Complete news archive

  • European ABS/MBS edges wider

    This morning has seen European ABS and MBS spreads edge wider on the back of both fundamentals and technicals.

    Macroeconomic and global geopolitical concerns are entering into the hitherto relatively unaffected European securitised secondary markets giving them more of a selling bias. Auction supply has been added to for today with two further BWICs introduced mid-to-late morning, which potentially could .......

    SCIWire 14 October 2014

  • Risk variations 'not reflected'

    The European Commission's decision to implement only two Solvency 2 capital charges on securitisations across the investment grade rating spectrum does not reflect the variation in risk in these assets, Fitch says. The agency suggests that this is likely to push insurers that invest in securitisations using the standard model to favour assets in the triple-A and triple-B categories.

    The .......

    News Round-up 14 October 2014

  • Crossover tranche trades touted

    Markit iTraxx Crossover tranches are set to begin trading on 20 October. Markit will support four tranches - 0%-5%, 5%-10%, 10%-20% and 20%-100% - but dealers are anticipated to quote the 0%-5% and 5%-10% tranches together as a joint 0%-10% equity tranche (SCI 28 August). Liquidity will likely be focused at the five-year point, given that there is little trading .......

    News Round-up 14 October 2014

  • Call for clarity on single GSE MBS

    SIFMA has sent a comment letter to the FHFA, following the agency's request for input on its proposed structure for a single security that would be issued and guaranteed by Fannie Mae or Freddie Mac (SCI 13 August). The association's response explores both the risks and rewards of the proposed structure, and discusses a number of issues where more clarity .......

    News Round-up 14 October 2014

  • Weakening seen in prime auto collateral

    US prime auto ABS credit quality has been declining since the latter half of 2012, following its strongest-ever levels between 2009-2011, Fitch notes in a special report. The agency says that increased risk appetite is driving a shift in credit quality.

    "Prime auto lenders are showing a higher propensity to lend to non-prime borrowers, which is leading to marginally lower .......

    News Round-up 14 October 2014

  • CLO investment fund listed

    Eagle Point Credit Company has launched an IPO on the NYSE of over 5.15 million shares at a price of US$20 per share. The company is a closed-end fund whose objective is to generate high current income and capital appreciation primarily through investment in equity and junior debt tranches of CLOs. The company is externally managed and advised by Eagle .......

    News Round-up 14 October 2014

  • Lehman reserves revisited

    A group of trustees comprising US Bank, Wilmington, Law Debenture and Deutsche Bank are said to be trying to persuade the bankruptcy court to increase the placeholder reserves allocated to Lehman RMBS holders from US$5bn to US$12.1bn and allow sampling to be used to determine the eventual size of the liability. Barclays Capital RMBS analysts report that an initial analysis .......

    News Round-up 14 October 2014

  • Punch ratings disappoint

    Fitch, Moody's and S&P last week published their new ratings for the restructured Punch A and Punch B whole business securitisations. Barclays Capital European ABS analysts believe that Fitch and S&P's ratings will have disappointed bondholders, given how low they are relative to Moody's ratings.

    The Punch A A1F, A2F and A1V notes are rated Baa2/B+/BB (Moody's/S&P/Fitch), while the M3 .......

    News 14 October 2014

  • Settlement threshold eyed

    A letter from JPMorgan made public last week revealed that the number of accepted trusts/loan groups as of 1 October fails to exceed the 'confidential percentage' agreed between the bank and institutional investors under its rep and warranty settlement. Based on Section 2.03(e) of the modified settlement agreement, this gives the bank the right to terminate the settlement. JPMorgan has .......

    News Round-up 14 October 2014

  • European BWICs get back underway

    After a quiet start to the week on-BWIC thanks to the US holiday, the European ABS/MBS auction calendar starts strongly today with four lists already scheduled.

    Those lists cover in excess of 85m of original face across four auctions totalling 32 line items. There is a wide range of bonds on offer throughout the day and that is typified by .......

    SCIWire 14 October 2014

  • HUD auction 'less competitive'

    The US Department of Housing and Urban Development last week released the results for its latest single family loan sale. Ten different pools - totalling US$2.1bn aggregate UPB and US$2bn aggregate BPO - were offered in the auction and each had geographically diverse non-performing FHA loans.

    The weighted average bid for the ten pools was 70.4% of BPO (65.5% of .......

