17 May 2012
CMBS
Deutsche Bank CRE debt analysts suggest that the recent modification of the Glenborough Portfolio loan, securitised in COMM 2007-FL14, may be "one of the more questionable modifications to date". They indicate that the modification affords the borrow...
17 May 2012
CLOs
The European CLO market is alive with BWICs, but buyers and sellers are struggling to meet in the middle. While mezzanine bonds - in particular - appear attractive, ongoing eurozone concerns are weighing heavily on participants' m...
17 May 2012
CMBS
Deutsche Annington appears to be making progress in respect of its restructuring proposal for the GRAND CMBS, with an announcement expected by the end of 3Q12. It is now almost a year since discussions with noteholders commenced (SCI 30 June 2011).
...
15 May 2012
RMBS
Rescap's Chapter 11 filing (SCI 14 May) is being seen as an overall positive for holders of MBS issued by Rescap entities. MBS analysts at Barclays Capital note that the sale of the Rescap mortgage servicing rights to Fortress means bondholders are h...
14 May 2012
Structured Finance
Euro ABS bolstered by UK building societies
The European securitisation sector is proving largely immune to volatility in broader risk markets, with senior vanilla spreads tightening over the past month to finish some 15bp-20bp inside of end-Q1 levels. Sterling-denominated RMBS accounts for ne...
14 May 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineThree new deals entered the pipeline last week and remained there on Friday. Leading the way was a US$1bn CMBS originated and arranged by Goldman Sachs, Citigroup and Jefferies (GSMS 2012-GCJ7), which was joined by a US$150m DPR ABS from Banr...
11 May 2012
RMBS
Bradford & Bingley's Aire Valley UK RMBS master trust has breached its non-asset trigger, after the collateral balance fell below the £10.7bn minimum. Secondary market liquidity for the paper is consequently expected to rise...
10 May 2012
RMBS
US house prices are expected to remain around current levels for the remainder of this year and begin rising slowly during 2013 and 2014. However, credit risk will remain elevated even for seasoned loans, with borrower equity the key determinant in t...
10 May 2012
Structured Finance
SCI has today launched a BWIC service covering auctions in Europe and the US for the four main structured finance asset classes - ABS, CDOs/CLOs, CMBS and RMBS.
The platform has been updated on a daily basis with BWIC prices/covers repres...
4 May 2012
Structured Finance
The 'risk-on' rally in the European securitisation market sparked record bid-list activity in 1Q12. At €4.1bn, BWIC supply during the quarter was almost twice that seen in 1Q11, according to Citi estimates.
Bad banks and other 'wind-down'...
4 May 2012
CLOs
Many 2004-2007 vintage US CLOs have reached or are approaching the end of their reinvestment periods. If primary spreads tighten further, this could drive an up-tick in CLO refinancings and calls over the next two years.
CDO analysts at Wells Fargo...
4 May 2012
CMBS
This week has seen a rise in activity in European CMBS. Spreads have stayed fairly flat, while BWICs are still being well received, with seniors generating increasing interest.
"The market has been fairly quiet for a while and this week has not bee...
3 May 2012
RMBS
Changes to the mortgage regime in the Netherlands have been agreed as part of the new Dutch austerity budget. These changes could impact Dutch RMBS - particularly prepayment speeds - although more information is needed before thei...
2 May 2012
CMBS
The success of the New York Fed's MAX CDO sale last week has driven spreads tighter in the US CMBS market. Encouraged by the appetite the Fed witnessed, further CRE CDO sales are expected to follow.
"The Fed's Maiden Lane III auction went pretty da...
2 May 2012
CDS
The current environment makes for a good credit-picker's market, according to credit derivative strategists at Morgan Stanley. They suggest that a good credit-picking market requires above-average dispersion, volatility, spreads and liquidity ...
2 May 2012
CMBS
Further details have emerged on the resolution of a number of CMBS properties sponsored by Maguire Properties (SCI 21 March). Maguire's 1Q12 financial results reveal that several assets have been sold or put into receivership so far this year.
The...
1 May 2012
Insurance-linked securities
Faced with record new issue volumes, some ILS portfolio rebalancing was seen in the first quarter as investors digested the supply. Some lightened up on US wind risk, according to Willis Capital Markets & Advisory's latest ILS market update,...
30 April 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
Last week saw half a dozen new deals join the pipeline. The transactions were varied, comprising two UK RMBS (Darrowby No.2 and Tenterden), one credit card ABS (Canadian Credit Card Trust series 2012-1), one auto ABS (US$145m CarNow Auto Re...
30 April 2012
Structured Finance
1Q12 exceeds SF recruiters' expectations
Structured finance recruiters are breathing a sigh of relief as activity over the first quarter managed to exceed expectations. Activity is still more limited than in previous years, but there have been some encouraging signs for Q2.
