Complete news archive

  • Tranche market transitioning

    The European credit index tranche market is transitioning from being dominated by legacy positions towards a regime based on on-the-run products. Markit iTraxx Series 21 tranches launched in March are said to have had a good take-up, while interest in bespoke CSOs appears to be re-emerging.

    "The current market - based predominantly on the Series 9 portfolio - is unsustainable .......

    News 18 June 2014

  • Core commercial prices outperforming

    US core commercial prices have surpassed apartment prices by four percentage points over the last 12 months, according to the latest Moody's/RCA CPPI report. Core commercial prices have risen to 16.4%, compared with 12.4% for apartments.

    "Over the last year, all core commercial sectors have had double-digit price increases, with central business district office performing the strongest," says Moody's director .......

    News Round-up 18 June 2014

  • Investors ignoring Scottish exit risk?

    Investors in the UK RMBS market appear to have largely ignored the potential risk of Scotland voting for independence from the UK. While Scotland is expected to vote to remain in the union, a number of fiscal powers could still be transferred to the Edinburgh parliament.

    This base-case scenario would have no impact on RMBS transaction cashflows or investor perceptions .......

    News 18 June 2014

  • Trups CDO defaults remain stable

    The number of combined US bank Trups CDO defaults and deferrals remained stable at 24.4% at end-May, compared with the previous month, according to Fitch's latest index results for the sector. Across 78 Trups CDOs, 230 bank defaulted issuers remain in the portfolio, representing approximately US$6.6bn of collateral. Additionally, 223 issuers are currently deferring interest payments on US$2.6bn of collateral.

    News Round-up 18 June 2014

  • Russian framework 'credit positive'

    The new Russian structured finance legislative platform is credit positive for the country's securitisation market, says Moody's. The agency notes that the new framework contains the key elements required for a broad range of securitisation and project finance structures and will provide onshore alternatives to securitisation transactions that were previously possible only via offshore issuing vehicles.

    "The new legislation limits .......

    News Round-up 18 June 2014

  • V tranche benefits from hyper-amortisation

    The US$58.7m Citizens Bank Portfolio, securitised in BACM 2006-5, has paid off in full almost three years after its anticipated repayment date (ARD) of July 2011. The loan also received US$4.1m in other interest proceeds, which weren't applied to the typical interest waterfall but instead were diverted to the residual V tranche.

    Barclays Capital CMBS analysts explain that the V .......

    News Round-up 18 June 2014

  • Growth pains

    European CLO market constraints examined

    European CLO issuance volume is expected to reach €10bn-€15bn across 30 transactions this year. Risk retention requirements and the availability of collateral continue to constrain the growth of the leveraged loan CLO market, while a number of hurdles are impeding the re-emergence of SME CLOs.

    European leveraged loan CLO structures are likely to remain standardised, with tranches rated Aaa to .......

    News Analysis 18 June 2014

  • SROs to provide CDS consistency

    The 2014 ISDA CDS definitions have been published and will be implemented in September (SCI passim). One of the main changes from previous definitions is the adoption of a single standard reference obligation (SRO) for standard CDS contracts, which will apply to all trades on a reference obligation at a particular seniority level.

    Other significant changes in the definitions include .......

    News 17 June 2014

  • Compression trades

    European ABS relative value discussed

    Spread compression has made identifying relative value in the European ABS market more difficult. However, panellists participating in IMN's Global ABS research analyst roundtable agreed that opportunities remain in certain peripheral RMBS, UK non-conforming RMBS and CMBS bonds.

    Shammi Malik, head of European ABS trading at Stormharbour, noted that the compression trade has gained such momentum that from a relative .......

    News Analysis 17 June 2014

  • Agency names add to CMBS supply

    US CMBS secondary market spreads did not move too much yesterday, but BWIC volume was up strongly to reach US$517m. Supply to start the week was boosted by a number of agency securities, with SCI's PriceABS data recording a range of vintages across the segment.

    Among the agency CMBS names out for the bid yesterday, the FHMS K006 .......

    Market Reports 17 June 2014

  • Bank settlements delayed further

    The deadline for acceptance under the proposed JPMorgan rep and warranty settlement has been extended to 1 August to allow the trustees to complete their evaluations of the proposed settlement. At the same time, oral arguments under the motion to reargue that was filed by objectors to the Countrywide rep and warranty settlement have been adjourned from 9 July to .......

