Complete news archive

  • US RMBS supply rises

    US non-agency RMBS secondary market activity continued to build yesterday. BWIC volume reached around US$850m and SCI's PriceABS data shows raised supply across fixed-rates, hybrids and subprime.

    The oldest-vintage tranche captured in yesterday's session was WFMBS 2003-J 2A1. The tranche traded yesterday but had only previously appeared in the PriceABS archive in November 2012, when it .......

    Market Reports 4 April 2014

  • ILS manager adds two

    Hiscox Re subsidiary Kiskadee Investment Managers has appointed Richard Lowther as coo and Alan Cossar as non-executive chairman of its two new ILS funds. Both will be based in Bermuda.

    Lowther takes responsibility for day-to-day operations and overall infrastructure. He was previously at AlphaCat Managers and has also worked at JLT Insurance Management and Marsh Management Services.

    Cossar will provide .......

    Job Swaps 4 April 2014

  • Aussie regulators provide OTC thoughts

    A report on the Australian OTC derivatives market has been released by three of the country's regulators. It provides updated recommendations on mandatory requirements for central clearing, platform trading and trade reporting of OTC derivatives.

    The report comes from the Reserve Bank of Australia, Australian Prudential Regulation Authority and the Australian Securities and Investments Commission. Among their recommendations, they advocate .......

    News Round-up 4 April 2014

  • Lewtan to support RBA system

    The Reserve Bank of Australia's RBA Securitisations System will be supplied and supported by Lewtan. The system will enhance risk analysis of eligible securities, including under the forthcoming Committed Liquidity Facility (CLF), established as part of Australia's implementation of Basel 3 liquidity reform.

    The system will collect data required to be reported to the central bank under the repo eligibility .......

    Job Swaps 4 April 2014

  • Basel revisions not enough

    The Basel Committee on Banking Supervision's latest proposed revisions to its capital framework for banks' securitisation exposures are a step in the right direction, according to S&P. The agency says they are simpler than the Committee's previous proposals and result in lower risk weights.

    However, the proposed risk weights for investment-grade securitisation exposures under the external ratings-based approach still seem .......

    News Round-up 4 April 2014

  • Agency launches RMBS tool

    Fitch has launched RMBS Compare, an Excel tool providing access to the rating agency's European RMBS surveillance and index data. Analysts can use it to compare key transaction characteristics with others in the sector as well as averages for product type, vintage and originator.

    The tool allows users to review European RMBS transaction performance and compare it to Fitch's benchmark .......

    Job Swaps 4 April 2014

  • Ukraine interrupts index tightening

    The tightening trend in European credit indices was interrupted in the middle of March as geopolitical fears about Ukraine intensified, notes Tradeweb. The iTraxx Europe Main and Crossover indices both widened, by 4bp and 20bp, respectively.

    The indices retraced equally quickly into the 20 March roll (SCI 24 March). "The subsequent spread tightening saw key resistance levels of 70bp and .......

    News Round-up 4 April 2014

  • Russian notes placed on review

    Moody's has placed the senior notes of AHML 2013-1 under review for possible downgrade. The action follows the senior unsecured debt rating of the Agency for Housing Mortgage Lending (AHML) OJSC being put on review for downgrade earlier in the week.

    The RUB8.916bn class A1 notes and RUB4.978bn class A2 notes, both rated Baa1 have been placed under review. Both .......

    News Round-up 4 April 2014

  • RBS to execute on Granite deeds

    Moody's says the execution of deeds of undertaking by swap provider RBS relating to swap agreements between Granite Mortgages 2003-2, 2004-1 and 2004-2 and RBS will not result in a reduction or withdrawal of the notes' ratings. RBS has chosen not to transfer the swap or obtain a guarantee.

    Moody's downgraded the long term senior unsecured rating of RBS last .......

    News Round-up 4 April 2014

  • Extraordinary expenses affect assumptions

    The treatment of extraordinary expenses in US RMBS transactions could affect cashflow patterns and credit enhancement, says Fitch. The agency has compared differences in structural treatments of extraordinary expenses with those that allow such expenses to potentially reduce principal distributions subject to higher credit enhancement.

    Extraordinary expenses can arise from a variety of sources but are expected to be infrequent. .......

    News Round-up 4 April 2014

  • ABS CDO sale scheduled

    An auction will be conducted for the Longport Funding II CDO on 21 April. The collateral shall only be sold if the proceeds are greater than or equal to the auction call redemption amount.

