Contents

RMBS

Investor uproar in Euro RMBS

The European ABS market has been ticking along this week, with trading seen for old Lehman Brothers bonds and notes from Northern Rock's Granite transactions. However, the main focus has been on an abrupt u-turn by Northern Rock regarding its Graphite tender (SCI 27 June), which has left investors fuming.

"A big list of bonds from Lehman has been circulating, comprising deals that it put together before it went bust but did not sell. That was sold into the market yesterday, but participants had two weeks to work on it, so it was around for a while. The list traded fairly OK, although I have not seen the actual traded levels yet," explains one ABS trader.

He says the market has been weaker today in sympathy with wider credit markets, due in part to Portugal's downgrade. "The only paper that has really been liquid is Granite triple-Bs, which are about a point and a half lower than the top tick of the week," he adds.

What has really caught the market's attention, however, is Northern Rock's handling of its Graphite Mortgages series 2006-1 tender offer. "Northern Rock did a really bad thing to investors. It bought back bonds yesterday at a cash price ranging from 85 to up in the 90s and has today announced that it will call the transaction. Everyone who did not tender is getting par back, but those that did are getting 85," the trader says.

He continues: "It is ridiculous and a lot of investors are really annoyed about it. The lender is just screwing investors to make some P&L for itself."

The trader concludes: "Northern Rock put out a notice saying it would not call the deal, but left the door open in terms of changing its mind. Then it tendered bonds for 85 and above - the bonds literally have not even settled yet; the results were announced yesterday - and this morning it announced that the transaction would be called. It stinks."

JL

CDS

Lehman unwind sparks MCDS basis opps

News that Lehman Brothers Special Financing (LBSF) intends to wind down a large portfolio of single name municipal CDS precipitated last month a spread rally that saw CDS outperform cash. The move has consequently presented investors willing to trade the basis with a good entry point to the sector.

General Obligation (GO) names represented in the LBSF portfolio have tightened over the last two months, on average, as much at the other liquid GOs (by 14bp versus 13bp). Mikhail Foux, director, credit and derivatives strategy group at Citi, believes that this doesn't make sense.

"We recommend shorting names that are not in the LBSF portfolio against either MCDX or GOs that are in the portfolio," he says. "Since muni protection has been outperforming BAB spreads, investors willing to trade cash versus CDS are presented with a good entry point (though we might see an even better entry point down the line), especially for the non-portfolio GOs."

At US$8.25bn, the Lehman portfolio represents about 25% of the outstanding MCDS market. It consists of 10-year single names, referencing 14 US states, which Lehman bought from Berkshire Hathaway subsidiary BH Finance in 2007.

The trade is in-the-money and, after Lehman's bankruptcy, was assigned to Lehman Brothers Special Financing (LBSF) as debtor-in-possession. LBSF has tried to monetise the portfolio since February 2009, but has struggled due to its size and the relative illiquidity of the MCDS market.

The CDS premium has been paid up front, with the portfolio mark-to-market gains estimated to be in the order of US$375m-US$675m as at end-April. LBSF engaged Morgan Stanley on 25 April to help unwind the transaction, triggering the rally in MCDS spreads.

Foux notes that the news had a pronounced effect on the market for a simple reason: its massive size compared to the single name GO market (with the exception of California, New Jersey and New York). MCDS spreads have softened somewhat over the last few weeks, however, as participants try to get a sense of how the portfolio will actually be unwound.

Foux suggests that there are three possibilities. First, a number of new market participants could become involved at levels not far from market prices. Alternatively, LBSF could unwind part of the portfolio and keep the remainder on its books; or Berkshire Hathaway could take the entire transaction out at a at a below-market level.

"The last two are the more likely scenarios," he notes. "However, the latter would be negative for credit spreads as holders of long protection will get hurt."

On one hand, Foux believes that - given its business model and a very low probability of state GO credit events - an unwinding of the trade by Berkshire Hathaway is likely. But on the other hand, if the firm is able to get out of the trade, it might consider re-establishing its position at a more attractive level in the future.

Away from the Lehman portfolio unwind, single name MCDS activity remains turgid due to the lack of contract standardisation - albeit discussions on documentation are underway among industry participants. In comparison, the Markit MCDX index is more liquid, with on average between US$800m-US$1bn of trading volumes being seen a week.

CS

CMBS

Beacon Seattle nears trigger

The recent sale of Liberty Place marks the fifth property to be released from the Beacon Seattle & DC Portfolio, following the modification of the loan last year (SCI 14 December 2010). It also brings the loan very close to triggering a hyper-amortisation feature included in the modification.

Four properties - Market Square, 1300 North 17th Street, Key Center and Reston Town Center - from the Beacon Seattle portfolio were reported as released in the June CMBS remittance reports and one, Liberty Place, in July. As such, the portfolio now has 16 properties remaining.

Market Square was released in March with a release price of US$458m; the 1300 North 17th Street and Reston properties were released in May for US$64mn; Key Center was released in June for US$114m; and Liberty Place for US$83m. So far, only the Market Square and Liberty Place release prices have exceeded the original release price, according to CMBS analysts at Barclays Capital. Key Center and 1300 North 17th Street release prices were lower than the original release level (by 28% and 15% respectively).

The BarCap analysts estimate that release prices have been running at 31%-75% of the corresponding sale price. 1300North 17th Street had the lowest ratio of release price versus sale price.

