Complete news archive

  • Further actual-loss deals expected

    Fitch expects more US GSE securitisations to be issued in 2H15. The agency says that Freddie Mac's first two actual-loss risk-sharing transactions are a sign that US RMBS investors are willing to buy more risk.

    As per Freddie Mac's first two STACR DNA transactions, losses are passed to investors based on actual recoveries at loan liquidation. All previous risk-sharing transactions from .......

    News Round-up 15 July 2015

  • EMIR classification letter published

    ISDA has published a new classification letter that will enable counterparties to notify each other of their status for clearing and other regulatory requirements under EMIR. The letter allows counterparties to bilaterally communicate their status by answering a series of questions.

    The aim is for derivative users to know and communicate their classification status to counterparties in advance of the .......

    News Round-up 15 July 2015

  • APAC ratings stay solid

    Fitch says it affirmed a total of 111 Asia-Pacific structured finance tranches in 2Q15. During the quarter, 10 Australian tranches, one Japanese tranche and one Chinese tranche were upgraded, while one ABCP conduit from Australia was downgraded.

    The agency claims that rating actions in Australia continued to be supported by a strong economy, with most ratings affirmed in the quarter. .......

    News Round-up 15 July 2015

  • FFELP payment scenarios tested

    Moody's has provided illustrative examples of how slow pay-down rates could affect the pay-off dates of ABS backed by FFELP non-consolidation student loans. This follows the agency's recent request for comment (SCI 10 July) on proposed changes to the cashflow assumptions it uses to rate FFELP securitisations.

    For its analysis, Moody's assumed that 'Securitisation 1' had a lower voluntary prepayment rate .......

    News Round-up 15 July 2015

  • Italian SME arrears to drop

    The stronger credit quality of Italian companies will accompany lower arrears in deals that securitise SME loans, according to Moody's. However, the agency believes that regional inequality will persist, with northern Italy outpacing the rest of the country due to the better credit quality in the area.

    "The crisis hit small Italian companies hard, but the north was comparatively more .......

    News Round-up 15 July 2015

  • Bulk liquidation completed

    July remittances indicate that US$109.85m across 14 loans securitised in MLCFC 2007-7 has been disposed of at a 61% severity in a bulk liquidation. Four of the loans had previously been bid for auction in May.

    Barclays CMBS analysts note that the disposals generally came in below appraisal, with recoveries of US$63.98m versus updated appraisals totalling US$67.22m. The US$6.4m 4220 .......

    News Round-up 15 July 2015

  • New risk sharing deal debuts

    Fannie Mae has completed an additional credit risk sharing transaction - CIRT 2015-1 - that aims to further diversify its counterparty exposure and reduce taxpayer risk by increasing the role of private capital in the mortgage market. The credit insurance risk transfer (CIRT) deal shifts credit risk on a pool of mortgage loans to a panel of reinsurers.

    In this .......

    News Round-up 15 July 2015

  • Euro secondary improves

    After a long period in the doldrums things look to be improving for the European securitisation secondary market.

    "Overall tone was much better yesterday," says one trader. "Notably, we saw good activity in both UK and Dutch prime, so there's more liquidity there and prices are marginally better."

    The trader continues: "Peripherals too are improving with sentiment generally much better, .......

    SCIWire 15 July 2015

  • CLO supply booms in June

    June's US$14.6bn in US CLO supply is the third highest monthly figure of all time and nearly US$1bn more than the pre-crisis record of US$13.7bn set in November 2006, according to JPMorgan CLO analysts. However, a recent survey undertaken by the analysts outlines ongoing concerns over challenging arbitrage and a lack of collateral.

    Softer CLO liabilities may be somewhat blunted .......

    News Round-up 14 July 2015

  • CMBS delinquencies climbing

    US CMBS delinquencies climbed slightly last month led by two large newly delinquent loans, according to Fitch's latest index results for the sector. Loan delinquencies rose 6bp in June to 4.54% from 4.48% a month earlier, while the dollar balance of late-pays increased by US$65m to US$17.17bn from US$17.1bn in May.

    The rise was driven by new delinquencies of US$876m .......

    News Round-up 14 July 2015

  • CRT, NPLs 'both attractive'

    Macro developments over the last few weeks have pushed residential credit wider, with CRT spreads at the LCF level now around 40bp wider than in April. However, fundamentals in this space are unlikely to be affected by those macro events and so LCF bonds could present an attractive buying option.

