Complete news archive

  • Risk system integrates CMBS deal library

    The Kamakura Risk Manager (KRM) enterprise risk system now offers direct access to Trepp's CMBS deal library. This includes access to the integrated simulation in KRM interest rate risk, GAAP net income, market risk, credit risk, liquidity risk, stress testing and capital needs for portfolios that include CMBS-related structured products.

    David Boldon, Kamakura's Washington DC representative, says: "Adding KRM access .......

    News Round-up 28 July 2010

  • Rating error corrected

    S&P has reinstated its triple-A credit rating on Eurosail 2006-3NC's class A3c notes. At the same time, it withdrew its triple-A rating on the class A3c detachable coupons (DACs). The move follows the incorrect withdrawal of the class A3c note ratings instead of the class A3c DACs' on 7 July.

    The rating on the class A3c DAC has been withdrawn .......

    News Round-up 28 July 2010

  • SIV note ratings withdrawn

    Moody's has withdrawn its ratings on notes issued by seven SIV and SIV-lite programmes because it believes it has inadequate information to maintain their credit ratings. The rating action has affected: the US and Euro CP programmes of Mainsail II; the Euro/US CP and MTN programmes and mezzanine capital notes of Axon Financial Funding; the Euro/US CP and MTN programmes .......

    News Round-up 28 July 2010

  • More Greek deals downgraded

    Fitch has downgraded two RMBS tranches and affirmed 36 others from its rating universe of 14 Greek RMBS transactions. The agency has additionally removed 31 tranches from rating watch negative and assigned various outlooks.

    The rating actions follow the 20 July publication of Fitch's criteria addendum for Greece, which incorporates the agency's assessment of sovereign risk considerations in Greek mortgage .......

    News Round-up 28 July 2010

  • Gulf spill to have no immediate CMBS ratings impact

    Based on an analysis of what effect the Gulf spill is having on commercial real estate collateral, S&P does not expect an immediate credit impact on CMBS ratings for the deals it looks at. The agency notes, however, that there may be an increase in loan delinquencies and loan transfers to special servicers over the next few months, especially within .......

    News Round-up 28 July 2010

  • EMEA asset performance stabilising

    According to the latest Fitch report on the sector, asset performance and ratings outlooks for EMEA structured finance continue to stabilise. However, a further improvement in outlook may require more evidence that the risk of a double-dip recession has receded. The agency also notes that transaction structures continue to offer protection against further negative rating action, even if some further .......

    News Round-up 28 July 2010

  • US credit card charge-offs continue to fall

    According to Moody's latest credit card indices report, charge-offs on US credit cards declined for the third consecutive month in June. Finishing at 10.28%, 43bp below their May level, the additional month of decline is further evidence that the peak in credit card losses for this credit cycle has passed, the agency says.

    Moody analyst Jeffrey Hibbs says: "Our base-case .......

    News Round-up 28 July 2010

  • Korean ABS performance boosted

    Moody's reports that Korea's improving employment market, combined with beneficial asset attributes in RMBS and ABS transactions is contributing to the performance of both asset classes in the country. Together with structural features, Korean transactions are well protected against potential deterioration in asset performance, the agency notes.

    "If we were to identify one factor driving Korean assets' strong performance, it .......

    News Round-up 28 July 2010

  • Euro CMBS hit by first loss allocations

    According to Moody's latest surveillance report for the sector, the first loss allocations since the start of the financial crisis occurred on EMEA CMBS notes during Q210.

    Moody's analyst Lifang Chen confirms: "Three large multi-borrower transactions were affected where one or more loans were liquidated following either a discounted loan pay-off or a property sale at a price substantially below .......

    News Round-up 28 July 2010

  • Challenging month ahead for US CMBS

    According to Fitch's latest US CMBS newsletter, eight US CMBS loans are due to mature next month and - with balances greater than US$20m - are likely to default. Two-thirds of these Fitch-rated loans were originated in 2005.

    "These five-year interest-only loans with below market rates are proving to be difficult to refinance in today's lower leverage and higher mortgage .......

    News Round-up 28 July 2010

  • Trups swapped out of Taberna transactions

    Trups have been swapped out of Taberna Preferred Funding II, III and IV under supplemental indentures. Crescent Real Estate Equities Limited Partnership was an underlying asset swapped out of all three transactions, while Taberna III and IV also had Gramercy Capital Corp (GKK) swapped out.

