CMBS

  • FHSL 2006-1 resolution eyed

    Both the RPI and interest rate swap providers for the Fairhold Securitisation CMBS are set to exercise their rights to terminate the hedges. A period of lengthy discussion is now expected between the borrower (ultimately the Tchenguiz brothers), bondholders and swap counterparties with a view to a resolution.

    At the last reporting date in May, the aggregated mark-to-market of the .......

    News Round-up 9 October 2015

  • CMBS ruling logic questioned

    A legal ruling has had to fill in the gaps in documentation for yet another pre-crisis transaction - Gemini (Eclipse 2006-3) - as CMBS 1.0 shortcomings continue to cause problems. However, while the court has ruled in favour of what it believes is most in line with the deal's intended economics, its logic has been questioned.

    The court was asked .......

    News 8 October 2015

  • Euro secondary return continues

    Activity and prices in the European securitisation secondary market continue to return to normal, but liquidity is still below usual levels for this time of year.

    "We saw flows across all asset classes yesterday," says one trader. "Even UK non-conforming is taking off having been very quiet recently."

    Peripherals are continuing their rise of recent days. "Prices are up noticeably, .......

    SCIWire 8 October 2015

  • New US property price peak

    Central business district (CBD) office was the best-performing segment of Moody's/RCA Commercial Property Price Indices (CPPI) national composite index in the last three months. CBD office prices rose 6.3%, with suburban office prices rising 3%.

    The CPPI rose 1.6% in August, led by a 1.8% rise in the core commercial segment. It has now topped its pre-crisis peak on a .......

    News Round-up 7 October 2015

  • Euro secondary accelerates

    The pick-up in activity and pricing levels in the European securitisation secondary market is accelerating.

    Yesterday saw a further improvement in sentiment on the back of the same in broader markets. As a result, flows increased, though liquidity is still very patchy, and spreads were broadly flat to slightly tighter. Prime spreads, including autos, continue to hold firm, but it .......

    SCIWire 7 October 2015

  • Synthetic CRE note prepped

    Scope Ratings has assigned a preliminary triple-B rating to an unusual synthetic securitisation. The €10m Herrenhausen Investment - Compartment IV note represents the 10.9% first-loss exposure to a €97m syndicated portion of a €347m commercial real estate loan.

    The loan was issued by a Landesbank, and syndicated with Deutsche Hypothekenbank and another German mortgage lender. It is exposed to the .......

    News Round-up 7 October 2015

  • Limited cap change effect for CMBS

    The capitalisation rate increases likely to follow a move by the Federal Reserve to raise interest rates will have little effect on the ratings assigned to new issue CMBS, says Moody's. Among seasoned transactions, recovery rates for specially serviced loans could decline and the percentage of loans unable to refinance at maturity could increase.

    Moody's expects the 10-year Treasury rate .......

    News Round-up 6 October 2015

  • Euro CMBS leader appointed

    DBRS has appointed Christian Aufsatz to its London office, where he will lead the European CMBS team. He was previously head of European securitised products strategy at Barclays.

    At Barclays, Aufsatz led analysis and research for European securitised products, with a focus on CMBS and CLOs. He previously spent eight years at Moody's, where he became team leader for EMEA .......

    Job Swaps 6 October 2015

  • Euro secondary slowly improves

    Tone and activity are slowly picking up in the European securitisation secondary market.

    Bolstered by stronger broader markets sentiment in most secondary sectors has improved, which is helping to stabilise spreads and encourage participants to return, but liquidity remains generally thin. In prime, autos led the way yesterday notably in VW assets, whereas in peripherals Portuguese bonds saw the biggest .......

    SCIWire 6 October 2015

  • CMBS vintage differences grow

    There are considerable differences between early US CMBS 2.0 transactions and those rated in 2015, says Fitch. The rating agency continues to observe declining underwriting standards and increasing credit enhancement levels.

    Credit enhancement has significantly increased at both triple-A and triple-B minus since 2010. Triple-A credit enhancement has increased from 17.125% in 2010 to 23.625% in 2015, while triple-B minus enhancement .......