"Q1 really was...
26 April 2012
Structured Finance
The European ABS market has been taking a bit of a breather over the last couple of weeks but remains active. Spreads have generally only widened very slightly, with prime RMBS even tightening.
"It seems to have been a little quieter than it had be...
26 April 2012
CDOs
CDOs broadening investor base for infrastructure assets
CDO technology appears to be making a comeback in the infrastructure sector. The vehicles are helping to broaden the investor base for these assets.
"They are being called infrastructure funds, credit loan funds or global loan funds. There are a fe...
25 April 2012
RMBS
Mix of US mortgage funding sources eyed
The pricing of four non-agency RMBS transactions over the last month suggests solid progress in the space. However, it is becoming clear that the future of mortgage finance in the US depends on a more diverse mix of funding sources.
CSMC Trust 2012...
24 April 2012
CMBS
Changing underwriting standards pose CMBS threat
The loans backing this year's US CMBS issuance exhibit looser underwriting standards than the market has become used to in the aftermath of the financial crisis. While such a loosening of standards should not be ignored, it does not appear to have th...
23 April 2012
Risk Management
Inconsistent approaches between accounting and regulatory authorities appear to be creating confusion over the mandate of CVA desks. Accounting standards focus on managing P&L volatility, while the Basel 3 CVA charge means that capital optimi...
23 April 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineFour new deals joined the pipeline and remained there last week. A US$400m CLO from Sankaty Advisors is marketing (Race Point VI), while there is also a US$103.68m ABS in the market (Conn's Receivables Funding I series 2012-A). In Europe, a &...
20 April 2012
Insurance-linked securities
John Wells, chairman of Leadenhall Capital Partners, forecasts increasing demand for and issuance of...
2011 will go down in history as one of the costliest years on record for insured losses from natural catastrophes, with Swiss Re estimating it to be the second worst to date, given losses of around US$116bn. With global news media focusing on an asto...
19 April 2012
CDOs
ABS CDO appetite surges ahead of expected supply
The New York Fed has initiated a competitive bid process in response to several reverse inquiries for the MAX CDO holdings in the Maiden Lane III portfolio (see also SCI 10 April). The move comes amid surging interest in the ABS CDO sector, with fast...
17 April 2012
CMBS
Of the large German multifamily CMBS portfolios, only Grand will extend, suggest ABS analysts at Deutsche Bank.
The analysts cite GAGFAH's recent upbeat conference call on both the €1.1bn WOBA loan (split equally between WINDM IX and DECO...
16 April 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
A few new deals hit the pipeline last week only to price by Friday. Still standing at the end of the week were two RMBS transactions (Saecure 11 and A$696.75m SMHL Series Securitisation Fund 2012-1). Finally, Oxford Finance is also in the m...
12 April 2012
CMBS
European CMBS currently looks cheap, but that is not enough to convince buyers to take the plunge as the secondary market remains quiet. BWIC activity has become more sporadic, although increased activity in the primary market could provide a boost.
...
12 April 2012
Structured Finance
Quarterly review and outlook for consumer/credit card ABS
We asked the winners of SCI's 2011 arranger awards for the consumer/credit card ABS sectors either side of the Atlantic to answer some questions to gauge their views on activity in Q1 and expectations for Q2 in the sector. Below are their answers.
...
11 April 2012
RMBS
FHFA acting director Edward DeMarco has commented on the use of Treasury incentives to forgive principal on underwater borrowers, affirming a preference for forbearance over forgiveness. The announcement effectively rules out any principal forgivenes...
10 April 2012
CMBS
Supply concerns last week drove the first major widening in US CMBS spreads since the beginning of the year. The move follows rising expectations of potential sales from the Maiden Lane III portfolio.
Generic 2007 LCF and AMs gave up nearly 20bp-30...
10 April 2012
Insurance-linked securities
Three catastrophe bonds closed last week. All saw strong investor interest and finished larger than initial size projections.
Allianz's Blue Danube (SCI 13 March) saw its two tranches reach US$120m each. The class A notes priced at 600bp over the p...
5 April 2012
CMBS
Legacy investors seek Dutch de-risking
Noteholder division over the competing Opera Finance (Uni-Invest) proposals is emerging (see also SCI 3 April). Some legacy holders of the CMBS paper look set to vote for the credit bid option as a way of reducing their exposure to Dutch secondary pr...
4 April 2012
CMBS
April is set to be another important month for European CMBS. There are 16 transactions subject to loan maturities this month, six of which have more than one loan maturing. Over half of the loans are expected to remain outstanding at the end of the...
