Complete news archive

  • Agency MBS included in Fed repo transactions

    From this week, the Federal Reserve Bank of New York intends to conduct a series of small-scale, real-value repo transactions with primary dealers using all eligible collateral types, which for the first time will include agency MBS from the System Open Market Account (SOMA) portfolio.

    The Fed is fine-tuning operational aspects of triparty reverse repurchase agreements to be ready if .......

    News Round-up 4 August 2010

  • Trading ideas: steely nerves

    Byron Douglass, senior research analyst at Credit Derivative...

    AK Steel reported strong second-quarter revenues last week, as sales more than doubled since their nadir in 2009. With its CDS trading 3.75% upfront, selling protection is a solid play and will make for a fun ride.

    AK Steel's fundamentals were hammered throughout the recession. Revenues, margins and cashflow all decreased substantially. However, recent data (the company released second-quarter earnings .......

    Research Notes 4 August 2010

  • Return of the agency MBS bank bid?

    Large commercial banks' agency MBS holdings increased by US$51.4bn in the past two weeks, according to the Federal Reserve's latest survey data. Barclays Capital ABS analysts believe this might be the start of a strong return of the bank bid for agency MBS and suggest that banks could absorb more than another US$150bn of agency mortgages.

    Capital concerns, a reduced .......

    News Round-up 4 August 2010

  • Euro repo haircuts raised

    The ECB last week raised the haircuts for repo lending, including ABS assets, from 12% to 16%. The new haircuts for ABS lending will be valid as of January 2011.

    Structured credit strategists at UniCredit suggest that the increase in haircuts is quite drastic at first glance, but isn't totally unexpected. "In our view, it is a further measure taken by .......

    News Round-up 4 August 2010

  • Novation overhaul prepped

    ISDA is in the final stages of drafting the legal documentation for the Consent = Confirmation initiative. This initiative is being driven partly by the industry, which is seeking to streamline the CDS novation process, and partly by ISDA's efforts to update the way the Novation Protocol is supported by services providers.

    Novation has historically involved a two-step process of .......

    News Round-up 4 August 2010

  • CMBS model RFP released

    The National Association of Insurance Commissioners (NAIC) has released an RFP for a vendor to model expected losses on approximately 7,500 CMBS as of December 2010. This process will determine the NAIC designations utilised by insurance companies to calculate the solvency reserves required to cover their CMBS holdings.

    NAIC chose PIMCO to establish designations for more than 21,000 RMBS owned .......

    News Round-up 4 August 2010

  • Dignity 'ripe' for a tap

    Credit analysts at RBS suggest that the Dignity whole business securitisation is "ripe for either a tap...or a restructuring". The company's half-year results indicate that rolling 52 week EBITDA has climbed a further 2% on last quarter to reach £65.5m, with growth in both funeral services and crematoria business. Overall leverage of the securitisation has fallen to 3.9x from 5.8x .......

    News Round-up 4 August 2010

  • Improving sukuk market still faces barriers

    An S&P report on the sukuk market says that global issuance in the sector exceeded US$13.7bn in the first half of 2010, nearly doubling the US$7.1bn of issuance over the same period last year. The agency attributes some of the increase to improved international market conditions, but notes that obstacles in the market remain.

    Sovereigns accounted for around 75% of .......

    News Round-up 4 August 2010

  • Court rules out EOD for Eurosail

    The UK High Court has ruled that no event of default has occurred in Eurosail-UK 2007-3BL by reason of the issuer's assets being less than its liabilities (SCI passim). In addition, the High Court rejected an argument that the notes in this transaction were effectively limited recourse because of the incorporation into the structure of a post enforcement call option .......

    News Round-up 4 August 2010

  • Another Wyndham ABS planned

    Wyndham Worldwide is planning another ABS transaction this autumn, which will likely be smaller than the US$350m ABS deal it completed earlier this month (see last issue), according to Tom Conforti, evp and cfo at Wyndham.

    "The transaction was oversubscribed and we couldn't be happier with the execution," he said on the company's 28 July conference call. "We had to .......

    News Round-up 4 August 2010

  • Bluebutton agreement positive for Broadgate Finance

    Bluebutton Properties, the joint venture between British Land and Blackstone, has signed a binding agreement with UBS to develop a new 700,000sq ft building on the Broadgate estate at the site of 3, 4 and 6 Broadgate. As a result, the three buildings are being removed from the Broadgate Finance portfolio (and replaced by 201 Bishopsgate and Broadgate Tower), together .......

