CMBS

  • Hope note recovery rates examined

    The principal recovery rate of liquidated US CMBS hope notes hit 27.2% in 2016, its highest point since 2011. A recent Moody's analysis shows that the 224 hope notes totalling US$2.74bn disposed of since 2009 registered a weighted average recovery rate of 22%, recovering US$601.6m that may have otherwise been a loss, had the collateral been liquidated at the time .......

    News 7 March 2017

  • Enforcement actions to remain rare

    European CMBS note EODs have occurred frequently, but with few instances in which enforcement actions have been triggered. While a peak in note EODs among 1.0 deals is expected this year, noteholders' unwillingness to initiate enforcement actions is unlikely to change.

    A recent Moody's analysis reveals that only three out of 32 EODs ultimately resulted in an enforcement action - .......

    News 6 March 2017

  • CMBX mall exposures stressed

    A new Morgan Stanley study applies stress scenarios to mall exposures across the IHS Markit CMBX.6 to CMBX.10 indices in order to identify relative value. The results suggest that CMBX.8 is the best index to short, given a broader downturn in commercial real estate.

    The Morgan Stanley study identifies 168 malls encumbered by a total of US$12.1bn of CMBS debt .......

    News 3 March 2017

  • Horizontal retention CMBS debuts

    JPMorgan is prepping an innovative US$1.1bn conduit CMBS collateralised by 43 commercial mortgage loans secured by 59 properties. Dubbed JPMCC 2017-JP5, the deal is the first conduit CMBS to utilise the horizontal structure to satisfy risk retention requirements.

    The retaining sponsor will satisfy risk retention requirements by purchasing an eligible horizontal residual interest through its majority-owned affiliate. Starwood Mortgage Funding .......

    News 2 March 2017

  • Closures to increase CMBS strain

    The effect of the expected closure of Macy's and Sears stores has already been anticipated by the CMBS market (SCI 6 January), but JC Penney's announcement that it too will close 130-140 stores has added considerably to concerns. A significant number of CMBS loans are exposed to all three retailers.

    JC Penney returned to profitability last year for the first .......

    News 2 March 2017

  • Proposed retention metric assessed

    Risk retention regulations in Europe and the US are severely flawed with respect to their key intention of imposing a strict loss retention requirement, argues a Sustainable Architecture for Finance in Europe (SAFE) white paper published last month. A new risk retention metric (RM) measuring an issuer's level of retention relative to the expected loss of a given securitisation is .......

    News 1 March 2017

  • Trading expansion underlines optimism

    INTL FCStone's broker-dealer rates group has expanded its trading remit into US agency CMBS and a wider spectrum of ABS, following the formation of a new securitised products group. Alongside its existing involvement in other securitised mortgage products, the move signals the firm's optimism about the value structured products will bring in 2017 and beyond.

    Rob Laforte, senior md, head .......

    News 28 February 2017

  • Crossover opportunities touted

    Although the investor community tends to remain 'monogamous' with regard to CLO and CMBS exposures, the asset classes can offer returns and opportunities for crossover investors. A new JPMorgan study suggests that while US CLOs are cheap at the top of the stack, CMBS offers value in comparably rated tranches at the triple-B level, but CLO double-Bs offer value for .......

    News 28 February 2017

  • CMBS liquidation trust prepped

    An innovative liquidation vehicle backed mainly by commercial real estate loans is marketing. Dubbed VSD 2017-PLT1, the securitisation has an aggregate unpaid principal balance of US$378.1m and monetises recoveries from performing, non-performing and REO assets to pay the notes.

    Interest payments can be deferred by up to one year, if there are insufficient funds to make the payment, while principal .......

    News 24 February 2017

  • Defeasance trending down on volatility

    US CMBS defeasance activity trended lower last year, after steadily increasing year-over-year between 2013 through 2015. Many loans defeased within a few months of their open or prepayment periods, as borrowers sought either to lock in favourable refinancing or to accommodate property sales or portfolio repositioning opportunities.

    CMBS defeasance volumes in 2016 totalled US$17.2bn, down by 23% from the 2015 .......

    News 23 February 2017

  • Euro ABS/MBS edges in

    European ABS/MBS secondary spreads continue to edge in.

    "The market remains strong and well-supported," says one trader. "At the same time, we're not seeing any real rotation activity from clients - even though there's action in primary, they appear content to hang on to their secondary positions as well."

    As a result, the trader adds: "Secondary spreads continue to creep .......