4 April 2012
RMBS
Countrywide settlement could open floodgates
The US$8.5bn Countrywide settlement is the only sizeable potential RMBS representation and warranty recovery achieved so far. The key to the success of other such settlements is whether trustees follow BNY Mellon's lead and be more proactive.
The C...
3 April 2012
CMBS
Opera Uni proposals weighed
Whether Opera Finance (Uni-Invest) noteholders vote for a consensual restructuring or the credit bid option on 17 April is said to be too close to call. Such a dual-track strategy is designed to ensure that there will be an outcome, but there is a re...
3 April 2012
Structured Finance
ED approaches home straight
The European DataWarehouse (ED) is approaching its projected summer 2012 launch. Securitisation market participants are awaiting final confirmation of the remaining data templates and funding structures under the initiative.
Elana Hahn, partner at...
2 April 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
A variety of deals entered the pipeline last week, including the first NPL CMBS in over 10 years - the US$132m Rialto Capital Series 2012-LT1. The transaction was joined by the A$465m IDOL Trust Series 2012-1 RMBS and the US$367.5...
30 March 2012
CDS
The final European Council ban on naked shorting of sovereign CDS may be stricter than first anticipated, according to structured credit strategists at Citi. They note that regulators appear to be trying to capture trades in the US and Asia under the...
30 March 2012
CMBS
The first US non-performing CMBS in over a decade - Rialto Capital series 2012-LT1 - has hit the market. The US$132m transaction is collateralised by 271 mortgage loans securing 266 properties, 11 unsecured loans and 38 REO proper...
28 March 2012
CLOs
Excitement generated by the take-off of significant European CLO BWIC activity last month has turned to frustration and indifference. Bid-lists continue to flood the market, with notably large examples both today and yesterday, but trading is patchy....
28 March 2012
RMBS
A unit of Prudential Financial has issued an unconventional bond that is backed by a pool of legacy RMBS, but where the firm guarantees principal and interest payments. Fitting into neither RMBS nor covered bond categories, Prudential Covered Trust 2...
27 March 2012
RMBS
The volatility seen in US RMBS last week appears to have calmed down for the start of this one. However, supply in both agency and non-agency paper remains robust.
"Agency MBS widened at the end of the week as investors took profits and there was h...
27 March 2012
CMBS
Further details have emerged on the plan put forward by Eurohypo and Uni-Invest Holdings - the special servicer and sponsor respectively - for Opera Finance (Uni-Invest), which defaulted last month (SCI passim). Noteholders will h...
26 March 2012
RMBS
Mortgage strategists at Bank of America Merrill Lynch estimate that - aside from seasonal swings - the bottom of the cycle in US home prices should be reached this quarter. They expect roughly flat home prices this year and next,...
26 March 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineThe largest deal to enter the pipeline last week was FREMF 2012-K501, a US$1.1bn CMBS from Freddie Mac. It was joined by a US$377.5m equipment lease ABS (Great America Leasing Receivables Funding Series 2012-1) and a US$38.1m tobacco settleme...
23 March 2012
CMBS
US CMBS is continuing to perform strongly. The primary market is enjoying a flurry of issuance, while spreads in the secondary market remain relatively tight.
"The market has been pretty active. There have been a couple of deals pricing this week a...
22 March 2012
CLOs
Bumper CLO issuance spurring return to market heights, tights
February saw the largest monthly volume of new CLO issuance since the financial crisis. With plenty of deals remaining in the pipeline, the ability of the market to continue absorbing the supply, as well as the impact of primary issuance on secondary...
22 March 2012
CDS
As the dust settles on Monday's Greek CDS auction (SCI 19 March), market participants seem happy to move on from a saga that has dominated headlines for so long. But the overall process has highlighted shortcomings in sovereign CDS - partic...
22 March 2012
Structured Finance
As banks come under severe pressure and pull out of many areas of the securitisation market, the opportunity set for non-bank finance companies is growing. At the same time, sophisticated investors are seeking liability-driven investments with stable...
21 March 2012
CMBS
Maguire Properties has filed its 10-K statement with the US SEC, shedding light on a number of CMBS properties sponsored by the company. Several loans are either in, or heading for, receivership - although not all properties are set for dis...
20 March 2012
Structured Finance
The BWIC onslaught continues in the European secondary ABS sector. While bid-lists are keeping participants busy for now, one trader reports that the market is crying out for some more variety.
"It has been quite quiet on the flow front. The primar...
20 March 2012
CLOs
Case for subordinated CLO investment remains
The investment case for mezzanine and subordinated CLO positions remains strong. One European CLO manager has just announced the second close of a fund investing in such assets, while another Europe-based structured credit fund has reported a 15.6% m...
