Complete news archive

  • SCI Start the Week - 13 August

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

    Pipeline
    A number of US transactions entered the pipeline last week, only to rapidly price. European deals remain thin on the ground.

    Pricings
    The week's pricings were dominated by CLOs and auto ABS. But two RMBS, a student loan deal and a CMBS printed as well.

    Five CLOs hit the market last week: US$362m ACAS CLO 2012-1; US$359m Halcyon Loan Advisors Funding .......

    News 13 August 2012

  • RMBS criteria update hits

    Fitch has updated its criteria for estimating losses on US mortgage pools for RMBS transactions, as part of its annual criteria review. Less than 10% of all ratings are expected to be affected by the model enhancements, with the impact varying by sector and vintage.

    The core principle of the framework remains the interaction between borrower equity and market value .......

    News Round-up 13 August 2012

  • CMBS late-pays fall again

    Increased loan workouts have led to a second consecutive month of decline in US CMBS delinquencies, according to Fitch's latest index results for the sector. CMBS late-pays fell by 14bp last month to 8.48% from 8.62% in June.

    Helping to drive the downward movement were two large loan modifications, involving the US$305m Schron Industrial Portfolio (securitised in GCCFC 2007-GG9) and .......

    News Round-up 13 August 2012

  • Pecanland Mall on watchlist

    Morningstar has added the US$51.6m Pecanland Mall, securitised in the CGCMT 2004-C1 CMBS, to its watchlist for a decline in occupancy.

    For the 12-month period ended 31 December 2011, the net cashflow DSCR was 1.90x, with NCF of US$7.3m. Occupancy was reported at 87%.

    The NCF DSCR and NCF for the 12-months ended 31 December 2010 were 1.84x and US$7.1m .......

    News Round-up 13 August 2012

  • Korean SF set for mild rise in delinquencies

    High household debt will contribute to a rise in delinquencies and defaults among South Korean securitisation transactions, but the increase will be mild and remain within expectations, according to Fitch. This is reflected in the agency's stable outlook for the ratings performance of Korean structured finance (SF) deals in 2012.

    Unemployment rates and interest rates remain the key drivers of .......

    News Round-up 13 August 2012

  • Call for operating advisor standardisation

    Two key issues must be resolved if the role of CMBS operating advisor is to flourish and fulfil its intended purpose of attracting a wider range of investors to the sector, according to Morningstar. These are: how operating advisors are compensated; and how their duties are defined.

    Morningstar research has uncovered a range of operating advisor fees, varying from a .......

    News Round-up 13 August 2012

  • NPL issues

    Bad debt securitisations gaining traction

    The first post-financial crisis non-performing loan CMBS - Rialto 2012-LT1 and S2H 2012-LV1 - have proved popular with investors looking for short duration, high coupon bonds. However, the growth of the sector is expected to be limited by the paucity of distressed assets coming onto the market at present.

    William O'Connor, partner at Thompson & Knight, reckons that the current .......

    News Analysis 10 August 2012

  • GNMA prepays to moderate?

    The August GNMA issuer report could mark a high watermark for pre-May 2009 prepayment speeds, according to MBS analysts at Barclays Capital. They point to several factors indicating that pre-May 2009 speeds should moderate going forward.

    Over the past two months, pre-May 2009 GNSF voluntary speeds increased by 34/18/9/5/2 CRR to 51/34/26/19/13 CRR for 4.5-6.5 coupons respectively. But the Barcap .......

    News Round-up 10 August 2012

  • Counterparty linkage analysed

    Moody's has disclosed that during the last quarter it downgraded most of the 114 European banks and 17 securities firms with global capital markets operations that it placed on review in February. Many of these entities were downgraded below the P-1 short-term rating level, which is a common rating trigger in structured finance transactions.

    The agency has subsequently identified 420 .......

    News Round-up 10 August 2012

  • CDO supply still running high

    Yesterday proved to be another busy session for BWICs. Supply has remained elevated across asset classes, with SCI's PriceABS data showing 133 CDO line items on Wednesday and 136 on Thursday.

    A few familiar European names were circulated, such as Wood Street CLO II. The WODST II-X D tranche, which was covered at 50 back on 16 May, .......

    News 10 August 2012

  • Goldman probe dropped

    Goldman Sachs has disclosed in its latest 10-Q filing that the SEC has dropped its investigation of the bank's role in selling US$1.3bn of subprime mortgage securities. The SEC issued a Wells notice to Goldman in February, concerning disclosures contained in offering documents from 2006 for a US$1.3bn RMBS that the bank underwrote. Goldman states in the filing that the .......

