Complete news archive

  • RMBS settlement for former board members

    The US SEC has settled an enforcement proceeding against eight former directors of five Regions Morgan Keegan funds that were heavily invested in subprime RMBS. The proceeding began last year and alleged that the directors failed to satisfy their pricing responsibilities (SCI 11 December 2012).

    The directors are Kenneth Alderman, Jack Blair, Albert Johnson, James Stillman, Allen Morgan, Randall Pittman, .......

    Job Swaps 14 June 2013

  • Agency updates Dutch assumptions

    Fitch has updated its assumptions for analysing securities backed by Dutch residential mortgage loans. The criteria assumptions will be used for new and existing RMBS transactions as well as covered bond programmes, with market value decline assumptions also applying to SME CLOs secured by real estate.

    Ratings on existing RMBS are not expected to be affected by the update. The .......

    News Round-up 14 June 2013

  • Indian ABS must account for law change

    A recent tax amendment relating to income distributed by securitisation trusts to Indian pass-through certificates may impact ratings, says Fitch. Changes must be made to transaction documentation to avoid downgrades.

    The amendment to the income tax law means Indian securitisation trusts are now required to pay tax on income distributed to investors. Previously, tax on income distributed by securitisation trusts .......

    News Round-up 14 June 2013

  • Counterparty credit risk uncovered - part four

    Terri Duhon, managing partner at B&B Structured Fina...

    Counterparty credit risk is a dynamic and complex risk that needs to be managed daily - not only because it changes as new trades are done with counterparties new and old every day, but also because it changes with market moves. In order to initially quantify the risk that needs to be managed, a dealer needs to assess the market .......

    Research Notes 14 June 2013

  • Deposit set-off risk analysed

    Fitch says that strong political support for depositors makes the risk of losses to structured finance and covered bond investors from borrowers setting-off their loan payment obligations against insured domestic bank deposits highly remote in most EU countries. Proposals for the development of deposit guarantee schemes (DGS) and the move towards bank resolution regimes that protect insured depositors are evidence .......

    News Round-up 13 June 2013

  • German resi mandate awarded

    CR Investment Management has been awarded a mandate to manage 125 residential properties by the Dutch insolvency administrator Willem Jan van Andel and SNS Bank. The portfolio was owned by the Nawon-Group and comprises about 2000 residential units.

    The properties are located primarily in North Rhine-Westphalia. In addition to the asset management and development of value-enhancing strategies, CR Investment Management .......

    News Round-up 13 June 2013

  • CMBS bonds lose repo-eligibility

    Stricter loan-level requirements have come into force for European CMBS looking to retain ECB repo-eligibility. CMBS bonds are now mostly absent from the list of repo-eligible securities, with possible negative pricing implications.

    The ECB is currently implementing a transition period as part of its project to require regularly updated loan tapes to be made publically available in order for ABS .......

    News 13 June 2013

  • Analytics platform enhanced

    Quantifi has released version 11.0 of its pricing and risk analysis software, which includes over 100 individual enhancements. The aim is to deliver the tools necessary to stay abreast of regulatory and accounting demands.

    "Version 11.0 addresses timely issues that many of our clients are facing, including OIS discounting, data management, central clearing and regulatory reporting," comments Rohan Douglas, ceo .......

    News Round-up 13 June 2013

  • Non-conforming default drivers examined

    High LTV ratios and County Court Judgments (CCJs) are the primary default drivers for UK non-conforming mortgages, Moody's says. Remortgaging is a bigger driver of default in the non-conforming sector than in the prime sector, while the opposite holds true for self-employment.

    Within the next 12 months, Moody's expects repossessions across UK non-conforming RMBS to stabilise at around 0.70%-0.90%, below .......

    News Round-up 13 June 2013

  • Euro default rate remains low

    Only 1.43% by original balance of European structured finance notes had defaulted by end-1Q13, according to S&P's latest quarterly transition study. The 12-month rolling downgrade rate for European structured finance fell to 21% at the end of the first quarter, while the 12-month rolling default rate remained relatively stable at 0.43%, given several new interest shortfalls and principal losses in .......

    News Round-up 13 June 2013

  • CMBS pay-offs drop

    The percentage of US CMBS loans paying off on their balloon date registered 59.5% in May, according to the latest Trepp pay-off report. This was more than five points below the April reading of 64.6% and represents the second lowest of the year, but remains above the 12-month moving average of 55.3%.