19 March 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
FirstRand Bank's £239m Turbo Finance 2 auto ABS entered the pipeline last week. Two ILS deals (Blue Danube 2012-1 and US$150m Combine Re) and three CMBS (US$324.8m BAMLL-DB 2012-OSI, US$452.79m Liberty Revenue Refunding Bonds serie...
19 March 2012
CLOs
At nearly US$17.3bn across 14 different issuers, February's US loan amend-to-extend (A2E) volume was the most since April 2011 and its number of amending issuers a record high, according to CDO strategists at RBS. This is said to reflect broader mark...
15 March 2012
RMBS
The Fed is to continue reinvesting principal payments from its holdings of agency debt in agency MBS. A new study illustrates that the Fed's actions have been a major technical factor in the agency MBS market.
The Fed's MBS reinvestment programme h...
14 March 2012
CDS
Muni CDS 'quirks' to remain
The launch of ISDA's 2012 US Municipal Reference Entity CDS Protocol (SCI 5 March) is expected to boost liquidity in the market, especially for single name muni CDS. But, despite efforts to increase standardisation, MCDS contracts will continue to fe...
14 March 2012
CMBS
A recent Michigan Court of Appeals decision over the Cherryland Center loan securitised in GMACC 2002-C3 has the potential to challenge the main tenets of the CMBS market - the non-recourse nature of the loans. The ultimate outcome of the l...
14 March 2012
RMBS
European principal forgiveness schemes unnerve investors
Ireland and Spain are set to introduce new debt forgiveness legislation in the coming months that will not only impact their domestic mortgage markets, but may also have ramifications for the associated RMBS. Investors are keeping a close eye on deve...
13 March 2012
RMBS
Further details have emerged on the US$25bn servicer settlements that the US federal government and attorneys general agreed with Ally, Bank of America, Citibank, JPMorgan and Wells Fargo (SCI 15 February). The largest impact is expected to be on dea...
13 March 2012
CMBS
Diverse German multifamily CMBS outcomes expected
The German multifamily sector accounts for about 20% of all securitised assets in European CMBS. Deal performance in the sector has been mixed, with noteholders frequently facing extensions and sometimes losses.
Geography is a highly significant fa...
12 March 2012
CMBS
The balance of stale US CMBS loans - loans in special servicing for longer than 24 months - has tripled over the past year. However, a new report from US CMBS & CRE analysts at Wells Fargo Securities suggests that the tren...
12 March 2012
CDS
The iTraxx family of credit indices is set to roll on 20 March. While new rules introduced by Markit are unlikely to create any major surprises, constituent changes are expected to drive the Main and HiVol tighter and the Crossover index slightly wid...
12 March 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
Last week saw four new deals enter the pipeline and remain there on Friday. Banco Santander is in the market with Santander Empresas 11, a €3.392bn SME CDO. The transaction was joined by a US$195m drug royalties CDO from DRI (Drug...
9 March 2012
CMBS
Near-term lease expiries appear to be a manageable risk for many of the five-year US CMBS loans maturing this year, according to CMBS strategists at Citi. However, lease expirations ramp up dramatically from 2015, with office expirations for example...
8 March 2012
RMBS
European primary RMBS issuance may have been limited lately, but spreads in the secondary market have tightened considerably. Dealers have been driving secondary prices up and one trader believes that spreads may tighten even further.
The trader is...
8 March 2012
CMBS
Substantial progress has been made in discussions between Deutsche Annington (DAIG) and the ad hoc noteholder group over restructuring the GRAND CMBS (SCI passim). A plan to extend the transaction through a solvent scheme of arrangement is "near fina...
8 March 2012
RMBS
A new marked-up version of CRD IV has sparked hopes that high quality RMBS will be included as an eligible asset under the liquidity coverage ratio (LCR) after all. A version of the draft directive published in late January contained language that, w...
7 March 2012
ABS
UK water companies to return to securitisation
The UK Environment Agency has put the South East of England on drought status, with reservoir levels in the region already 20% lower than normal. To help fund additional capital expenditure - both to mitigate the impact of the drought and t...
7 March 2012
RMBS
President Obama has announced changes to the FHA streamlined refinance programme, which the market has been expecting for some time (SCI passim). The changes are intended to spur refinancing by exempting borrowers from certain payment requirements.
...
6 March 2012
CDS
The difference in average CDS recoveries and average bankruptcy recoveries is four points, according to credit derivative strategists at Morgan Stanley. They point to the frequent misconception that CDS settlement represents the true 'recovery' for a...
6 March 2012
CLOs
The negative rating outlooks for many banks that serve as trustees on CLOs raises the possibility that at some point certain counterpaties may no longer be eligible to service CLOs and will have to be replaced by the deal's issuers. In Moody's latest...