    News Round-up 4 August 2010

  • Trups CDO credit risk transferred

    Zions Bancorporation has entered into a total return swap and related interest rate swaps with Deutsche Bank on US$1.16bn worth of bank and insurance trust preferred CDOs. As part of the deal, Deutsche Bank will assume all of the credit risk of this CDO portfolio and pay all interest and principal due to the company.

    The transfer of credit risk .......

    News Round-up 4 August 2010

  • DPR notes to be exchanged

    S&P has assigned preliminary triple-B ratings to Yapi Kredi Diversified Payment Rights Finance Co.'s floating-rate notes series 2010-A, 2010-B, 2010-C, 2010-D and 2010-E. These new series are the result of an exchange offer, whereby monoline-wrapped notes are exchanged for unwrapped notes with the same tenor and amortisation schedules.

    S&P has also affirmed its triple-B ratings on the notes to be .......

    News Round-up 4 August 2010

  • Distressed exchanges lift recovery rates

    A Moody's review of nearly 60 US non-financial companies that have emerged from default since the trough of the credit crisis shows that investors have recovered an average of 51 cents on the dollar on defaulted debt. This is near the historical average of 55 cents.

    "Despite the high leverage and easy terms from lenders that characterised the credit bubble, .......

    News Round-up 4 August 2010

  • All-time high for US CMBS delinquency rate

    The latest Trepp Delinquency Report highlights that although the overall US CMBS delinquency rate rose again in July to a new all-time high of 8.71%, the rate of increase in delinquencies showed more signs of moderating during the month.

    In June, the increase in the delinquency rate was the smallest in about a year, according to Trepp. In July, the .......

    News Round-up 4 August 2010

  • US CMBS loan defaults rising 'at record speeds'

    Fitch says that defaults on fixed-rate conduit US CMBS loans are continuing at record speeds.

    Cumulative defaults rose to 9.48% through June 2010. The 133bp climb from Q110 is consistent with the agency's expectation of an 11% cumulative default rate by year-end 2010 and is factored into Fitch's current ratings and negative rating outlooks.

    Not surprisingly, recent vintages are driving .......

    News Round-up 4 August 2010

  • Euro CMBS repayment index rises

    Fitch reports that European CMBS loans have seen an increase in repayment, with the agency's Maturity Repayment Index rising to 37% by the end of July compared with 19% in the previous month. The rise in the index was largely driven by two transactions - White Tower 2006-3 and La Defense III.

    White Tower 2006-3 saw a £734m partial repayment .......

    News Round-up 4 August 2010

  • Stable performance for trade receivables ABS

    According to S&P, the performance of European term trade receivables securitisations has remained relatively stable through the recent economic downturn.

    "Of the five European trade receivables securitisations that we rate, none has experienced downgrades during the downturn," says S&P credit analyst Nikki Patel.

    The agency says that several reasons lie behind this relatively good collateral performance. "We believe businesses are .......

    News Round-up 4 August 2010

  • Credit card ABS performance improving

    Credit card charge-offs declined during the month of June, the third consecutive month, according to a credit card report from Moody's. Analysts at the agency note that 10.28% of securitised credit card loans were written off as uncollectible in June, which is down from 10.71% in May.

    Fitch's Credit Card Index also shows a similar improvement. Analysts at the agency .......

    News Round-up 4 August 2010

  • Excess cashflow criteria confirmed for Japanese CMBS

    Fitch has clarified its methodology for calculating the credit that will be given to excess cashflow in the surveillance of existing Japanese CMBS transactions. The move follows the agency's recent publication of Japanese yen interest rate stress assumptions.

    The criteria to calculate excess cashflow credit for the single-B rating scenario have been clarified as follows:

    • Assume the base interest .......

    News Round-up 4 August 2010

  • Capital One's ABS on review for downgrade

    Moody's has placed on review for possible downgrade 47 classes of ABS issued out of the Capital One Multi-asset Execution Trust. The review impacts approximately US$21.6bn of ABS.

    The securities are backed by a US$42.4bn revolving pool of consumer and small business credit card receivables originated by Capital One Bank. The action follows Moody's announcement on 27 July that it .......

    News Round-up 4 August 2010
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