    SCIWire 23 February 2017

  • MC Sports filing threatens CMBS

    Of the 15 US CMBS loans exposed to MC Sports, there are six which stand to be particularly affected by the company's bankruptcy filing last week, says Morningstar Credit Ratings. The largest loan of concern is the US$17.2m Wilsontown Shopping Center loan securitised in JPMBB 2013-C17.

    MC Sports is set to begin liquidation sales immediately at its 68 stores in .......

    News 22 February 2017

  • Deploying capital

    Chris Redmond, global head of credit at Willis Towers Watson, answers SCI's questions

    Q: How and when did Willis Towers Watson become involved in the securitisation market?
    A:     Willis Towers Watson has an international team conducting research of all credit managers and products, including securitised credit. While we had exposure to securitised credit via broad, generalist mandates beforehand, it was in the aftermath of the financial crisis when we started making dedicated, specialist allocations .......

    The Structured Credit Interview 20 February 2017

  • Student accommodation CMBS prepped

    Brookfield Asset Management affiliate GL Europe RE Holdings is prepping a £215m single-tranche UK CMBS. Dubbed Student Finance, the transaction is backed by a single loan secured by 13 student accommodation buildings located in England and Wales.

    The portfolio comprises 5,684 bed spaces across properties in Leicester, Newcastle, Nottingham, Sheffield and Wrexham, with the largest property accounting for only 21% .......

    News 20 February 2017

  • Shifting dynamics spur CMBS prepays

    The €1bn Woba loan was successfully prepaid in full this week, confirming growing speculation that the Taurus 2013-GMF1 CMBS' days were numbered. Far from being an isolated incident, the move illustrates how broken the relationship between CMBS and other debt capital markets has become.

    The Woba loan formed the collateral of the TAURS 2013-GMF1 German multifamily CMBS transaction. Bank of .......

    News Analysis 17 February 2017

  • Debut green agency CMBS priced

    Fannie Mae has priced its first green REMIC tranches as part of a multifamily DUS transaction. The US$1bn FNA 2017-M2 is the GSE's second multifamily DUS REMIC in 2017 under its GeMS programme, but the deal is unique in that two tranches are backed by 30 loans originated under the Fannie Mae green financing business and securitised as green DUS .......

    News 16 February 2017

  • Rollover risk highlighted

    A Paramount Group Operating Partnership and Blackstone Property Partners JV is the sponsor of the latest US single-borrower CMBS to hit the market. The US$975m OMPT 2017-1MKT is secured by the One Market Plaza building, a Class-A office complex located in San Francisco's South Financial District.

    The complex comprises a 27-story office tower (Stuart Tower), a 42-story office tower (Spear .......

    News 14 February 2017

  • Risk retention trends emerging

    Different retention strategies have emerged for US CLOs and CMBS leading up to and since the implementation of risk retention rules on 24 December 2016, with varying benefits also arising, such as a perception of increased quality in such deals. For the broader ABS market, however, approaches are still taking shape.

    There are five main strategies for risk retention: a .......

    News Analysis 9 February 2017

  • CMBS loans exposed to EO bankruptcy

    Eastern Outfitters' chapter 11 bankruptcy filing could affect eight CMBS loans with a combined balance of US$134.1m. The largest exposure is the US$25.2m Blackstone Retail Loan securitised in WFCG 2015-BXRP, although strong occupancy for all affected properties is expected to mitigate the risk of default.

    Morningstar Credit Ratings believes Eastern Outfitters may be counting on a buyer to take over .......

    News 9 February 2017

  • Euro secondary patchy

    Activity in the European securitisation secondary market continues to be patchy.

    Friday saw a relatively quiet session after a pick-up over the previous two days, but yesterday saw a flurry of activity and a couple of BWICs that traded strongly. Focus in ABS/MBS continues to surround peripheral paper, while CLOs remain most interested in lower mezz. Overall, sentiment is still .......

    SCIWire 7 February 2017

  • Multifamily risk-sharing debuts

    Freddie Mac has priced its first offering of multifamily aggregation risk transfer certificates. The US$1bn FMPRE 2017-KT01 is backed by multifamily mortgage loans that are awaiting sale into K-Series securitisations.

    KT certificates are designed to transfer to certain investors a portion of the credit risk associated with eligible multifamily mortgage loans prior to sale into K-Series CMBS. On the settlement .......

    News Round-up 3 February 2017
×