5 March 2012
RMBS
Kazakh RMBS highlights EM ABS redenomination risks
A decision by the Supreme Court of Kazakhstan to prevent the indexation of mortgage balances to the US dollar has highlighted the continuing legal and currency risks involved in emerging market securitisations, particularly during time of economic st...
5 March 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineLast week saw several deals enter the pipeline and price within days, although a few new names remained on Friday. Domino's is in the market with a US$1.675bn whole business securitisation (Domino's Pizza Master Issuer Series 2012-1), while t...
5 March 2012
ABS
US investors hungry for UK credit card ABS
Barclays last week priced its latest UK credit card ABS, with the largest tranche denominated in US dollars. US accounts are increasingly looking to invest in UK credit card paper for several reasons and that interest is expected to continue.
Barcl...
1 March 2012
CMBS
CMBS extension trades gaining traction
US special servicer activity has risen over the past two months, resulting in approximately US$3.7bn newly-modified loans. With term extensions being the most common modification strategy, investors are increasingly looking to CMBS extension trades t...
28 February 2012
CMBS
The European secondary CMBS market has been trading up recently. Investor demand is particularly focused on the top of the capital structure, although not necessarily only for top-quality deals, while BWIC activity has also been strong.
"There has...
28 February 2012
RMBS
Countrywide settlement moves closer
Bank of America's US$8.5bn Countrywide RMBS settlement case has returned from federal court to New York state court, likely hastening its approval. A resolution of the settlement is expected to provide a blueprint for similar cases against other larg...
27 February 2012
CDS
CDS market 'perks up' ahead of Greek bond exchange
Low participation rates in the forthcoming Greek government bond exchange are expected to bring collective action clauses (CACs) into play, thus triggering CDS contracts on the sovereign (see also SCI 26 January). However, the impact on the market is...
27 February 2012
Structured Finance
Steps taken to address LCR requirements
The securitisation industry remains hopeful that highly rated ABS will ultimately be eligible under the Basel 3 liquidity coverage ratio (LCR). In the meantime, steps are being taken to address the treatment under the LCR of unused bank commitments t...
27 February 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
Another busy week for the pipeline saw a variety of new deals remaining on Friday. Barclays is in the market with Gracechurch Card Programme Funding 2012-1 and 2012-2, which are sized at £750m-equivalent and €300m respect...
23 February 2012
Risk Management
The evolution of CVA discussed
Representatives from SunGard and Navigant Capital Advisors recently came together to discuss current themes related to CVA and counterparty risk in a live webinar, hosted by SCI (view the webinar here). Topics included the implementation of relevant...
23 February 2012
Structured Finance
Asian issuers look to emulate Aussie covered bond success
Momentum in the Asia-Pacific covered bond sector is building. While the implementation of new legislation in Australia has triggered significant issuance from that jurisdiction, activity in South Korea and Singapore is expected to materialise within...
22 February 2012
RMBS
FHFA acting director Edward DeMarco yesterday sent Congress a strategic plan for the next phase of the conservatorships of Fannie Mae and Freddie Mac. However, it appears not to be the concrete plan of action that some were hoping for.
The FHFA pla...
20 February 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineIt has been another busy week for the pipeline, with six new deals remaining on Friday. Two auto ABS (R$930m Driver Brasil One FIDC and €92.3m TruckLease Compartment No 2), two cell tower CMBS (US$107m GTP Cellular Sites series 2012...
17 February 2012
Structured Finance
Attractive opportunities seen across asset classes
A more 'risk-on' attitude has been evident across the securitisation markets recently, despite the sector facing many of the same headwinds this year as in 2011. While the sovereign debt crisis might mean that certain jurisdictions are off-limits for...
17 February 2012
RMBS
Relative merits of covered bonds versus RMBS discussed
Interest in covered bonds continues to grow, partly due to favourable regulatory treatment. However, panellists at a recent covered bond seminar hosted by S&P highlighted the potential dangers of over-promoting the instruments at the expense...
17 February 2012
CMBS
Blackrock's iShares has launched an exchange-traded fund referencing the Barclays Capital US CMBS (ERISA Only) Index. Should the product grow significantly from its initial size of US$7.4m, it could prove a useful addition to the array of trading ins...
16 February 2012
CMBS
The strong rally in the US CMBS market has eased off over the last two weeks. Trading is currently concentrated around AM and AJ tranches, with activity expected to pick up again in the near future.
"The CMBS market has changed a lot over the last...
16 February 2012
CLOs
RBS analysts have run a series of scenarios to investigate the impact of another credit cycle similar to the one seen in 2008-2011. They find CLOs to be highly resilient during periods of high defaults and advocate investing as far down the capital s...