    News Round-up 17 June 2014

  • Indices add credit ratings data

    Fitch's structured finance ratings have been incorporated into Bloomberg's global bond indices. The data also feeds into specific rating level, customisable criteria that market participants can use to generate their own bespoke indices.

    The Bloomberg global bond index family covers 43 currencies and provides independent benchmarks for the global fixed income markets. Fitch's credit ratings data from its corporate, financial .......

    Job Swaps 17 June 2014

  • iTraxx Financials expansion mooted

    Markit is requesting feedback regarding the possible expansion of the iTraxx Financials index from 25 to 30 names during the September 2014 index roll. Providing there is support for the move, the selection of the first 25 entities will continue to be based on the DTCC roll report, but alternative selection criteria would be considered for the additional five names.

    News Round-up 17 June 2014

  • RMBS methodology released

    Morningstar Credit Ratings has published a new methodology for US RMBS ratings. In addition to prime jumbo, alternative-A and subprime RMBS, the methodology covers agency risk-sharing securities and securities backed by non-qualified mortgages, non-performing loans and re-performing loans.

    The agency says that the rating methodology has been developed to be forward-looking, yet incorporate the lessons learned in differing economic circumstances. .......

    News Round-up 16 June 2014

  • Pub acquisition welcomed

    Mitchells & Butlers has acquired 173 Orchid pubs for £266m on an EBITDA multiple of 10 times, after taking into account cost savings and synergies. Barclays Capital European asset-backed analysts view the move as a slight positive for the pub securitisation, since assets will be retained within the overall group rather than using group cash for a special dividend.

    The .......

    News Round-up 16 June 2014

  • SDART payment error corrected

    Santander Consumer USA (SCUSA) last week made a US$71m capital contribution to correct a payment distribution error in the SDART 2013-5 class A2 notes. Moody's notes in its latest Credit Outlook that such servicer error and lapses in transaction governance are operational risks in securitisations that financially strong servicers can remedy, if necessary.

    The transaction documents for SDART 2013-5 specify .......

    News Round-up 16 June 2014

  • State law RMBS claims continue

    A federal judge has ruled in New York that the NCUA can proceed with its state law claims against UBS Securities in one of several actions it filed as liquidating agent of Southwest Corporate Federal Credit Union and Members United Corporate Federal Credit Union, according to a Lowenstein Sandler memo. The actions are related to RMBS purchases (SCI 25 September .......

    Job Swaps 16 June 2014

  • SCI Start the Week - 16 June

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

    Pipeline
    Conferences in Europe and the US limited pipeline activity last week, although seven CLOs were announced. Two ABS, an ILS, two RMBS and three CMBS were also added to the pipeline.

    The newly-announced ABS were A$242.24m Flexi ABS Trust 2014-1 and Hollis II 2014-1. The ILS was Queen Street X.

    Berica ABS 3 and the A$490-equivalent Firstmac Mortgage .......

    News 16 June 2014

  • Risk management firm adds RMBS vet

    RiskSpan has appointed Kathy Kelbaugh as md. She is based in Philadelphia.

    Kelbaugh was most recently vp at Moody's, where she focused on private label RMBS. She has also worked at GMAC, Ultraprise Corporation, GE Capital Mortgage Services, PHH Mortgage Corporation and PSFS.

    .......

    Job Swaps 16 June 2014

  • Unusual pay-outs reported

    The US$20m 4001 North Pine Island Road loan has been liquidated for US$7.5m, resulting in unusual pay-outs for the JPMCC 2006-CB15 CMBS. The loan generated US$7.5m, but the entire balance was used to pay expenses totalling US$7.8m, according to Barclays Capital CMBS analysts.

    "Expenses were so high because of a modification applied to the loan in 2009. As a result .......

    News Round-up 16 June 2014

  • Delinquencies hit 2009 low

    US CMBS delinquencies declined by 16bp in May to 4.97% from 5.13% a month earlier, according to Fitch's latest index results for the sector. Marking the first time the rate has stood below 5% since December 2009, the decline was led by a handful of dispositions from JPMCC 2007-LDPX, including two loans over US$50m (see SCI's CMBS loan events News Round-up 16 June 2014

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