    .......

    News Round-up 3 April 2014

  • Subprime voluntary prepays analysed

    Moody's estimates in its latest ResiLandscape publication that voluntary prepayments, as measured by the 12-month constant prepayment rate (CPR), on 2005-2007 vintage subprime RMBS will increase by approximately 18% in 2014 to about 2.6% from 2.2% in 2013. Rising home prices will lower more borrowers' LTVs to levels at which lenders are more likely to offer refinancing. The balance of .......

    News Round-up 3 April 2014

  • Portuguese paper tendered

    Banco BPI has launched a tender offer for 10 bonds across its Douro Mortgages No. 1, 2 and 3 RMBS. The amount outstanding is €1.85bn.

    According to RBS figures, the minimum indicative prices for the class A notes being tendered range between 85-88. The price ranges for the class B, C and D notes are 73-76, 67-73 and 63-70 respectively.

    News Round-up 3 April 2014

  • Euro CMBS losses as expected

    European CMBS has performed better than its reputation might suggest. The principal loss rate to date is an estimated 0.8% of the initially issued note balance and all of that comes from 2005- to 2007-vintage transactions.

    Barclays Capital CMBS analysts calculate that €78bn of European CMBS remained outstanding at end-March, of which €44bn was UK CMBS and €34bn was Continental .......

    News 3 April 2014

  • SLR discussion due

    The FDIC is holding an open meeting on 8 April to discuss, among other things, a notice of proposed rulemaking to implement revisions to the denominator measure for the supplementary leverage ratio (SLR). A Chapman and Cutler memo notes that it appears the agency is now considering revisions to the SLR regulations in light of the final Basel 3 leverage .......

    News Round-up 3 April 2014

  • Spring in the step

    The European RMBS market has been consistently busy in recent weeks. This healthy level of activity has fuelled a rally in Dutch bonds in particular.

    "The first quarter of the year has seen a big rally for the Dutch market and secondary spreads are evidence of that. The strong tightening on Cartesian Residential Mortgage 1 shows that investors are still .......

    Market Reports 3 April 2014

  • Conditions 'ripe' for defeasance

    US CMBS loan defeasance grew significantly in 2013 over the previous year, rising to its highest level since the market's peak in 2007, according to Moody's. Growing financing and sales liquidity, concerns about rising interest rates and the ongoing improvement in real estate fundamentals led to an increase of 123% in CMBS defeasance to US$13.2bn, from US$5.9bn in 2012.

    "These .......

    News Round-up 3 April 2014

  • Skyline cashflows corrected

    A number of corrections were made in the March remittances to the cashflows for the US$678m Skyline Portfolio loan, after discrepancies emerged around ASER and WODRA calculations in previous months. The loan - which is securitised in BACM 2007-1, GECMC 2007-C1 and JPMCC 2007-LDPX - was modified last November and had suffered interest shortfalls since then (see SCI's CMBS loan .......

    News Round-up 3 April 2014

  • SF lawyer on the move

    Kaye Scholer has appointed Lawton Camp as a finance partner in its New York office. He joins the firm from Allen & Overy.

    Camp specialises in structured finance and securitisation, including CDOs, CLOs, ABS, ILS, RMBS and CMBS. He has two decades of industry experience and worked at Orrick, Herrington & Sutcliffe before joining Allen & Overy.

    .......

    Job Swaps 3 April 2014

  • Esoteric knowledge

    Investors drawn to developing non-traditional ABS market

    US esoteric ABS is attracting greater attention as investors seek yield. Several potential growth areas are emerging, with new, innovative collateral types also anticipated.

    Respondents to a recent DBRS survey overwhelmingly favoured esoteric assets over other ABS sectors and identified yield as a primary motivation (SCI 21 March). Dan Castro, president at Robust Advisors, agrees that yield is a key .......

    News Analysis 3 April 2014

  • NC RMBS 'resilient' to rate hikes

    The low interest rate environment post-2009 has benefitted non-conforming mortgage borrowers. A new Moody's analysis suggests that this market segment will be resilient to the moderate interest rate rises that the rating agency forecasts.

    "Our model predicts that a cumulative interest rate increase of 1% - which we do not expect until 1Q16 - will only lead to a 0.9% .......

    News Round-up 2 April 2014
×