Complete news archive
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Small rise for US CMBS delinquencies
According to Moody's delinquency tracker (DQT), the delinquency rate on loans included in US CMBS increased by 21bp in June to 7.71%. In the US, 3,986 loans are currently delinquent with a total balance of US$49.8bn.
In June, nearly 300 loans became newly delinquent, while just under 250 loans became current, worked out or disposed, creating a 49 loan net .......
News Round-up 14 July 2010
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Aire Valley ratings on review
S&P has placed on credit watch negative its long-term credit ratings on all the notes rated in the Aire Valley Master Trust. At the same time, the agency affirmed the A-1+ short-term rating on class 1A1 in Aire Valley Mortgages series 2007-1.
Aire Valley Master Trust's arrears and losses have increased over time and, since its last issuance in July .......
News Round-up 14 July 2010
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Improved performance for UK credit cards
Fitch says the performance of UK credit card receivables improved in May 2010, with further reductions in charge-offs and 60- to 180-day delinquencies, as well as increases in monthly payment rates (MPR) and yield.
"The ongoing performance improvements are an encouraging sign," says Will Rossiter, associate director in Fitch's consumer ABS team. "However, the use of debt management programmes has .......
News Round-up 14 July 2010
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CDS liquidity scores enhanced
Fitch Solutions' CDS Liquidity Scores now provide CDS contract-level liquidity measures, in addition to the existing entity-level liquidity scores launched in 2008. This enhanced capability enables users to review market liquidity based on a variety of views and time periods; additionally, subscribers can now tailor the data files they receive from Fitch to see different cuts of the data depending .......
News Round-up 14 July 2010
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Re-thinking valuation
In the first in a series of articles on structured credit va...
Pricing models for structured credit securities have often been overly simplistic, with many institutions placing too much reliance on dealer quotes, on simple models based on credit ratings and on top-down views of collateral portfolios. As liquidity dried up in the markets, many practitioners were left in the dark, not able to reliably determine the value of their portfolios or .......
Talking Point 7 July 2010
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Revised criteria impacts Trups CDOs
S&P has lowered its ratings on 63 tranches, with a total issuance amount of US$8.84bn, from 25 US Trups CDOs and removed them from credit watch negative. At the same time, it affirmed the rating on Alesco Preferred Funding XIV and removed it from credit watch negative.
Under the rating action, 12 Alesco Preferred Funding, seven Preferred Term Securities, two .......
News Round-up 7 July 2010
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Call for accounting boards to agree on fair value
The proposals issued by FASB and IASB last week, aimed at converging rules for measuring fair value and enhancing related financial statement disclosures, are expected to benefit investors' efforts to assess risk (see last issue). But Moody's points out in its latest Weekly Credit Outlook that although the proposed rules will align the boards' definitions of fair value, the two .......
News Round-up 7 July 2010
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Euro stress tests to support the market
CEBS is expected shortly to reveal the names of the European banks that have undergone the stress tests. The results of the stress tests are slated for publication on 23 July, but their underlying methodology will likely be released before then.
Ollie Rehn, the EU's Economic and Monetary Affairs Commissioner, has confirmed that both national and EU (namely the €440bn .......
News Round-up 7 July 2010
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Two becomes one
Cat bond closes with one tranche rather than the expected two
The senior tranche of US hurricane catastrophe bond Shore Re has closed. However, the originally anticipated class B tranche for the deal has failed to materialise.
Shore Re's class A notes priced at the top end of guidance at 700bp over Treasury money market funds and demand was sufficient to fulfil the originally targeted size of US$100m. Yet there was .......
News Analysis 7 July 2010
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Short sale flurry
More selling to hurt bank junior RMBS holdings
The holders of subordinate or junior bonds - large banks for the most part - have more licks to take from an increasing number of short sales. The US government's Home Affordable Foreclosure Alternatives (HAFA) programme that facilitates short sales, where a borrower can sell property below what is owed, was put in place last April to sway banks away .......
News Analysis 7 July 2010
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Going green
Securitisation to help fight carbon emissions
The Green Investment Bank (GIB) Commission, set up by the UK government minister for climate change and Chancellor of the Exchequer late last year, has issued a report on how such a green bank should operate. The report includes potential funding strategies, with securitisation key to its approach.