    News Round-up 5 October 2015

  • CMBS 2.0/3.0 defeasance tallied

    In a review of US CMBS 2.0/3.0 remit reports, Morgan Stanley CMBS strategists find that 75 loans totalling US$1.5bn have prepaid and 155 loans totalling US$3.4bn have defeased, driven by rising property valuations and falling interest rates. An additional 88 loans totalling US$2.2bn have paid off during their open periods or at maturity.

    As a result of these prepayments, 19 .......

    News Round-up 5 October 2015

  • Euro secondary mixed

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

    For the most part ABS/MBS is still being hampered by very thin liquidity and prices are softening across the board. Prime assets continue to benefit from a buying bias albeit only in pockets. Unsurprisingly autos remain the main focus and are seeing reasonably healthy two-way flows, though spreads continue .......

    SCIWire 5 October 2015

  • Underwriting push-back?

    Concerns over the US$115m Prudential Plaza loan are believed to be behind COMM 2015-CCRE26 pricing this week at a significant concession across the capital structure. Morgan Stanley CMBS strategists suggest that underwriting of the loan, the largest in the deal, provides little margin for error and that it may be a future modification candidate under certain scenarios.

    The COMM 2015-CCRE26 .......

    News 2 October 2015

  • ESMA reports on rating agencies

    ESMA has published two sets of technical advice and a report on the regulation of credit rating agencies in the EU. These papers consider measures to provide stronger controls around credit ratings for structured finance instruments and to reduce reliance on credit ratings.

    The report finds that regulation has improved the governance and operation of rating agencies but that it .......

    News Round-up 2 October 2015

  • Delinquencies drop lower

    After four months of negligible movement, the Trepp US CMBS delinquency rate dropped significantly lower in September, falling by 17bp to 5.28%. The rate is now 75bp lower than the year-ago level and 47bp lower year-to-date.

    US$1.4bn in loans became newly delinquent last month, which put 26bp of upward pressure on the delinquency rate. Almost US$700m in loans were cured, .......

    News Round-up 2 October 2015

  • Agency seeks above-currency comments

    S&P is requesting comments on proposed changes to its methodology for assigning ratings above the foreign currency ratings on the sovereigns in a multijurisdictional structured finance transaction. The proposed criteria would constitute a global framework.

    Few rating changes are expected if the proposed criteria are adopted. From a test on CDOs, CMBS, ABS and covered bonds, the rating agency expects .......

    News Round-up 2 October 2015

  • SCI conference line-up unveiled

    Panellists have been confirmed for SCI's 8th Annual Securitisation Pricing, Trading and Risk Seminar, which is being held on 7 October in New York. The event is being held at Bank of America's offices at 250 Vesey Street (formerly Four World Trade Center).

    The conference programme consists of a series of roundtables and panel debates focusing on issues affecting the .......

    News Round-up 1 October 2015

  • New fund targets SF investment

    Franklin Templeton Investments has launched the Franklin K2 Long Short Credit Fund, which will invest in a variety of credit strategies. It aims to provide investors with access to a select group of hedge fund managers in a single diversified portfolio, while providing daily liquidity.

    Franklin Templeton acquired hedge fund solutions provider K2 Advisors in 2012. The new fund aims .......

    News Round-up 1 October 2015

  • Agency proposes new rating type

    S&P has issued a request for comment on its proposed criteria for assigning a new rating type. It would be specific to the financial obligations which structured finance special-purpose entities enter into with banks or other entities on the issuer's credit risk under a contract such as a swap or liquidity facility.

    The new counterparty instrument rating (CIR) would address an .......

    News Round-up 1 October 2015

  • Euro secondary improves

    Tone in the European securitisation secondary market is improving in line with broader market sentiment, but activity remains limited away from VW.

    "Yesterday was very quiet again, but that is typical of quarter-end," says one trader. "However we did start to see bids back in VW ABS and it had stabilised at its wides by the close. This morning it .......

    SCIWire 1 October 2015

  • CMBS liquidations move back up

    Trepp reports that US CMBS loan liquidation volume rose back above US$1bn after lower summertime totals in July and August. In total, US$1.02bn across 70 loans were liquidated with losses in September, with the majority of the increase due to a jump in average loan size to US$14.56m from US$11.48m and US$9.44m in August and July respectively.

    Seven loans totalling .......

    News Round-up 30 September 2015
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