Complete news archive

  • Palmer Square debuts credit fund

    Palmer Square Capital Management has launched the Palmer Square Absolute Return Fund, its first open-ended mutual fund. Developed in partnership with Montage Investments, the objective of the fund is to seek capital appreciation, with an emphasis on absolute returns and low correlation to the broader equity and bond markets.

    The fund utilises a concentrated group of seven institutional managers that .......

    Job Swaps 19 May 2011

  • EMEA special servicer activity continues apace

    April 2011 marked another month of high activity for specially serviced loans in EMEA CMBS transactions, says Moody's. During the past month, seven loans were newly transferred into special servicing, while the total number of specially serviced loans climbed up to 92 - 67% higher than one year ago.

    60 loans passed their maturity dates since the beginning of the .......

    News Round-up 19 May 2011

  • US CRE CDOs re-emerging

    The over three-year absence of new US CRE CDOs may be coming to an end, according to Fitch in a new report. On the heels of the CMBS market revival, the agency says it has begun to receive enquiries regarding new such transactions.

    The collateral contemplated ranges from seasoned CMBS and newly originated CRE loans to a hodgepodge of CRE .......

    News Round-up 19 May 2011

  • New issue CLO equity returns: the impact of declining loan spreads

    Andrew Jacobs, associate director at Moody's Analytics, find...

    Relative to historical levels, recent new issue CLO deals have featured high subordination, high tranche spreads and high underlying loan spreads to match - all positive signs for buyers of rated notes. Loan spreads have been declining, however, and already fast loan prepayments may accelerate further.

    Should this environment continue, how will it affect equity returns? Among other results, we .......

    Research Notes 19 May 2011

  • Concerns remain over premium capture

    SIFMA has welcomed the Senate Banking Subcommittee on Securities, Insurance and Investment's hearing on the state of the securitisation markets. However, the association has expressed its concern that certain elements of the recently proposed rules on risk retention as prescribed by the Dodd-Frank Act could negatively impact the market going forward.

    In particular, SIFMA believes that the premium capture provisions .......

    News Round-up 19 May 2011

  • Oil and gas VPP deal rated

    Moody's has assigned ratings to US$879.6m Glenn Pool ABS notes, which are backed by oil and gas volumetric production payments (VPPs). The five-year Glenn Pool Oil & Gas Trust I note has been given a rating of Baa2, while the ten-year Glenn Pool Oil & Gas Trust II note is rated Baa3.

    The notes are backed by VPPs carved out of .......

    News Round-up 19 May 2011

  • Mixed performance for Aussie ABS

    The first quarter for the Australian ABS market showed mixed trends, according to Moody's.

    During January to March, delinquencies deteriorated across most Australian ABS deals. Those displaying spikes in arrears mostly consisted of consumer loans and/or non-novated leases. However, delinquencies remained stable for Macquarie Leasing's SMART deals with 70% or more novated leases, the agency says.

    High loan concentrations in .......

    News Round-up 19 May 2011

  • Rating transparency rules proposed

    The US SEC has voted unanimously to propose new rules and amendments to increase transparency and improve the integrity of credit ratings. The proposed rules would implement certain provisions of the Dodd-Frank Act and enhance the SEC's existing rules governing credit ratings and Nationally Recognised Statistical Rating Organisations (NRSROs).

    "In passing the Dodd-Frank Act, Congress noted that credit ratings applied .......

    News Round-up 19 May 2011

  • US CMBS loss severities decrease

    The current historical weighted average loss severity for loans backing US CMBS that are liquidated at a loss decreased in the first quarter of 2011 to 38%, down from 40% the previous quarter, says Moody's. Excluding loans with de minimis losses, the historical weighted average loss severity decreased to 52%, down from 53% a quarter ago.

    The declines were the .......

    News Round-up 19 May 2011

  • DB's CMBS shaping up

    Further details have emerged about Deutsche Bank's much-anticipated new issue European CMBS (see SCI 17 February). The transaction - dubbed DECO 2011-E5 - is expected to be sized at £302m and comprise three tranches with the most senior tranche totalling £235m, according to ABS analysts at Chalkhill Partners.

    The deal is backed by a five-year, 66% LTV loan to the .......

