CMBS

  • CMBX ratings eligibility broadened

    A rules change regarding the eligibility requirement for Markit CMBX reference obligations has been approved. The new language changes the applicable rating definition to only require ratings from at least two of Fitch, Moody's, S&P, DBRS, Kroll or Morningstar.

    The prior language stipulated that a bond must have a Fitch, Moody's or S&P rating. Bank of America Merrill Lynch CMBS .......

    News Round-up 9 December 2014

  • First downgrade for CMBS 2.0

    In what is believed to be the first case of a US CMBS 2.0 downgrade, Moody's has lowered five and affirmed seven classes of JPMCC 2010-C1. Approximately US$469m of bonds is affected by the move, which has been triggered by performance concerns.

    Moody's has downgraded by several notches the P&I classes E (US$16.1m), F (US$9m), G (US$7.2m) and H (US$6.3m), .......

    News Round-up 9 December 2014

  • Balloon date pay-offs inch higher

    The percentage of US CMBS loans paying off on their balloon date inched up in November to 75.6%, according to Trepp. This reading is over three points higher than the October rate of 72.5%.

    The rate is also above the 12-month moving average of 68.3%. The highest rate in the last five years was in November 2013, when pay-offs totalled .......

    News Round-up 9 December 2014

  • European ABS/MBS bolstered

    European ABS/MBS markets have been bolstered by signs of ECB buying.

    Despite yesterday's disappointing ABSPP number, euro ABS/MBS spreads have stayed firm into this morning on the back of talk of ECB buying picking up this week. "We hear some Italian RMBS has been bought," says one trader. "We're not going much tighter as a result, but it seems a .......

    SCIWire 9 December 2014

  • CMBS supply steps up

    After quiet sessions in the middle (SCI 4 December) and end of last week, US CMBS bid-list volume was over US$200m yesterday. Secondary spreads were mixed, with supply split between pre- and post-crisis names.

    SCI's PriceABS data captured more than 30 unique US CMBS tranches out for the bid, with cover prices recorded for around a .......

    Market Reports 9 December 2014

  • Reg AB 2 in review

    Shelf-eligibility and data disclosure discussed

    Representatives from Lewtan and Dentons recently discussed the considerations for implementing Regulation AB 2 in a live webinar hosted by SCI (view the webinar here). Topics included privacy concerns, data requirements and practical implications going forward.

    Q: What is the background to Regulation AB 2?
    A:     Ned Myers, svp, Lewtan: Reg AB 2 rules were initially proposed back in 2010 .......

    Talking Point 9 December 2014

  • Report calls for higher mezz charges

    A new report from the BIS states that a simple and transparent asset pool does not translate into mezzanine tranches that are simple to assess. The report sets out the view of policymakers that mezzanine securitisation tranches therefore require substantial safeguards, which should be proportionately much larger than those for the underlying assets.

    The Basel Committee is expected to disclose .......

    News 8 December 2014

  • Bounce in loss severity

    While the disposed US CMBS loan balance continued to fall in November, a bounce in loss severity countered the drop, according to Trepp. JPMCC 2007-CB19 contributed the highest severity to the end-of-month numbers, with total losses for the deal reaching almost US$99.8m out of the US$129.8m outstanding balance for the liquidated loans. Value City, Marriott-Memphis and Beaver Brook Village are .......

    News Round-up 8 December 2014

  • Office drives CRE price rise

    Gains in major markets drove an overall increase in US CRE property prices in October, according to the latest Moody's/RCA Commercial Property Price Indices (CPPI) national all-property composite index. CBD office prices led the way, increasing by 12.6% over the last three months, driving a 5.4% gain in major market prices over the same timeframe.

    The gain in CBD office .......

    News Round-up 8 December 2014

  • Euro ABS/MBS BWICs quiet pre ABSPP number

    There's little to distract the European ABS/MBS market as it awaits this afternoon's ABSPP volume update with only two BWICs currently circulating.

    There is a £6m line of GRAN 2004-1 3A due at 12:00 London and at 15:00 a three line mixed list consisting of: €32.3m of AYTPI I A, €5m of MESDG DELT A and £11m of RMAC 2003-NS4X .......

    SCIWire 8 December 2014

  • European ABS/MBS hold steady

    Spreads are still holding steady in European ABS/MBS this morning, albeit on continued low volume levels.