16 February 2012
RMBS
UK RMBS issuers began providing loan-level data and cashflow models to investors - as required by the Bank of England (SCI 31 October 2011) - in November. JPMorgan ABS strategists have analysed the loan tapes, with the aim of prov...
15 February 2012
Structured Finance
Richard Cooperstein, president of RangeMark Analytics, answers SCI's questions
Q: How and when did RangeMark Analytics become involved in the structured finance markets?
A: RangeMark Analytics was formed when I joined RangeMark Financial Services along with my analytics platform - Fixed-Income Valuation Platform (SCI...
14 February 2012
Risk Management
DVA best practises still evolving
Debt value adjustment (DVA) became a hot topic when banks announced their 3Q11 earnings, due to the magnitude and direction of the amounts reported. Best practises for pricing and hedging DVA have yet to be established, with swings in this component...
14 February 2012
CLOs
Last week was one of the busiest the US secondary CLO market has seen since 2Q11. Bid list volume was US$1.3bn, the largest weekly amount in a year.
Trading off the lists was strong and 99% of paper was traded, with the Street taking down about hal...
14 February 2012
CMBS
The Retreat at Stonebridge Ranch loan securitised in the Freddie Mac SPC Series K-704 CMBS was transferred to special servicing yesterday. It is believed to be the first time this has happened to a large loan securitised in the Freddie Mac K series.
...
13 February 2012
RMBS
The rally in US non-agency RMBS continued last week, but may now be getting ahead of itself. Subprime prices were up by half a point or a point on the week, while average generic spreads on non-investment grade bonds were between 25bp and 50bp.
RMB...
13 February 2012
CDS
Index CCDS launch approaches
Credit derivative dealers and CVA desks are gearing up for the introduction of index-linked contingent CDS (CCDS), which it is hoped will not only constitute an effective hedge for CVA regulatory capital charges, but will also be more liquid and cost...
13 February 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineMany deals entered the pipeline last week only to price by the end of it. Only two transactions remained on Friday: a £1.01bn whole business securitisation sponsored by Center Parcs (CPUK Finance) and a US$75m ILS from Munich Re (Que...
10 February 2012
ABS
Thierry Berthold, co-head of insurance and European structured credit solutions at Natixis in Paris,...
There is good reason to be optimistic for the catastrophe bond market in 2012, particularly in Europe. Asset managers are showing an increasing willingness to accept cat bonds as a viable asset class and the increase in new capital via dedicated ILS...
10 February 2012
CMBS
Large 'geo-series' CRE sales posted on auction.com helped drive US CMBS conduit liquidation volumes in 2011. The signs are that in the first part of this year at least they will continue to have a major impact on the sector.
Auction.com has already...
10 February 2012
RMBS
The US federal government and 49 state attorneys general (all states except Oklahoma) have reached a US$25bn agreement with the nation's five largest mortgage servicers to address mortgage loan servicing and foreclosure abuses (SCI passim). The move...
9 February 2012
CLOs
There has been a rally in European CLOs over the last couple of weeks. Activity has picked up dramatically after the slow start to the year and one trader believes this could be just the beginning.
"CLO-land has seen quite a bit of activity over th...
8 February 2012
RMBS
Loss severity varies across US mortgage servicers by about 14 points: servicers with lower advance rates tend to have lower severity prints, while those with longer timelines have higher prints. ABS analysts at Bank of America Merrill Lynch expect lo...
8 February 2012
CMBS
The elevated levels of liquidation volumes in the US conduit CMBS universe seen last year have continued into 2012 and, at the same time, loan loss severities have been rising steadily since the middle of last year. A new report from US CMBS...
8 February 2012
Structured Finance
Sovereign default and re-denomination risk remain
European structured finance trading and issuance trends have been impacted by wider concerns stemming from the European sovereign debt crisis - particularly towards the end of 2011, when spreads moved steadily wider and issuers shied away f...
7 February 2012
Structured Finance
Acceptance of lower-rated securities, different criteria to broaden
Sovereign rating ceilings - once a consideration only for emerging market credit structures - began to matter last year for the first time in European ABS. Given the consequent difficulty of securing a triple-A rating for many iss...
7 February 2012
CLOs
The threat of a new recession in Europe has highlighted that the performance of a few issuers could have negative repercussions for the entire European CLO universe, according to Moody's in its latest CLO Interest publication. Having studied the broa...
6 February 2012
CMBS
An increase in dispositions of larger CMBS loans in the coming months would not be a surprise, according to Citi securitised products analysts. They argue that there are three drivers behind such an expectation.
First, while special servicers may c...
6 February 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
Pipeline
Principal Residential Investment Mortgages 1, a €178.6m RMBS, entered the pipeline last week. It was joined by Rhode Island Student Loan Authority 2012A, a US$17.94m student loan ABS. Credit Suisse Asset Management's latest CLO, M...