Ultimately the government will decide which proposals to adopt or ignore. But .......
News Analysis 7 July 2010
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Offshore interest
Demand imbalance to continue for Australian international ABS
The latest offshore Australian transactions - brought by Macquarie Leasing and Members Equity Bank (see last issue) - indicate issuers' increased willingness to cater for different investor appetites. However, a glut of legacy paper outstanding suggests that a demand imbalance in the sector will remain for the foreseeable future.
Ilya Serov, vp and senior analyst at Moody's, points out that .......
News Analysis 7 July 2010
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Slight return
CLO BWIC trading up, but euro loans slowing
CLO BWIC activity has seen some increase over the past week or so on both sides of the Atlantic, most notably in the US thanks to the Axon Financial SIV liquidation (SCI passim). However, the underlying loan market in Europe is showing signs of a summer slow down.
One European CLO manager says: "We've seen plenty of supply from BWICs .......
Market Reports 7 July 2010
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Pockets of activity
European ABS and MBS seeing some trading, but still relatively quiet
European ABS and MBS secondary markets are still seeing some pockets of activity, but overall remain relatively quiet. Similarly, there are occasional deals to be looked at in the primary market.
One ABS trader says: "In ABS generally there has over the past few days -Monday excepted - been better activity and client interest than in the previous few weeks. .......
Market Reports 7 July 2010
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Secret service
Russel Parentela, md for BNY Mellon Structured Credit, answers SCI's questions
Q: How and when did BNY Mellon become involved with Structured Credit Connection?
Provider Profile 7 July 2010
A: Structured Credit Connection is a real-time auction marketplace, which allows us to act as agent in the structured credit trading area. We got involved based on the lessons learned from the financial crisis, a strong desire on the part of market participants for transparency and feedback we .......
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New Euro RMBS head named
Alex Maddox will join Deutsche Bank in August as head of European RMBS. In this newly-created role, Maddox will report to Doug Naidus, global head of RMBS lending and trading.
Prior to this, Maddox worked at Citadel Investment Group as head of securitised products. He joined Citadel's London office in late 2008, bringing over members of Lehman Brothers ABS trading .......
Job Swaps 7 July 2010
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UK to house global CDS data
The DTCC plans to establish a new European subsidiary. The DTCC Derivatives Repository will maintain global CDS data identical to that maintained in its New York-based Trade Information Warehouse.
A regulatory application has been filed with the FSA in London, where the subsidiary will be headquartered. The DTCC says it hopes the move will ensure regulators have "secure and unfettered .......
Job Swaps 7 July 2010
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Illiquid asset advisory formed
G2 Investment Group has entered into a strategic partnership with Asset Oversight Services (AOS), an advisory and asset management firm focused on illiquid, private credit assets. The venture will be named G2 Asset Advisors.
Brian Broesder, president of AOS, says: "Partnering with G2 gives AOS the scale and resources necessary to deliver best-in-class solutions to institutions with exposure to illiquid .......
Job Swaps 7 July 2010
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Broker boosts MBS capabilities with acquisition
Knight Capital has acquired Urban Financial Group to strengthen its institutional fixed income MBS desk. Urban Financial will provide a pipeline of home equity conversion MBS.
Urban Financial is an independent mortgage company and originator of reverse mortgages (HMBS) under the FHA Home Equity Conversion Mortgage programme. Unlike conventional private MBS, HMBS pools are guaranteed by the federal government.
"Knight .......
Job Swaps 7 July 2010
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Asia Pacific credit structuring team expands
Stefan Masuhr has joined RBS as head of credit structuring & repackaging, Asia Pacific, as the team continues to expand in the region.
Masuhr will head RBS's credit structuring capabilities throughout Asia Pacific, working closely with sales and trading on the repackaging of assets and liability and asset credit structuring. He will also work in close partnership with RBS' asset .......
Job Swaps 7 July 2010
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Broker launches advisor services platform
Knight Capital Group has established Knight Advisor Services to provide fixed income sales, trading and research to the investment advisor community. A team of five experienced traders and relationship managers have joined Knight from Morgan Stanley to form the new platform.
Joshua Zucker, md, leads credit sales and trading for the group, while Bohn Vergari becomes a director in Registered .......
Job Swaps 7 July 2010