CMBS

  • Improving CMBS delinquencies continue

    The Trepp US CMBS delinquency rate dropped by 23bp to 7.43% in December, marking the seventh straight month of improvement. The delinquency rate ended the year 228bp better than where it stood at end-2012. Since reaching a peak level of 10.34% in 2012, it has dropped by 291bp.

    About US$1.3bn in previously delinquent loans were resolved with losses last month. .......

    News Round-up 7 January 2014

  • CMBX rally continues

    The CMBX index rallied for the sixth consecutive month in December, spurred by better than expected economic data, the Fed's tapering announcement and investor positioning for the roll into Series 7 at end-January. Indeed, the rally is expected to extend into early 2014.

    CMBX prices rose by an average of 1.46% in December, according to Morgan Stanley figures, compared to .......

    News Round-up 3 January 2014

  • Solvency revisions still strict

    EIOPA has recalibrated the proposed Solvency 2 spread risk charges for securitisations to increase differentiation between ABS asset classes (SCI 20 December 2013). However, securitisation remains heavily penalised under the current proposals, with the capital charges potentially making it more efficient to invest in the underlying assets than in a securitised bond.

    While proposed capital charges for some bonds are .......

    News 3 January 2014

  • CMBS liquidations inch higher

    US CMBS liquidation volume registered US$1.28bn in December, up slightly from US$1.21bn in November and in line with the 12-month moving average of US$1.18bn, according to Trepp. Of the loans liquidated, 90% fell into the greater than 2% loss severity category.

    Last month's loss severity came in at 50.36%, up from November's 48.1% and considerably higher than October's 38.58%. The .......

    News Round-up 3 January 2014

  • CRE CDO reorganised

    Collateral Management has been named successor collateral manager and successor advancing agent for Wrightwood Capital Real Estate CDO 2005-1. At the same time, servicing and special servicing rights for the CRE CDO have been transferred from Ares Commercial Real Estate Servicer to Trimont Real Estate Advisors and Torchlight Loan Services respectively.

    The move follows the transfer of equity interests in .......

    Job Swaps 2 January 2014

  • Euro ABS, MBS outlooks mixed

    After declining this year for the first time since 2008, European ABS volumes are expected to rise again in 2014. European RMBS volumes are anticipated to be broadly steady next year, while the growth seen in investor-placed European CMBS issuance could slow, according to S&P.

    Investor-placed ABS issuance reached about €20bn in 2013, down from €27bn in 2012. That is .......

    News Round-up 24 December 2013

  • NAIC changes 'mildly positive'

    The US National Association of Insurance Commissioners (NAIC) last week released its 2013 model results for RMBS and CMBS bonds owned by insurance companies, which will be used to determine their capital requirements in 2014. The 2013 valuation process incorporates improvements in underlying macroeconomic assumptions, especially for the most conservative scenario.

    Approximately 68% of RMBS experienced an increase in NAIC .......

    News Round-up 24 December 2013

  • Cherry picking

    Euro relative value trades explored

    The European securitisation market offers a number of relative value opportunities going into 2014. Top picks include CLO 1.0, mezzanine CMBS and peripheral RMBS bonds.

    European ABS relative value is being driven by seemingly irrational investor behaviour and US appetite, according to Peter Nowell, head of ABS trading at BNP Paribas. He cites Dutch RMBS as an example: the sector .......

    News Analysis 24 December 2013

  • LORDS 2 restructuring welcomed

    An extraordinary resolution to restructure the £237.7m LORDS 2 CMBS was duly passed by class A, B and C noteholders on the 20 December meeting (see SCI's CMBS loan events database). All conditions precedent to the restructuring were subsequently met and accordingly the restructuring documents have been executed.

    The loan has been extended to October 2014, with two further one-year .......

    News Round-up 23 December 2013

  • GSP Trust critiqued

    Moody's says it would have been unable to reach a rating higher than A1 for the US$375m RBS 2013-GSP Trust CMBS because it lacks a reserve or support class to absorb potential trust expenses not reimbursable by the borrower that otherwise would be passed through to certificateholders as an interest shortfall or principal loss. Fitch and S&P rated the transaction's .......

