Complete news archive

  • Call likelihood gauged

    US RMBS clean-up call activity picked up in 2Q14, with 10 deals called during the period versus six in the previous quarter. Together with lower rates, one factor that may be contributing to the up-tick is rising prices for non-performing/re-performing loans.

    "If rates stay range-bound and NPL/RPL markets remain strong, call activity will likely stay elevated," Barclays Capital RMBS analysts .......

    News 20 August 2014

  • Call for Fed MBS exclusion

    The US fixed income indices commonly used by money managers exclude Fed Treasury holdings when calculating their composition but include its RMBS holdings. However, money managers would likely be overweight MBS rather than underweight if the Fed's RMBS holdings were also excluded.

    The Fed's Treasury holdings have historically been excluded from fixed income indices. But after the Fed began buying .......

    News 20 August 2014

  • US Steel CDS tighter on cost cutting

    Credit default swap (CDS) spreads on United States Steel Corporation have tightened to levels not seen since 2010, according to Fitch Solutions in its latest CDS case study. Five-year CDS on US Steel tightened by 29% over the past month.

    Credit protection on US Steel's debt is pricing 56% lower compared to a year ago - the tightest levels seen .......

    News Round-up 20 August 2014

  • Bond insurance value recognised

    Bond insurance can have significant value, even when the bond insurer is rated the same or lower than the underlying rating on the wrapped bond, Fitch suggests. In the agency's view, the more important rating relationship is the relative difference between the bond insurer's rating and the underlying bond rating at the time the wrapped bond comes under stress.

    "As .......

    News Round-up 20 August 2014

  • Credit funds hit by redemptions

    Hedge fund assets declined by 0.49% in July, according to eVestment, with performance accounting for the majority of the dip. Though positive for the seventh consecutive month at US$4.9bn, investor flows were below the last twelve-month inflow average of US$14.6bn.

    The primary reason for muted net inflows in July appears to be redemptions from credit strategies, which saw US$2.4bn redeemed .......

    News Round-up 20 August 2014

  • Subprime auto delinquencies moderating

    Moody's does not expect US subprime auto loan losses to reach crisis levels. The agency explains that although delinquencies have risen over the last few years, they remain below the levels at the height of the financial crisis and have started to moderate.

    "Subprime auto lenders have already started to rein in lending to weaker credit-quality borrowers," says Moody's svp .......

    News Round-up 20 August 2014

  • Solocal CDS settled

    The final price for Solocal Group (formerly known as PagesJaunes Group) LCDS was determined to be 88.5 at yesterday's auction (SCI 21 July). Three dealers submitted initial markets, physical settlement requests and limit orders to settle trades across the market referencing the name.

    Separately, ISDA's Americas Determinations Committee has delayed the Argentine Republic CDS auction until after the US Labor .......

    News Round-up 20 August 2014

  • Watching waterfalls

    Call for increased derivatives disclosure in securitisations

    A first step towards creating a safe and transparent ABS market in Europe, in line with recent ECB rhetoric, could be greater scrutiny of cashflow waterfalls. A list of items that securitisation issuers should disclose has been put forward to facilitate such scrutiny.

    "Derivatives contracts at the top of cashflow waterfalls mean that most securitisations, in their current form, are .......

    News Analysis 20 August 2014

  • Risk-transfer trigger test breached

    CAS 2014-C01 subordinate bonds are expected to be locked out from unscheduled principal for the August remittance, after five loans were removed from the pool last month. The development is not believed to be a cause for concern, however.

    The five loans turned 180-days delinquent last month, resulting in a credit event and their subsequent removal from the pool. This .......

    News Round-up 19 August 2014

  • Cat bonds affirmed on annual resets

    S&P has affirmed its ratings on five natural-peril catastrophe bonds issued by three different issuers, which had annual resets of the probability of attachment. The affected tranches are: Compass Re Series 2011-I classes 1, 2 and 3; Embarcadero Re Series 2012-II class A; and Northshore Re Series 2013-I class A.

    In each case, the probability of attachment was reset to .......

    News Round-up 19 August 2014

  • Greek sovereign ceiling lifted

    Moody's has upgraded 20 tranches, affirmed one and placed another on watch for upgrade across nine Greek structured finance transactions. The move follows the raising of Greece's country ceiling to Ba3 from B3 and its sovereign rating to Caa1 from Caa3. The agency has also reassessed collateral performance and revised portfolio assumptions in three transactions.

