stable in 2017 as corporate defaults recede, says Moody's. Despite a weak macro outlook, European CLO performance should also be stable.

    The credit quality of loans in new US CLOs is anticipated to weaken, despite regulatory discipline, as investor demand for loans outstrips supply. CLO credit quality is not expected to change substantially, with the .......

    News Round-up 30 November 2016

  • Dynamic RMBS model introduced

    DBRS has launched the UK RMBS Insight Model, which aims to offer a different way to forecast expected defaults and losses of UK residential mortgages. The tool combines a loan scoring approach and dynamic delinquency migration matrices to calculate loan-level defaults and losses.

    The loan scoring model and dynamic delinquency migration matrices were developed using historical UK data for loan, .......

    News Round-up 30 November 2016

  • Trustee service expands in Korea

    BNY Mellon has been granted a full All Asset Trust License status in Korea. The move will enable the firm to provide trustee services for the domestic market, expanding its international services to Korean clients.

    The All Asset Trust License complements BNY Mellon's Money Trust License, growing its trustee services capabilities from money receivables trusts to intangible property rights. The new license .......

    Job Swaps 30 November 2016

  • Liquidity stress anticipated

    Fitch believes that demonetisation could lead to a short-term liquidity stress in Indian auto ABS transactions. The agency suggests that providing the stress is limited to a few months, it is unlikely to result in pressure on ratings.

    India began to withdraw high-denomination bank notes - that account for 86% of the value of currency in circulation - earlier this .......

    News Round-up 30 November 2016

  • EMEA SME ABS trends to continue

    EMEA SME ABS market activity and deal characteristics will be driven by a broad array of originators' objectives, says Moody's. The trend for disintermediation will lead to more marketplace lending and SME CLO transactions, with the rating agency expecting performance to remain stable across all major markets.

    Originators have multiple objectives, such as tapping either the public market or targeting .......

    News Round-up 30 November 2016

  • US CLOs pick-up

    US CLO BWIC volumes are picking up post-Thanksgiving.

    "We're seeing a spike in BWIC volume over the next few days, which isn't unusual after a long holiday-related gap in activity," says one trader. "Today primarily involves single-As and some double-As driven by a long list from a large insurance company testing the market; while tomorrow's highlight is a sizeable equity .......

    SCIWire 29 November 2016

  • SFR portfolio values on the rise

    KBRA has affirmed each of the 151 ratings it has outstanding in the single-family rental securitisation sector, as part of a broader overview. The ratings are assigned to 26 single-borrower transactions - each of which is collateralised by a single loan - with the underlying loans having an aggregate balance of US$15.6bn, secured by 105,310 SFR properties.

    The rating agency finds that property .......

    News Round-up 29 November 2016

  • Mortgage originations 'have peaked'

    The FHFA's decision to raise conforming loan limits for the first time in a decade has been welcomed by the mortgage industry, but Kroll Bond Rating Agency does not believe it will be a meaningfully positive factor for future residential mortgage loan originations. Rather, KBRA believes 2016 may have been the peak for lending volumes for the next several years.

    News Round-up 29 November 2016

  • VM protocol launched

    ISDA and IHS Markit have launched the ISDA 2016 Variation Margin Protocol on ISDA Amend. It automates the process for amending existing collateral documents or setting up new agreements in order to comply with new variation margin requirements going into effect on 1 March 2017.

    The ISDA Amend platform enables counterparties to share questionnaires through a central online platform, removing .......

    News Round-up 29 November 2016

  • CRR boost?

    The European Commission's CRR 2 reforms, which it unveiled last week, include proposals that appear to increase the attractiveness of securitisation in connection with the leverage ratio and net stable funding ratio (NSFR). The package embeds three main Basel 3 elements into EU law: the fundamental review of the trading book (FRTB), the leverage ratio and the NSFR.

    IFRS accounting .......

    News 29 November 2016
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