    By loan count as opposed to balance, 69.1% .......

    News Round-up 13 June 2013

  • CBD recoveries diverge

    The recovery in midtown Manhattan office prices has been much stronger post-financial crisis than in its London counterpart, the West End. Midtown Manhattan office prices have more than doubled (up by 110%) since their recent trough in 4Q09, while West End prices are up by 65% from their 3Q09 trough, according to the latest Moody's/RCA CPPI report. Prices in each .......

    News Round-up 13 June 2013

  • ILS business assumed

    Twelve Capital is set to assume the investment management function of Falcon Private Bank's ILS business. The move is expected to primarily affect investment funds domiciled and regulated in Luxembourg and Switzerland.

    With the integration of the existing management team, Twelve Capital will guarantee continuity for existing Falcon Private Bank clients and ensure that the ILS activities are optimally integrated .......

    Job Swaps 13 June 2013

  • SLM exits Straight-A conduit

    Sallie Mae has closed a US$6.8bn credit facility to facilitate term securitisation of its federally guaranteed loans. The facility was oversubscribed by a syndicate of eight global financial institutions.

    The facility is secured exclusively by FFELP loans and will amortise over a one-year period. Its size exceeds the balance remaining in the company's Straight-A federally-sponsored financing programme and, as a .......

    News Round-up 13 June 2013

  • Emerging market

    Russian RMBS, ABS issuance gathering pace

    Russian RMBS issuance volume is expected to reach RUB50bn-RUB60bn this year, versus a total of RUB37bn in 2012, boosted by government purchase programmes. Demand is also emerging for consumer ABS, facilitated by the introduction of a new securitisation law and respective central bank standards that are expected to be finalised this autumn.

    The Russian RMBS market has been bolstered in .......

    News Analysis 13 June 2013

  • Spanish legislative changes examined

    Recent changes to Spanish mortgage legislation could increase loan repossession periods and potentially push up realised loan losses, according to S&P. At the same time, new guidelines that Spanish banks must employ when classifying loan restructurings in their financial statements may increase the transparency of lender asset quality.

    Two laws - Ley 1/2013 and Decreto Ley 6/2013 - became effective .......

    News Round-up 12 June 2013

  • Beacon Seattle proceeds reported

    The recent sale of the Wells Fargo Center has resulted in an estimated US$267m pay-down for the Beacon Seattle & DC portfolio, based on remittance data available for BACM 2007-2, the first of the Beacon CMBS to report in June. At a reported US$390m, the ultimate selling price for the property was higher than expected.

    Approximately US$15.6m in deferred interest .......

    News Round-up 12 June 2013

  • Activity surge for Euro ABS

    Activity has picked up in the European ABS markets over the last couple of weeks. Primary issuance may slow during next week's IMN conference in Brussels, but secondary trading levels are expected to hold steady.

    "We have been seeing big bid-lists across credit and securitised sectors, as well as a couple of new deals hitting the market, which has been .......

    Market Reports 12 June 2013

  • Analytics acquisition agreed

    Thomson Reuters has acquired OTC derivatives analytics vendor Pricing Partners. The acquisition is expected to complement Thomson Reuters Pricing Service (TRPS), its evaluated valuations service.

    Pricing Partners enhances TRPS pricing abilities for structured notes, interest rate, equity, credit, commodities and FX derivatives, as well as hybrid products. It also strengthens its range of pricing tools and risk analytics.

    Thomson Reuters .......

    Job Swaps 12 June 2013

  • New names added to SCI line-up

    Only a few tickets remain for SCI's 6th Annual Securitisation Pricing, Investment & Risk Seminar in New York. Over 200 attendees have registered for the event, which is being held tomorrow (13 June) at Bank of America's offices at 4 World Financial Center.

    New panellists have been added to the line-up over the last few days, including representatives from Hildene .......

    News Round-up 12 June 2013

  • Legacy RMBS tipped for limited upgrades

    The improving US housing market and stable macro environment are supporting legacy US RMBS performance, though the sector still has persistent challenges to overcome, according to Fitch. Signs of the turnaround in RMBS include improving new delinquency roll-rates and declining loss severities on liquidated loans.

    These trends have resulted in improved rating stability and positive rating momentum in 2013. Fitch .......

    News Round-up 12 June 2013
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