    The is "especially [true] on deals with some seasoning or enhancement. .......

    News 14 July 2015

  • RMBS settlement resolutions 'years away'

    Several recent legal developments could affect cashflow distributions from ongoing settlements and lawsuits. Morgan Stanley analysts believe these developments could also affect the likelihood of investors recouping any cash from future settlements.

    Citigroup's ongoing US$1.125bn settlement is well shy of Countrywide (US$8.5bn) or JPMorgan (US$4.5bn), but is unusual in having no investors object to it. Countrywide attracted the majority of the .......

    News 14 July 2015

  • Volatility to benefit auto ABS

    Auto ABS should benefit if overall conditions remain volatile in the broader securitisation markets, says Bank of America Merrill Lynch analysts. As markets recover, spreads likely will remain unchanged with higher yielding opportunities presenting themselves in other markets.

    The spread for three-year, triple-A rated prime auto loan ABS widened in 2Q15 and into the current quarter by 11bp since the end .......

    News Round-up 14 July 2015

  • CMBS auction listings dip

    The latest update of CMBS auction listings includes 40 properties from 36 CMBS loans with an allocated balance totalling US$179m, according to Barclays Capital analysts. Barcap figures reveal that the volume is somewhat lower than it was in 1H15, and the average property balance is also smaller than in past months with only three properties having an allocated balance over US$10m.

    GCCFC .......

    News Round-up 14 July 2015

  • ECB guideline impact 'mixed'

    The ECB's recent ABSPP purchasing guidelines (SCI 8 July), which followed the EBA's proposed lower risk weights for certain qualifying securitisations (SCI 26 June), will likely shape the nature of new deals at least in the euro-area, according to Citi analysts. However, certain elements of the guidelines could actually work against the ECB's desire of reviving ABS markets.

    As an example, despite .......

    News Round-up 14 July 2015

  • Jumbo RMBS on record pace

    US prime jumbo RMBS is on pace to exceed last year's issuance levels after another strong quarter, reports Fitch. Eight RMBS deals came to market in 2Q15, only slightly below the previous quarter in volume, combining to roughly US$7.1bn of issuance for 1H15.

    In comparison, the 2014 total of issuance was US$8.3bn, while 2013 saw a figure of US$13.1bn. "Only .......

    News Round-up 14 July 2015

  • Green Oak receives hope note mod

    July remittance indicates that the US$62m Green Oak Village Place retail plaza in Brighton, Michigan, received a large hope note modification. The retail centre loan securitised in BACM 2007-5 had re-defaulted in December 2012 after receiving an earlier modification in 2009 that resulted in a partial pay-down, and the most recent appraisal of the property in March 2014 had placed it .......

    News Round-up 14 July 2015

  • 'High quality' managers negating risk

    The top 20 European CLO 2.0 issuers account for €3.31bn, or 28%, of a total €11.5bn of collateral, says Moody's. In addition, the largest issuers have better weighted-average rating factors (WARF), at 2526, than the greater European CLO 2.0 universe, at 2944.

    "European CLOs 2.0 are beset by heavy concentration: both in terms of their obligors and their exposure to .......

    News Round-up 14 July 2015

  • FFELP doubts, opportunities arise

    Despite a number of recent headwinds, bondholders in the FFELP ABS sector should ride out the current waves, JPMorgan analysts suggest. However, the very real possibility of money-good bonds backed by US government guaranteed collateral falling off the rating precipice from triple-A down to non-investment grade means the situation could worsen in the short term.

    With the current state of the .......

    News Round-up 14 July 2015

  • AOFM announces auctions

    The Australian Office of Financial Management (AOFM) has confirm that its third RMBS auction will take place on 18 August. It has also notified the market that its fourth auction will take place on 15 September.

    The August auction will incorporate up to A$500m in amortised face value. It will include tranches such as Barton 2011-1 A2, SMHL 2008-2 A1 .......

    News Round-up 14 July 2015

  • 15-year Freddie K debuts

    Freddie Mac issued its first 15-year K programme CMBS last week under the ticker FREMF 2015-K1501, reports Wells Fargo. The 14.5-year WAL LCF A3 tranche priced 2bp tighter than the original price talk, in contrast to the week-over-week spread widening for most structured products.

    Freddie Mac guarantees the payment of principal and interest on FREMF 2015-K1501 A3, even though the .......

    News Round-up 14 July 2015
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