    "It's another quiet day today and we've only got a few BWICs due," says one trader. Of those he highlights a four line €58m Spanish seniors list due at 14:30, which consists of: TDA 16 A1, TDA 19 A, TDAC 7 A3 and TDAI .......

    SCIWire 5 December 2014

  • Bakken exposure highlighted

    The recent decline in oil prices has potential implications for some US CMBS 2.0 loans secured by properties located in the Bakken formation. Morgan Stanley CMBS strategists identify 25 loans totalling US$251m securitised across 18 2013 and 2014 vintage deals with exposure to properties located in four North Dakota cities - Williston, Dickinson, Minot and Watford City.

    All but one .......

    News Round-up 5 December 2014

  • SCI conference line-up unveiled

    Final panellist line-ups have been announced for SCI's 8th Annual Securitisation Pricing, Investment and Risk Seminar, which is taking place on 12 December in London. The event is being held at Reed Smith's offices at Broadgate Tower, 20 Primrose Street, EC2A 2RS.

    This conference will focus on relative value in light of ongoing regulatory challenges and the ECB's ABSPP. The .......

    News Round-up 5 December 2014

  • Delinquency rates drop

    The Trepp US CMBS delinquency rate posted its biggest drop in 10 months in November after falling by 34bp, which contrastingly follows the largest monthly gain in over two years at an 11bp increase in October. In the process, the delinquency rate fell below 6% and hit its lowest level in five years.

    The delinquency rate for US CMBS is .......

    News Round-up 4 December 2014

  • Post-crisis names dominate

    US CMBS bid-list volume fell to around US$44m yesterday, with generic spreads remaining mostly unchanged during the session. Supply was dominated by post-crisis names, many of which made their debut in SCI's PriceABS archive.

    Of these debutants, a trio were Ares bonds: ACR 2014-FL2 B, C and D. All three tranches were talked at 100 area, with the .......

    Market Reports 4 December 2014

  • Euro ABS/MBS slow further

    Activity in European ABS/MBS secondary markets has continued to slow throughout this week.

    "We did see some decent customer flows at the start of the week, but it's got quieter since - yesterday was very, very quiet," says one trader. "Today isn't much better, but there are some BWICs here and there."

    ABSPP-eligible ABS/MBS are for now at least holding .......

    SCIWire 4 December 2014

  • Stable investment

    Low-risk option attracting investors

    The overlap between stable value (SV) funds and securitisation is increasing, given that high grade ABS offers the benefits of low risk and steady, predictable returns. However, SV strategies remain somewhat constrained by the conservative nature of their financial objectives.

    SV funds are capital preservation investment options available in 401(k) and other types of savings plans. Douglas Trevallion, md at .......

    News Analysis 4 December 2014

  • Mixed reactions in European ABS/MBS

    European ABS/MBS markets appear sanguine about yesterday's announcement that the first week's ABSPP volume was only €368m. Meanwhile, the news that Deutsche Annington is to buy Gagfah for €3.9bn has given a boost to the CMBS market.

    "The market is still a bit quiet this morning with no real reaction to yesterday's ECB number," says one trader. "People were disappointed .......

    SCIWire 2 December 2014

  • Consultation response welcomed

    CREFC Europe has welcomed the Bank of England's response to its consultation on improving credit information with regard to the UK CRE debt market. It says it strongly supports better information and transparency in CRE debt markets, having previously expressed support both for the central bank's proposal for a CRE loan database and for a broader package of recommendations put .......

    News Round-up 1 December 2014

  • European ABS/MBS ramps back up

    The European ABS/MBS markets are ramping back up after a relatively quiet end to last week.

    The secondary market saw patchy trading continue through Friday with spreads ending the week broadly softer. Meanwhile, the BWIC schedule slowed with the US being out, but is already building up again.

    Currently the first auction scheduled for today is an 11.9m original face .......

    SCIWire 1 December 2014

  • Japanese market outlook 'positive'

    Strong credit quality and good collateral performance will remain features of Japanese securitisation markets in 2015, despite the contraction in the country's GDP, says Moody's. Performance will be underpinned by ongoing strict underwriting standards and supportive labour market conditions.

    Default rates for consumer ABS are expected to be stable at low levels, owing to already low unemployment and government policies .......

    News Round-up 27 November 2014
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