    News Round-up 19 May 2011

  • Fosse leads Euro RMBS rally

    The European secondary RMBS market has surged back to life this week, with UK prime paper leading the way. The primary market has also received a boost, with demand for Santander's Fosse 2011-1 proving to be extremely high.

    Fosse hit the market with a splash, having been upsized to €4bn due to investor demand. The transaction includes a €3bn A2 .......

    Market Reports 19 May 2011

  • RMBS vet moves on

    Two Harbors Investment has appointed Diane Wold as md in its senior management team. In this role, she will aid the integration of the firm's new loan securitisation programme into its business model.

    Wold was previously svp and md at GMAC Residential Capital, where she led its US residential mortgage loan securitisation programme. During her time at GMAC, she oversaw .......

    Job Swaps 18 May 2011

  • No springtime blues for timeshare ABS

    Springtime improvements appear to be taking hold again for US timeshare ABS, according to Fitch's latest index results for the sector.

    Timeshare delinquencies fell at the end of 1Q11 and were noticeably lower than levels seen in 1Q10. Defaults also increased modestly, though the agency expects the trend to be short-lived.

    "Timeshare default trends typically lag those of delinquencies, so .......

    News Round-up 18 May 2011

  • ABS vp appointed

    Barclays Capital has appointed Jonathan Wu as vp in its securitised products origination business (SPO). He will focus on consumer ABS and report to Cory Wishengrad and Diane Rinnovatore, the bank's co-heads of SPO. Wu was previously at JPMorgan, where he was vp in its securitised products group, focusing on auto and equipment ABS origination.

    .......

    Job Swaps 18 May 2011

  • Two Harbours preps debut RMBS

    Two Harbors Investment Corp says it has taken the first step towards setting up a securitisation issuance programme by partnering with Barclays Bank to close on a US$100m mortgage loan warehouse facility, subject to future increase. The facility will be used to aggregate prime jumbo residential mortgage loans that the company will acquire from select mortgage loan originators with whom .......

    News Round-up 18 May 2011

  • CVA: beyond compliance

    Basel III has ushered in new rules for calculating credit va...

    The debate surrounding the new capital charge for CVA continues apace, with regular murmurs of how the risk management community is getting to grips with the new regulation due in 2013. A survey by Fitch Solutions in April this year, for example, revealed that among 200 credit and counterparty risk practitioners, only 32% believed the new regulation will assist them .......

    Talking Point 18 May 2011

  • Permacap adds director

    Greenwich Loan Income Fund has appointed James Carthew to its board as a non-executive director. He was previously a fund manager, responsible for managing Advance UK Trust and Advance Focus Fund, a Guernsey domiciled investment company. He was also on the board of Progressive Asset Management, an asset management group that manages a number of UK and emerging market funds.

    Job Swaps 18 May 2011

  • Structured settlement errors corrected

    Moody's has taken rating actions on 19 classes of securitised notes from 12 transactions backed by future payments owed under litigation settlement agreements. The actions were taken as a result of a correction of errors in the models used to rate the transactions, the agency says.

    The structured settlement issuers affected are 321 Henderson Receivables I, II and VI, and J.G. .......

    News Round-up 18 May 2011

  • CDS notionals continue to contract

    After contracting by 4% in the first half of 2010, total notional amounts outstanding of OTC derivatives rose by 3% in the second half reaching US$601trn by the end of December 2010, according to the BIS. Much of the increase resulted from the appreciation of major currencies against the US dollar, the currency in which the data are reported.

    CDS .......

    News Round-up 18 May 2011

  • CMBS delinquency rate inches up

    The delinquency rate on loans included in US CMBS conduit/fusion transactions inched up by 6bp in April to 9.22%, according to Moody's Delinquency Tracker (DQT). At the same time, the total dollar balance of delinquent loans declined for the second straight month in April, slipping to US$56.4bn from US$56.5bn in March. However, CMBS conduit/fusion loans outstanding fell by over US$5bn .......

    News Round-up 18 May 2011

  • New issue boost for US CMBS

    The announcement of two new deals this week, with two more expected next month, has boosted the US primary CMBS market. However, performance across the secondary market is suffering due to "shaky" spreads.

    JPMorgan and RBS/Wells Fargo are due to begin marketing their respective US$1.5bn deals this week, with pricing expected to follow next week. JPMorgan's JPMCC 2011-C4 transaction is .......

    Market Reports 17 May 2011
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