Complete news archive

  • Prime bucks trends in non-agency remits

    The latest non-agency RMBS remits indicate that, after surprising last month, prime prepays fell in most indices, while 30-day and total 60-plus day delinquencies declined slightly. Modification activity was consistent with July's pace, according to MBS analysts at JPMorgan.

    The balance of 60-plus day delinquencies fell slightly for every index except prime, which rose 7bp. 60-plus day delinquencies in PrimeX.ARM.1 and .......

    News Round-up 1 September 2010

  • UK NC RMBS performance still improving

    UK non-conforming RMBS continues to see an improvement in the performance of the underlying collateral portfolios, according to Fitch. During Q210, loans in arrears for more than three months - inclusive of repossessions - have fallen to 18.6% from 19.7% in Q110. Improvement in performance was further supported by a drop in current outstanding repossessions to 1% in Q210 from .......

    News Round-up 1 September 2010

  • Structured settlement criteria strengthened

    S&P has elaborated on its approach to rating structured settlement securitisations and the revisions made to its criteria in December of 2009. The methodology update includes the addition of two supplemental tests that factor in the event and model risk that affect structured settlement securitisations.

    S&P analyst Weili Chen says: "Because the collateral pools for these transactions consist of streams .......

    News Round-up 1 September 2010

  • FFELP ABS deal in the works

    A new student loan ABS offering that consists entirely of Federal Family Education Loan Program (FFELP) student loans is marketing. Arkansas Student Loan Authority Loan Asset-Backed Notes series 2010-1 has provisional triple-A ratings.

    The US$265m deal is expected to price over three-month Libor. Almost 9% of the loans in the pool are anticipated to be loans first disbursed after 1 .......

    News Round-up 1 September 2010

  • Constant relationship for SovX and Senior iTraxx

    Analysts at SocGen suggest that the Senior iTraxx index is moving in tandem with the SovX index, which bodes well for the two remaining constant. This should be the case as long as banks are deemed vulnerable and likely to need sovereign support, they note in their weekly credit report.

    SovX has widened throughout the month, starting at around 111bp .......

    News Round-up 1 September 2010

  • Summer weighs on US auto ABS

    US auto loan ABS performance is starting to exhibit negative trends - typical for the summer season - according to Fitch. While delinquencies and losses reached their lowest level in three years in June, the summer's seasonal pressures finally manifested this past month in rising delinquencies and losses, the rating agency notes.

    Fitch director Ben Tano says: "Seasonal pressures, the poor .......

    News Round-up 1 September 2010

  • Lloyds in the market again

    Lloyds TSB Bank has closed two more transactions - the €250m Penarth Master Issuer Series 2010-A3 credit card ABS and the £3.57bn Edgbaston RMBS 2010-1 prime buy-to-let RMBS.

    The three-year credit card offering was privately placed with a single investor at 78bp over one-month Euribor. The deal is backed by credit card receivables arising under designated MasterCard and Visa revolving .......

    News Round-up 1 September 2010

  • Revisions prompt Trups CDO downgrades

    Fitch has revised its global rating methodology for Trups CDOs, resulting in one- to two-notch downgrades for most US bank Trups CDOs. Conversely, the criteria changes will have little impact for deals with no exposure to US bank collateral.

    The integral rating factors in Fitch's surveillance criteria are the current payment status of collateral, as well as the credit quality of .......

    News Round-up 1 September 2010

  • LatAm SF markets 'more resilient'

    Securitisation in Latin America remains strong and popular, according to S&P, benefiting not only from high commodity prices, but also from lessons learned from past financial crises. While securitisation volumes in Latin America declined by 6% in 2009, they dropped by 58% in other emerging markets.

    Not only has the securitisation market in the region become more resilient, the agency .......

    News Round-up 1 September 2010

  • Reported Level 3 assets dip modestly

    Hard-to-value Level 3 assets at US banks have declined slightly since the beginning of 2010, according to Moody's Weekly Credit Outlook. Relative to tangible common equity, reported Level 3 assets fell for banks such as Bank of America Merrill Lynch, Citigroup, Goldman Sachs, JPMorgan Chase and Morgan Stanley.

    The slight decline represents a credit-positive development, analysts at Moody's say. However, they .......

    News Round-up 1 September 2010

  • Aircraft lease cashflow assumptions altered

    S&P has refined its cashflow assumptions for rating aircraft and aircraft engine lease securitisations, in part to incorporate deeper and longer commercial aviation industry downturns. Those securitisations backed by lease rental payments from a portfolio of commercial jets or aircraft engines leased to airline companies or operators will be affected.

