Complete news archive

  • Ukraine concerns contained

    The five-year credit default swap spread for Russia has widened by 13bp to 212bp over the past 30 days, according to S&P Capital IQ, reflecting the credit market's concern over the country's intervention in Ukraine. At the same time, the Ukraine protection premium widened by 58bp to 1,116bp - a level that indicates an imminent risk of default.

    Rising premiums .......

    News Round-up 7 March 2014

  • Risk-based capital shortfalls shrinking

    The Basel Committee has published the results of its latest Basel 3 monitoring exercise. A total of 227 banks participated in the study, comprising 102 large internationally active banks (Group 1 banks) and 125 Group 2 banks.

    Data as of 30 June 2013 show that shortfalls in the risk-based capital of large internationally active banks generally continue to shrink. At .......

    News Round-up 7 March 2014

  • ABS CDO approach updated

    Moody's has updated its approach to rating ABS CDOs, affecting the ratings on 47 tranches in 34 US deals and four tranches in four European deals. The move is expected to have a generally positive impact of roughly one notch on senior tranches in the majority of these transactions.

    The updates to the methodology include: lowering the resecuritisation stress factors .......

    News Round-up 7 March 2014

  • RFC issued on SFR deals

    Moody's has laid out its approach to rating single-family rental (SFR) securitisations. At the same time, the agency has issued a request for comment on the related rating methodology.

    Together with Morningstar and Kroll, Moody's rated the first deal in this sector - Invitation Homes 2013-SFR1 - in November 2013 (SCI passim). The rating agency says it expects an increase .......

    News Round-up 7 March 2014

  • Positive performance for hedge funds

    Hedge fund performance was strongly positive in February, with average returns the highest since January 2012, according to eVestment. In particular, distressed funds posted their best returns in more than two years at 3.18%.

    In the face of below-average investor interest in Q4 and elevated redemptions in January, credit strategies posted solid returns in February at 1.71% and are among .......

    News Round-up 7 March 2014

  • CMBS investors play waiting game

    It has been a quiet week for the European CMBS market as investors on either side of the Atlantic remain in 'wait and see' mode. One trader reports that clients appear to be waiting for spreads to widen, although US accounts could spark some activity.

    "There is a lot of interest in European CMBS from investors in the US. They .......

    Market Reports 7 March 2014

  • Annual loss severity hits highs

    The annual loss severity for US CMBS loans was 46.3% in 2013, the highest since the inception of Moody's update report on the segment. Driven by a number of large loans that were liquidated at high losses, this figure compares to 40.1% for loans liquated in 2012.

    From 1 January to 31 December 2013, US$14.2bn of CMBS loans were liquidated, .......

    News Round-up 7 March 2014

  • Pay-offs continue to decline

    The percentage of US CMBS loans paying off on their balloon date was 68.8% in February, marking the third straight month in which the rate declined, according to Trepp. The firm notes that last month's pay-off percentage is the same as the 12-month moving average of 68.8%.

    By loan count as opposed to balance, 74.6% of loans paid off in .......

    News Round-up 7 March 2014

  • From strength-to-strength

    Peer-to-peer securitisation has room to grow

    The peer-to-peer securitisation market may be in its infancy, but a handful of deals have already been completed. While the deals so far have been small by securitisation standards, the sector could become a "multi-billion" dollar market.

    "We have only recently started to see deals coming to market, but there is a lot of optimism that there is room for .......

    News Analysis 7 March 2014

  • Adverse selection on the rise?

    Boosted by the FHFA's decision to limit GSE originations through tighter underwriting, the share of multifamily loans in US CMBS conduits has increased over the past year and now stands at 18%, according to Barclays Capital CMBS analysts. They warn that since agency financing remains about 50bp cheaper than private financing, there is some potential for adverse selection in CMBS .......

    News 6 March 2014

  • US RMBS BWICs back in bulk

    US non agency RMBS bid-list volumes picked up considerably yesterday to reach almost US$850m for the session. Activity was up across fixed rates, hybrids and subprime, with SCI's PriceABS data capturing a mix of covers and DNTs.