3 February 2012
CLOs
The latest Wells Fargo Structured Products Monthly examines TRACE trade data for the structured credit sector from mid-August 2011 onwards. US CLO analysts at the bank find that, thus far, the data largely matches conventional wisdom espoused by CLO...
3 February 2012
CMBS
Sainsbury's has disclosed that it may not redeem the Eddystone Finance CMBS on its April 2013 step-up date. How principal will be allocated to the notes post non-call remains unclear, however.
European CMBS strategists at Barclays Capital believe t...
2 February 2012
CDS
CDS indices experienced a strong rally during the first month of the year, with credit investors adding risk on both sides of the Atlantic. Indeed, the CDS-cash basis turned significantly more negative in January, as CDS outperformed the cash market....
1 February 2012
CMBS
The latest documents released as part of PJ Alliance's bankruptcy filing reveal a new reorganisation plan, which is expected to be reflected in a modification of the US$475m Alliance SAFD-PJ portfolio loan securitised in CSMC 2007-C2. Although conces...
1 February 2012
RMBS
The latest Granite UK RMBS investor report shows that the master trust passed a minor milestone in December, by finally completing the top-up of reserve funds to their increased levels following the breach of the arrears and step-up triggers. The com...
30 January 2012
CMBS
January has proved to be a productive month for US CMBS and last week was no exception to that trend. New issuance has been well received and spreads in both the primary and secondary market are tightening.
"The huge change in sentiment lately has...
30 January 2012
CLOs
Positive market sentiment drives CLOs tighter
Buoyed by bullish sentiment in the broader capital markets, US CLOs have started 2012 on a positive footing. Primary issuance spreads are narrowing relative to late-2011 levels, while robust secondary market activity has been subject to increasing bi...
30 January 2012
RMBS
HAMP programme guidelines have been expanded, with the intention of helping a broader array of borrowers receive loan modifications. The changes are expected to be potentially significant for modification volumes.
Among the key changes announced on...
30 January 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineA further three deals joined the pipeline last week. Two auto ABS deals (€460m FCT TitriSocram Compartment TitriSocram 2012-1 and €561.8m Red & Black Auto Germany 1) and one RMBS - Lloyds' Arkle 2012-1 &a...
27 January 2012
CMBS
Tiering within European CMBS is gradually forcing the best and the worst loans to leave the universe. Absent new primary issuance, this trend could result in European CMBS morphing into a non-performing loan asset class in which the securitised colla...
26 January 2012
Structured Finance
Traditional recruitment cycle yet to begin
Structured finance recruitment tailed off towards the end of last year and the early signs are that it will take a while to restart this year. Despite the generally muted outlook, pockets of hiring activity remain.
After the groundwork has been don...
26 January 2012
RMBS
RMBS continues to lead the way for the European securitisation markets. Secondary trading in the sector is active, with the benchmark Granite programme in particular attracting interest.
"The market has exhibited a pretty positive tone over the las...
26 January 2012
CDS
CAC proposal could eliminate need to sidestep CDS trigger
Serious questions are being raised about the future of CDS, following a recent credit event (see box) and the ongoing euro area sovereign crisis. However, a recent proposal by the Greek finance ministry could satisfy all parties concerned -...
25 January 2012
RMBS
President Obama's State of the Union address yesterday included a section on mortgage refinancing initiatives. However, while MBS valuations could see a knee-jerk reaction as a result, ultimately the chances of this programme winning Congressional pa...
24 January 2012
Structured Finance
The European securitisation market has begun 2012 on a positive footing: buoyed by a rally in European risk assets that was prompted by the ECB's LTRO programme, both ABS and RMBS have been better bid on the secondary market since the start of the ye...
24 January 2012
CMBS
The wrangling over the JW Marriott Las Vegas Resort & Spa loan, securitised in CSMC 2007-TFLA, continues. CMBS investors are concerned that the case could set a negative precedent that may result in further artificially low valuations benefit...
24 January 2012
CDS
Anu Munshi, partner at B&B Structured Finance, explores the impact of debt restructuring on CDS ...
An old school friend with a great business idea comes to you and three other similarly well-off school friends and asks if you'd lend him money for his business. He needs US$40,000 and expects he can pay it back in one year with 10% interest. The fou...
23 January 2012
CMBS
Thirty European CMBS loans, accounting for €1.8bn, are due to mature this month. Issuer notifications regarding these loans have not been positive to date and this trend is expected to continue for the most part.
Of the loans maturing thi...
23 January 2012
CLOs
Synthetic balance sheet CLOs are one of the few asset classes within the Asia (ex-Japan) structured credit market tipped for growth in 2012 as banks look to employ the structure for regulatory capital relief trades (SCI 23 December 2011). Investor in...