    "Our revised assumptions, which we use in the cashflow analyses .......

    News Round-up 1 September 2010

  • New retail-backed CMBS on tap

    A new US$484.6m CMBS pass-through transaction is in the works backed by a 10-year fixed-rate mortgage loan on retail collateral. The deal, JPMorgan Chase Commercial Mortgage Securities Trust 2010-CNTR, is expected to feature triple-A tranches rated by S&P. Centro NP, a subsidiary of retail property owner Centro Properties Group, owns the multiple bankruptcy-remote special purpose entities that are the borrowers.

    News Round-up 1 September 2010

  • Guggenheim CLO markets with large equity

    Guggenheim Partners is marketing a US$600m CLO via Citigroup. The deal includes a US$300m triple-A rated tranche, a US$100m mezzanine tranche and a US$200m equity tranche, according to investors.

    Most of the triple-A rated tranche is marketing currently, but the mezzanine and equity pieces could be already preplaced with investors or taken by Guggenheim itself, says one of the investors. .......

    News Round-up 1 September 2010

  • Collateral management tool enhanced

    SEI has expanded its middle office outsourcing services to include collateral management for OTC derivatives. The service will provide its asset manager clients with an automated, controlled and independent method to manage their counterparty exposure.

    Additionally, SEI has entered into partnership with Lombard Risk to integrate its Colline system into SEI's hedge fund platform. The system features an automated workflow .......

    News Round-up 1 September 2010

  • Reverse mortgage surveillance criteria published

    S&P has published its methodology and assumptions for surveilling rated US RMBS transactions backed by reverse mortgage loans. The agency has incorporated updated loan-level information into its transaction analysis. This information typically includes current loan balances, adjusted property value - resulting in updated loan-to-value ratios - and the current status of each loan in the transaction.

    S&P's surveillance methodology for .......

    News Round-up 1 September 2010

  • ICG CLO prices

    Intermediate Capital Managers (ICM) priced its ICG EOS Loan Fund I, which will fund the purchase of a portfolio of pan-European leveraged loans with a par value of about €1.4bn from RBS (see last issue). RBS is also lead manager on the CLO.

    Rated by Fitch and Moody's, the €790.7m 3.9-year triple-A rated tranche priced at 110bp over three-month Euribor, .......

    News Round-up 1 September 2010

  • Resi loss severity tool launched

    Steel Mountain Capital Management affiliate SMART Servicing has released a proprietary servicing management asset recovery & tracking (SMART) software solution. The SMART application provides residential mortgage loan market professionals with asset-level transparency and loan-level information necessary to control loss severity.

    The software is designed to work in conjunction with existing servicing systems and loss mitigation processes. It provides customised screen .......

    News Round-up 1 September 2010

  • Credit/equity dislocation trades touted

    Credit and equity index markets have experienced high levels of correlation recently. Consequently, credit strategists at Barclays Capital suggest that monitoring deviations between credit spreads and stock prices could indicate trade ideas.

    The BarCap credit strategists take the constituents of iTraxx Main and compare recent changes in the equity and CDS markets as an example. They then overlaid BarCap fundamental .......

    News Round-up 1 September 2010

  • Negative basis opportunities identified

    The reversal of CDS-bond basis trends - i.e. the basis turning more negative - over the last few months reflects the resumption of pressures on US and European banks. However, Goldman Sachs credit strategists suggest that such concerns may have peaked and therefore funding spreads are likely to begin trending towards more normalised levels in coming weeks.

    Against this background, .......

    News Round-up 1 September 2010

  • Boutique credit rating firm acquired

    Kroll Bond Ratings has acquired boutique subscription-based credit rating firm Lace Financial. The acquisition provides Kroll with the SEC regulatory licenses to be a NRSRO.

    Lace is understood to have a dozen employees and mainly rates banks and other financial services firms.

    Kroll may face a number of challenges in its efforts to enter the credit rating industry, according to .......

    Job Swaps 1 September 2010

  • Novation process streamlined

    ISDA has launched its 'Credit Consent Equals Confirmation' project in order to continue its initiative to streamline the process of assigning credit derivative trades (see SCI issue 196). The process will go live on 30 September 2010.

    The objective of the project is to rationalise the current two-step practice of consent followed by confirmation, with an automated, single-step process for .......

    News Round-up 1 September 2010
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