    One such subprime bond was the CWL 2006-26 M1 tranche, which traded during yesterday's session. The tranche was previously .......

    Market Reports 6 March 2014

  • Euro CLO equity performance positive

    European CLO equity cashflows have lagged their US cousins for several reasons, but their prospects continue to improve as credit conditions strengthen in Europe. Average returns increased last year and the broader economic recovery is yet to be fully factored in.

    JPMorgan CLO strategists analysed 213 European CLO equity tranches issued from 1999 to 2011, representing around €10.9bn in original .......

    News 6 March 2014

  • Declining advance rates eyed

    Moody's expects delinquent loan advance rates to continue declining for loans transferred to Nationstar Mortgage from Aurora Loan Services and Bank of America servicing portfolios. Declining servicer advancing is particularly credit negative for fast-pay US RMBS bonds that are more likely to be outstanding when credit support is depleted, at which point they might have to share principal payments and .......

    News Round-up 6 March 2014

  • Leverage ratio examined

    The EBA has published a report on the leverage ratio that provides a policy analysis and a quantitative assessment of the impact that would derive from aligning the current Capital Requirements Regulation (CRR) definitions of the leverage ratio's exposure measure to the revised Basel 3 standard published by the Basel Committee on 12 January. The report uses data collected for .......

    News Round-up 6 March 2014

  • SME CDO criteria tweaked

    Fitch has updated its global rating criteria for SME CDOs. The updated assumptions are not expected to have an impact on any current ratings.

    Fitch has increased the average annual default rate expectation for the Netherlands to 4% from 3%. The revised country benchmark reflects the current weak economic environment, the recent performance of Dutch SME CLOs and Dutch banks' .......

    News Round-up 6 March 2014

  • ABS CDO auction due

    An auction is slated for Kleros Preferred Funding on 24 March. The collateral shall only be sold if the proceeds are at least equal to the total senior redemption amount. The collateral manager has the option to purchase the securities for a purchase price equal to the highest bid.

    .......

    News Round-up 6 March 2014

  • Lower losses seen on CDQ, DP loans

    Italian Cessione del Quinto (CDQ) and Delegazione di Pagamento (DP) consumer loan products pose risks because of their greater complexity, but provide enhanced security and generally imply lower losses than standard consumer loans, Moody's says. These products saw total issuance of €4.5bn in 2013, around 50% of which was concentrated with the top four players in the market.

    "CDQ and .......

    News Round-up 6 March 2014

  • Interest rising in Lehman claims

    Interest is rising among international dealers in buying claims in the Lehman Brothers Australia bankruptcy. Amicus Advisory notes in a recent client memo that in nearly all cases a broker or dealer wishing to purchase an investor's claim will only be willing to do this once that claim is validated by the liquidator, PPB, and formally documented as an accepted .......

    News Round-up 6 March 2014

  • Sentiment drives ABX prices higher

    Markit ABX triple-A index prices have climbed modestly over the last six months, due to improving investor sentiment on subprime RMBS. Moody's expects recovery values to improve gradually over the next few years, driven by further strengthening in the housing market and better macroeconomic conditions.

    Last cashflow (LCF) triple-A prices have since July 2013 increased by four points for ABX .......

    News Round-up 6 March 2014

  • Swap clearing business chief appointed

    LCH.Clearnet Group has named Daniel Maguire as global head of its interest rate swap clearing business, SwapClear. He is based in New York and will report to LCH.Clearnet ceo Michael Davie.

    Maguire was previously head of SwapClear in the US and global head of product and marketing. He has also worked at JPMorgan in its commodity exotics and hybrids business .......

    Job Swaps 6 March 2014

  • Rating agency names new leader

    Moody's has promoted Michael West to global head of structured finance ratings. He was previously global head of corporate finance rankings and will be replaced in that role by Mark Gray.

    .......

    Job Swaps 6 March 2014
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