    News Round-up 13 October 2014

  • SCI Start the Week - 13 October

    A look at the major activity in structured finance over the past seven days

    Pipeline
    Several deals joined the pipeline last week. These included seven ABS, two RMBS, three CMBS and six CLOs.

    The ABS were: €500m A-BEST 10, US$1.107bn Ally Auto Receivables Trust 2014-SN2; US$999m CNH Equipment Trust 2014-C; US$552.63m GE Dealer Floorplan Master Note Trust Series 2014-2; US$376m PFS Financing Corp Series 2014-B; SCFI Rahoituspalvelut; and US$150.82m Silverleaf Finance XVIII Series 2014-A.

    Brass .......

    News 13 October 2014

  • CMBS pay-offs dip

    The percentage of US CMBS loans paying off on their balloon date dipped sharply in September to 53.3%, according to Trepp, six points lower than the August rate of 59.3%. The rate came in below the 12-month moving average of 68.5%.

    Trepp suggests that the low September reading and the lower trend over the last few months may reflect the .......

    News Round-up 13 October 2014

  • Resolutions drive late-pays lower

    US CMBS late-pays fell by 8bp in September to 4.77% from 4.85% a month earlier, according to Fitch's latest index results for the sector. Delinquency rates for all major property types also improved in September, with the exception of hotel.

    Resolutions of US$571m outpaced new additions to Fitch's index of US$410m during the month. Both resolutions and new delinquencies slowed .......

    News Round-up 13 October 2014

  • Manager to spin off advisory groups

    Blackstone's board of directors has approved a plan to spin off its financial and strategic advisory services and its restructuring and reorganisation advisory services, as well as its Park Hill fund placement businesses. These businesses would then be combined with PJT Partners.

    The new entity would be an independent company led by PJT Partners' founder Paul Taubman. Before founding PJT .......

    Job Swaps 13 October 2014

  • Investor expectations rise

    European credit investors expect the ECB's purchase programme to influence both supply and spreads in the structured finance market, according to Fitch's latest investor survey. Nearly 60% of respondents expect structured finance issuance to increase over the next 12 months, compared with 33% in the agency's previous survey. The 3Q14 reading is the highest in the history of the survey .......

    News Round-up 13 October 2014

  • ISDA stay protocol inked

    Eighteen major global banks have agreed to sign a new ISDA Resolution Stay Protocol, which has been developed in coordination with the Financial Stability Board to support cross-border resolution and reduce systemic risk. The move represents a major step in strengthening systemic stability and reducing the risk that banks are considered 'too big to fail', the association says.

    The Protocol .......

    News Round-up 13 October 2014

  • LCR changes still penalise ABS

    As well as the release of the delegated acts under the Solvency 2 directive, the European Commission (EC) has updated its required liquidity coverage ratio (LCR) and its definition of high quality liquid assets (HQLA). All told, the treatment of securitisation has improved considerably, but remains less favourable than covered bonds.

    The LCR is intended to ensure banks hold sufficiently liquid .......

    News 13 October 2014

  • FDIC returns to mezz

    The 11th FDIC Trups CDO BWIC sees the agency return to mezz paper following two less enthusiastically received auctions offering only senior bonds. Overall size is up a little too, to $61.5m, which could also help produce a return to the strong execution levels and on the follow auctions seen in the sector alongside FDIC mezz lists earlier in the .......

    SCIWire 13 October 2014

  • US RMBS moves to a holding pattern

    Non-agency RMBS has moved into a holding pattern after a busy week as the long US weekend approaches and geopolitical concerns continue to impact other markets.

    This week sprang into life with the introduction of a $900m legacy BWIC on Wednesday, which was followed by strong auction volume yesterday. By late this morning around $150m was circulating for bid today .......

    SCIWire 10 October 2014

  • 'Intuitive' analytics tool offered

    TransUnion has partnered with Digilant Analytics to provide INTEXcalc subscribers with their Mortgage Risk Metrics (MRM) non-agency solution, which combines the power of borrower-level credit data, loan-level mortgage data and predictive analytics. The offering integrates TransUnion's anonymised consumer credit data with loan-level mortgage data and Digilant's predictive analytics to provide a familiar and intuitive analytics framework for non-agency RMBS traders, .......

    News Round-up 10 October 2014
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