23 January 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineThe increased rate of deals entering the pipeline continued last week with seven new names announced. Two CMBS deals (US$1bn Freddie Mac SPC series K-705 and US$1.154bn GS MST 2012-GC6) were joined by two Canadian ABS transactions (Master Cre...
20 January 2012
CDS
Trade execution, fragmentation in the spotlight
The issues of anonymity and real-time trade acceptance under Dodd-Frank appear to be splitting the OTC derivatives dealer community. At the same time, the competitive landscape is also proving tricky for CCPs.
"Real-time trading is at the heart of...
20 January 2012
CMBS
The European secondary CMBS market has seen a pick-up in activity over the last few days. However, activity is effectively limited to smaller players and broader market involvement still remains elusive.
"The market has not been extremely busy and...
19 January 2012
CMBS
CMBS loan mod, refi likelihood explored
December saw the second highest volume of US CMBS loan modifications ever, after the GGP-related spike in 2010. The most visible increase in liquidations during the month, meanwhile, came from the 2007 vintage - ahead of the wave of five-ye...
19 January 2012
Structured Finance
Corporate trust service providers explore post-crisis landscape
Representatives from leading corporate trust service providers met with SCI late last year to discuss the post-financial crisis trustee and agency landscape. Regulatory and market infrastructure challenges were at the forefront of their minds. (The f...
18 January 2012
CDS
Bespoke structured credit activity continues in various guises in both the primary and secondary markets, despite the increasingly punitive regulatory environment. While most of the legacy structured credit market is no longer deemed to be distressed...
17 January 2012
Structured Finance
TRACE data having mixed liquidity impact
The US structured trading activity and pricing information that FINRA has made available to the market over the last few months has broadly boosted liquidity, particularly for agency MBS. However, more granular detail is required to make the data on...
17 January 2012
Structured Finance
Monoline builds 2012 pipeline
In replacing Ambac Assurance UK as monoline guarantor on the UK PFI bond issue originally issued by Worcestershire Hospital in 1999, Assured Guaranty has taken a significant step towards re-launching its business in Europe (SCI 9 January). Having kep...
16 January 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineThe number of deals entering the pipeline is picking up, with five new transactions remaining at the end of last week. A €1.44bn RMBS from Crédit du Nord (FCT BS CDN PPI) led the way and was joined by a second RMBS after Sa...
13 January 2012
CMBS
CMBS investors are becoming increasingly concerned about post-maturity loan pay-offs that generate workout fees despite only spending a few months with the special servicer, according to US CRE Debt analysts at Deutsche Bank. They cite the pay-off of...
12 January 2012
Structured Finance
Activity in the European securitisation market has been mixed so far this year. RMBS has made a promising start and one trader reports that renewed primary issuance is expected soon, but secondary trading in the CLO and CMBS markets is occurring only...
11 January 2012
Structured Finance
Andrew South, senior director and head of European structured finance research at S&P, argues th...
Investors in structured finance securities remain highly focused on triple-A ratings - and, consequently, so do issuers. But with banking system and sovereign risks recently increasing, triple-A ratings are becoming more difficult to achieve. In our...
10 January 2012
ABS
S&P has published extracts of a roundtable discussion on longevity securitisations it recently hosted.
The rating agency observes: "With recent transactions in the UK, longevity securitisations are attracting more attention in the US. Diffe...
10 January 2012
ABS
S&P has published extracts of a roundtable discussion on the catastrophe bond market it recently hosted. In a generally forward looking and positive discussion the participants concurred on a number of issues not least that despite the econom...
9 January 2012
Structured Finance
User functionality is the current focus of the team building the European DataWarehouse (ED), after Sapient Global Markets won the mandate to construct it at the end of October (SCI 1 November). Functionally, the ED will be a simple system, given tha...
9 January 2012
Structured Finance
A look at the major activity in structured finance over the past seven days
PipelineThe year began with three new deals entering the pipeline last week. The largest is a US$1.7bn stranded cost ABS (CenterPoint Energy Transition Bond Company IV), which was joined by a US$765m student loan ABS (SLM Student Loan Trust 2012-1) a...
6 January 2012
CLOs
The European CLO market has made a somewhat lethargic start to 2012, not dissimilar to how it ended 2011. Although the sector has not been busy in the first week of the year, trades are being done and activity is expected to pick up as the month cont...
5 January 2012
RMBS
Banco BPI has surprised the market by launching a fixed price tender offer for ten bonds, accounting for €2.17bn of outstanding nominal value, across three Portuguese RMBS transactions - Douro Mortgages 1, 2 and 3. The offers form...
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