    News Round-up 23 December 2013

  • RBA reporting templates finalised

    The Reserve Bank of Australia (RBA) has finalised its reporting requirements for CMBS and other ABS, as well as measures to strengthen borrower privacy under the RMBS reporting arrangements, following a consultation on proposed new eligibility criteria (SCI 3 October). The implementation date for the new reporting requirements for CMBS and other ABS is 30 June 2015.

    From this date, .......

    News Round-up 23 December 2013

  • Canada poised for issuance up-tick

    With a sound economy, solid financial institutions and strong regulatory regime, new securitisations in Canada are poised for higher activity headed into next year, Fitch suggests. Although issuance is unlikely to reach levels seen during peak years, the agency expects increased activity across several asset classes.

    Among them is CMBS, where activity - while modest - has improved in recent .......

    News Round-up 20 December 2013

  • CMBS recoveries rebound

    After suffering a fairly sizeable setback during 2Q13, recoveries on liquidated US CMBS loans rebounded significantly last quarter, according to Fitch's latest quarterly index results for the sector. The recovery rate for CMBS liquidated loans jumped to 75.2% for 3Q13, compared to 60.5% in 2Q13.

    "23 liquidated loans had 85% or greater recovery, while recoveries on 16 of those loans .......

    News Round-up 20 December 2013

  • Credit inflows 'muted' in November

    Investor flows into hedge funds were positive for a fifth consecutive month in November, according to eVestment. New allocations of US$15.3bn brought the five-month total of inflows to US$68.5bn.

    Industry assets hit a five-year high in November of US$2.84trn and trail their pre-financial crisis peak by just over 3%. Total industry assets are on pace to increase by an estimated .......

    News Round-up 19 December 2013

  • CMBS refi wave decoded

    Trepp estimates that US$1.4trn in US commercial mortgages will mature between 2014 and 2017, with CMBS loans representing about a quarter of the total. The firm predicts that US$346bn in CMBS loans will mature between 2014 and 2017, with a peak of US$113bn maturing in 2016.

    Among the six major regions of the US, the Northeast has the greatest amount .......

    News Round-up 18 December 2013

  • Troubled malls have 'exaggerated impact'

    Absent additional enhancement, the credit quality of new issue US CMBS conduit and fusion transactions is at risk because of high losses from defaulting loans on troubled malls, Moody's reports. The agency says that a default of a single mall loan can have an exaggerated impact on trust performance: even though these defaults have accounted for only 1% of liquidations .......

    News Round-up 18 December 2013

  • CMBS pro to lead West Coast operations

    CCRE has appointed Bill Whalen as md to lead operations in its new office in San Francisco. He will focus on originating fixed and floating rate loans and expanding the firm's multifamily lending and securitisation business on the West Coast, reporting to ceo Anthony Orso.

    Whalen was previously md at Wells Fargo Multifamily Capital. He has also worked at Hamilton .......

    Job Swaps 18 December 2013

  • SFR risks analysed

    Morningstar has published a report detailing six areas that it recommends investors pay close attention to in future single-family rental securitisation proposals.

    One area is the risk presented by multiple borrowers/property managers. Only a few investors and property managers have an inventory of rental homes large enough to issue a single-borrower securitisation and that have the capability to manage all .......

    News Round-up 17 December 2013

  • Sponsor indicted for fraud

    The sponsor of and property manager for one of the loans backing the WFRBS 2013-C18 CMBS currently in the market has been indicted on federal criminal charges. The disclosure, in connection with a US$38.5m pari passu piece of the US$113.5m Sullivan Center loan, comes six days after Fitch issued a presale and expected ratings for the transaction.

    Larry Freed and .......

    News Round-up 17 December 2013

  • Diversification boost

    Euro periphery to mitigate negative net issuance?

    The European securitisation market is set to end 2013 on a positive footing, boosted by a growing diversity of new issuance. However, while the re-marketing of retained transactions is expected to further augment the peripheral paper on offer next year, negative net issuance remains a concern.

    Placed European ABS issuance volume is expected to reach about €64bn this year, 16% .......

    News Analysis 17 December 2013

  • Heavy retail concentrations seen

    KBRA notes in its November month-in-review report that the steady supply of retail loans has been a consistent theme in US CMBS 2.0/3.0 deals. The agency observed heavy retail concentrations in each of the three conduit transactions it rated last month, ranging from 30.6% to 55.4%, with an average of 45%.

    This is well above the average retail concentration among .......

    News Round-up 16 December 2013
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