    News Round-up 10 August 2012

  • Legacy RMBS criteria revised

    S&P has published revised criteria for monitoring the performance of existing US RMBS transactions. Specifically, the agency will use the updated criteria to re-rate RMBS backed by collateral originated before 2009.

    The criteria incorporates updated assumptions about collateral performance, revised pool-level credit and cashflow analysis, and applies new methodologies for capturing risks associated with a transaction's mortgage pool that contains .......

    News Round-up 10 August 2012

  • ML3 auctions announced

    The New York Fed has scheduled two Maiden Lane III auctions for August, comprising 35 ABS CDO tranches.

    The first sale - due on 16 August - will include CAMBER 3 (US$219.3m face value), Coolidge Funding (US$140.17m), Duke Funding VI (US$87.88m), VII (US$276.99m) and VIII (US$479.57m), Fortius I Funding (US$277.41m), Glacier Funding CDO II (US$70.71m) and III (US$170.05m), Huntington CDO .......

    News Round-up 10 August 2012

  • Bank boosts credit team

    James Dougal and Zaman Khan are joining HSBC's European credit trading team in London. Dougal takes up a post as senior corporate credit trader while Khan becomes head of financials special situations.

    Dougal was most recently at RBS. He will mainly focus on trading investment-grade and crossover in both corporate bonds and CDS, reporting to Claus Jorgensen.

    Khan was most .......

    Job Swaps 10 August 2012

  • TCW buyout agreed

    The Carlyle Group and the management of The TCW Group have agreed to acquire TCW from Société Générale. Equity for the investment will come from two Carlyle investment funds - Carlyle Global Financial Services Partners and Carlyle Partners V - and from TCW management.

    David Lippman, previously group md and head of fixed income at TCW, becomes president and ceo .......

    Job Swaps 10 August 2012

  • Greek rating actions announced

    Fitch has affirmed 23 and downgraded six tranches of Greek RMBS. It has also maintained three tranches on rating watch negative (RWN).

    The downgrades reflect the performance of the collateral and the deteriorating Greek mortgage market, as well as the existing moratorium on foreclosure activity in the country, which has lengthened foreclosure timings and is limiting the level of recoveries .......

    News Round-up 10 August 2012

  • GIP restructuring on the cards

    Redefine International has reached an in-principle agreement to restructure and extend the £114.6m Government Income Portfolio (GIP) loan, securitised in UK CMBS Windermere XI, ahead of its October maturity. The move is viewed as positive, albeit it is likely to result in a principal loss.

    Key terms of the proposed restructuring include the borrower repaying £33.5m of debt, in return .......

    News 10 August 2012

  • ResiEMEA tool extended

    Fitch has extended its European residential mortgage risk analysis tool, ResiEMEA, to cover Germany.

    ResiEMEA is an analytical model that assesses the credit risks of loan-by-loan residential mortgage portfolios in accordance with Fitch's published RMBS criteria. The tool will be used to determine weighted average expected default probability, loss severity and recovery at various rating categories during the agency's rating .......

    News Round-up 9 August 2012

  • Collateral optimisation reviewed

    An estimated 40%-50% of OTC contracts are expected to be cleared by the end of 2013, leaving a US$2.5trn collateral hole to fill (SCI 26 September 2011). This will drive firms to optimise their internal inventory while simultaneously engaging with collateral transformation services, according to a new Celent report.

    Many organisations - including custodians, dealers and settlement houses - are .......

    News Round-up 9 August 2012

  • Capital rule comment period extended

    US banking regulators have extended the comment period on three notices of proposed rulemaking on capital rules (SCI 8 June) until 22 October. Comments were originally due by 7 September, but this has been extended to allow for more time to evaluate and prepare comments on the proposals.

    One NPR - the Basel 3 regulatory capital reforms - would strengthen .......

    News Round-up 9 August 2012

  • Eminent domain RFC issued

    The Federal Housing Finance Agency (FHFA) has sent to the Federal Register a notice indicating its concern with the proposed use of eminent domain to restructure performing home loans and inviting public input. The agency says it has significant concerns about the use of eminent domain to revise existing financial contracts and the alteration of the value of the companies' .......

    News Round-up 9 August 2012
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