    Moody's notes that the raising .......

    News Round-up 19 August 2014

  • Additional issuance for Euro CLO 2.0

    Dryden XXVII Euro CLO 2013 subordinated noteholders have approved the creation and issuance of additional notes via a written resolution, at the request of the issuer. The move follows the replacement of PIM Foreign Investments as risk retention holder on the transaction with the collateral manager Pramerica Investment Management.

    The issuer notified noteholders on 13 August that it wishes to .......

    News Round-up 19 August 2014

  • RFC issued on LMI assessment

    S&P is requesting comments on its proposed revision of the methodology for assessing lenders' mortgage insurance (LMI) as a form of credit enhancement in global RMBS, global covered bonds and debt ratings in the US municipal housing sector. The proposal takes into consideration the recent experience of mortgage insurance pay-out adjustments in certain markets under stressful economic conditions.

    In determining .......

    News Round-up 19 August 2014

  • Servicer advances 'attractive' despite headline risk

    Ocwen and HLSS last week announced that they will restate their financial statements for 2013 and 1Q14 and delay filing their second-quarter 10-Qs until the revisions have been completed. The move is due to a change in how Ocwen accounts for the valuation of 'rights to MSRs' that it had earlier sold to HLSS, according to Barclays Capital RMBS analysts.

    News 19 August 2014

  • SCDO counterparty criteria released

    S&P has released criteria for assessing counterparty risk in terminating synthetic CDO and credit-linked note transactions, including risks associated with the bankruptcy of the counterparty. The criteria align the rating levels at which the counterparty commits to begin posting under terminating transactions with the minimum eligible counterparty ratings established in the agency's counterparty risk criteria.

    Terminating transactions are structured such .......

    News Round-up 19 August 2014

  • Aviation attorney recruited

    Vanessa Gage has joined Reed Smith as a partner in San Francisco, where she is a member of the firm's financial industry group. Gage was previously an attorney in Mayer Brown's New York office, where she focused her practice on asset-based lending, securitisation and other structured products. She is especially known for her work on major aviation and rail deals.

    .......

    Job Swaps 19 August 2014

  • Valuations handbook released

    Voltaire Advisors has published its 2014 Valuation Risk Handbook, which aims to provide a true 'state of the nation' picture of the current valuations of financial assets landscape. The report covers ongoing developments in the regulatory and standards fields, including global valuations standards efforts, the fair value pricing of US mutual funds and the implications for valuation of the AIFMD .......

    News Round-up 18 August 2014

  • Trups CDO cures continue

    The number of US bank Trups CDO combined defaults and deferrals decreased to 22.7% at end-July, compared with 22.9% at end-June, according to Fitch's latest index results for the sector. In July, seven banks deferring interest on a total notional of US$65.6m across 14 CDOs cured. Of these banks, three - representing US$26.5m in notional - were due to reach .......

    News Round-up 18 August 2014

  • CMBS 2.0 loan prepays

    The US$19.5m Acropolis Gardens Realty Corp loan, securitised in WFRBS 2013-C15, has paid off with a prepayment penalty (see SCI's CMBS loan events database). The building is a multifamily property in Queens, New York, that consists of condominium and cooperative units dependent on maintenance payments to pay debt service.

    This led to a low underwritten LTV of 14.1%, .......

    News Round-up 18 August 2014

  • Punch seeking further support

    Punch Taverns has announced that its restructuring proposals for the Punch A and Punch B securitisations have the support of a broad range of stakeholders, which in aggregate own or control around 65% of the notes and around 54% of the equity share capital of the pubco. However, implementation of the proposals is conditional upon the approval of shareholders, all .......

    News Round-up 18 August 2014

  • CMBS resolutions hit lows

    US CMBS delinquencies were unchanged in July at 4.87%, bringing an end to 15 consecutive months of declines in which the rate dropped by 276bp from 7.63%, according to Fitch's latest index results for the sector. Resolutions of US$462m and new delinquencies of US$398m last month marked post-recession lows, with the overall rate unchanged due to a decrease in the .......

    News Round-up 18 August 2014
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