    Taberna II held US$36.86m of Crescent Trups, Taberna III held US$28.13m and Taberna IV US$10m. .......

    News Round-up 28 July 2010

  • Aussie CMBS downgraded on restructuring

    S&P has lowered the ratings on five classes of notes issued by Becton CMBS No 1, following a review of the deal's restructuring. The ratings remain on credit watch with negative implications.

    The restructuring involves moving the scheduled maturity date to 31 Jan 2011 from 18 July 2010, with repayment milestones in September 2010 and November 2010. It also includes .......

    News Round-up 28 July 2010

  • CRE CDOs repurchased, recollateralised

    Resource Capital Corp has disclosed that during the quarter ended 30 June it purchased US$36.1m par value of notes issued by its consolidated CDOs for US$19.7m - a 45.5% discount to par, resulting in a gain of approximately US$16.4m. In addition, since 30 June the REIT has purchased US$20m par value of notes issued by its consolidated CDOs for US$13.7m .......

    News Round-up 28 July 2010

  • Certain CLO duties delegated

    Neuberger Berman Fixed Income has delegated certain loan amendment administration services for two CLOs to Cortland Capital Markets Services. Neuberger, formerly Lehman Brothers Asset Management, is transferring duties on Premium Loan Trust I and LightPoint CLO 2004-1.

    Both transactions were initially structured to allow the collateral manager to delegate any and all duties to third parties. Neuberger has entered into .......

    Job Swaps 28 July 2010

  • On a roll

    Robust US CLO secondary market sparks activity across CDO sectors

    Last week saw enthusiastic secondary market trading across a range of US CDO sectors. The activity follows on from the successful sale of a major CLO BWIC the previous week.

    "CLOs are robust," confirms one trader. "For example, a US$40m-US$45m ten item list traded 21 July and it was well received - the price prints were very nice."

    Prices ranged .......

    Market Reports 28 July 2010

  • Increased transparency?

    Stress-test positives outweigh negatives

    CEBS published the results of the European stress tests on 23 July, indicating that seven banks had failed them. Although the tests were seen to fall short in many respects, most market participants appear to have a positive view of the outcome.

    "The stress tests have to be seen as positive for the market: it will help to recapitalise the .......

    News Analysis 28 July 2010

  • Repressing recidivism

    Latest HAMP figures show low redefault rates, but may not tell whole story

    The recidivism rate for permanently modified HAMP loans has been published for the first time by the US Treasury Department (see separate News Round-up story). Recidivism rates appear to be extremely impressive, with only 7.7% of loans modified in Q309 slipping back into delinquency nine months down the line. Not everybody is convinced by the figures, however.

    ABS analysts at .......

    News Analysis 28 July 2010

  • Overhang overture

    New structures anticipated to deal with legacy assets

    Banks are estimated to hold 80%-85%, or €550bn in volume, of outstanding European legacy ABS as at mid-June. However, there is expected to be some forced selling of these positions in the coming months.

    So far, there hasn't been much pressure for financial institutions to begin dealing with their legacy ABS assets, given central bank repo and liquidity facilities. But .......

    News Analysis 28 July 2010

  • Positive tone

    European RMBS market eases past stress tests and moves tighter

    The European RMBS secondary market has seen seasonally-typical thin volumes over the past week or so. However, a return of some stability to the sector is generating a positive attitude.

    "Summer is definitely here - we're seeing low to no volumes," confirms one trader. Nevertheless, an investor says: "The market is exhibiting some reasonably positive tone."

    That tone is primarily .......

    Market Reports 28 July 2010

  • Reform repercussions

    Dodd-Frank arbitrage pondered as SEC blinks first

    The Dodd-Frank Act, which effectively repeals Rule 436(g) of the Securities Act, has many ABS practitioners and industry participants alike scratching their heads over what move the SEC will make next. But others are turning their wheels over what arbitrage opportunities now exist.

    Rating agencies, particularly the largest players, have secured their importance in the structured finance market with their .......

    News Analysis 28 July 2010

  • Auction fears

    NextStudent liquidation likely to come up short

    The first-ever liquidation of a student loan ABS is due today, 21 July. However, holders of the affected notes are looking for a higher dollar price than the set minimum price.

    Citigroup Capital Markets, as a liquidation agent for NextStudent Master Trust I, will conduct a public auction to sell the entire collateral pool to repay the outstanding notes. "This is .......

    News Analysis 21 July 2010
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