Based on June remittances, the releases nevertheless resulted in net proceeds to the trusts of US$640m that were allocated as US$593m in unscheduled principal payments and US$22.4m in realised losses. The analysts estimate that the borrower payment to the trusts consisted of release price, as well as the difference in interest that accrued and was unpaid for the specific property that was released.

According to the Beacon Seattle modification template, excess proceeds from the sale of properties are used to build up a master reserve account, which now stands at US$92m. The reserve account is capped at US$100m; once this target has been reached, any excess proceeds will be used to pay down the principal balance of the loan as per a hyper-amortisation feature.

The next properties that are expected to be reported as sold and released from the portfolio are Booz Allen and the Army& Navy Building.

CS

CMBS

NHP alternatives analysed

All landlords of Southern Cross Healthcare Group have indicated their intention to leave the group, according to a recent investor notice, which also states that the "smooth transition" of homes to landlords and their new operators is underway. The move has sparked calls for more transparency around performance of the care homes to aid analysis by Titan Europe 2007-1 (NHP) noteholders.

The landlords for approximately 250 out of 752 Southern Cross care homes are operators or have strong links with other providers and are expected to begin transitioning the care homes to new operators shortly. Four UK CMBS have exposure to Southern Cross as a tenant: Deco 11 - UK Conduit 3 (via the Holmes Care loan), Equinox Eclipse 2006-1 (Ashbourne), Hercules Eclipse 2006-4 (Ashbourne) and Titan Europe 2007-1 (NHP) via the Libra loan.

The borrower in the latter deal, NHP, neither belongs to the Southern Cross landlords that are themselves operators nor has strong links to other providers. However, CMBS analysts at Barclays Capital suggest that several alternatives are now possible for Titan Europe 2007-1 (NHP).

First, the borrower could take over the operations of the care homes by assuming the respective staff, operational management and back office. But the BarCap analysts point out that it's difficult to assess how this would affect Titan Europe 2007-1 (NHP) because the underlying cashflow generated by the care homes has never been made public.

The second alternative could be to re-let part of the property portfolio to other operators, although this is likely only possible for stronger care homes unless rent is reduced substantially. Again, it is difficult to assess which properties are stronger because underlying performance has not been made public.

Third, some of the properties could be sold to other operators. While this would likely crystallise swap termination costs, best sale prices would be achieved for above average-quality properties.

"Given that the transaction migrates from a tenant-lease transaction to an operating cashflow transaction, to enable investors to analyse the future performance of the securitised loan and Titan Europe 2007-1 (NHP), in our view, more transparency is needed," the analysts argue. "This includes publishing the underlying turnover and profitability of the care homes, which is also likely to affect the recoverability analysis of the servicing back-up advance provider."

They note that in order to gauge the likelihood of an interest payment default of the securitised loan, it is crucial to understand whether Southern Cross will continue to pay its rent during the accelerated restructuring discussions. Unless the underlying performance of the care homes is much better than currently expected, the amounts available to the borrower under Titan Europe 2007-1 (NHP) are likely to decrease.

Assuming £1m senior costs per quarter, the analysts estimate that the borrower needs: £15.5m a quarter to pay the swap counterparty and interest on the loan; £11.7m to avoid a swap default; and £14.7m to enable the CMBS issuer to pay interest on classes A and X.

CS

RMBS

Countrywide settlement sets 'a low bar'

The 'class warfare' predicted to occur following Bank of America's reps and warranties settlement with 22 institutional investors (SCI 29 June) is already emerging. Indeed, the agreement is said to have set a low bar for future settlements of this kind.

Under the Countrywide settlement, BofA will pay US$8.5bn to 525 first-lien and five second-lien RMBS trusts after final court approval. The total original unpaid principal balance of the 530 deals is US$424bn.

The settlement proceeds will be allocated based on each trust's aggregated losses. MBS analysts at Deutsche Bank estimate that the aggregate realised and projected losses across the 530 trusts are US$26bn and US$67bn respectively - indicating that the loss-adjusted payout ratio will be 9.1%.

They suggest that this ratio is not a good deal for investors. Using the settlement between BofA and Assured Guaranty (SCI 18 April) as a benchmark, the Deutsche Bank analysts estimate that BofA should pay US$15.8bn instead of US$8.5bn.

They add that the agreement has "set a low bar" for future settlements between investors and other large lenders. "We expect more investors will organise and seek settlement with other large lenders/issuers. The payout ratio at each settlement should vary. However, we expect that investors will ask for a payout ratio higher than the 9.1% offered by BofA."

The settlement proceeds are expected to be treated as liquidation proceeds and follow the payment waterfall specified by the pooling and servicing agreement of the trusts. Proceeds are likely to benefit front pays the most, with the analysts forecasting one- to 10-point price gains for some of them. The settlement should have a negative impact for IOs and IIOs, however, as the proceeds are considered as prepayments.

Justice Barbara Kapnick of New York State Supreme Court has set a hearing on the settlement for 17 November and the court process is anticipated to be lengthy. Once the settlement is approved, NERA has 90 days to determine the allocated amount to each trust and the lender will have to make the full cash payment 30 days afterwards.

A group of 11 noteholders, collectively known as Walnut Place, have already filed objections to the settlement in the Supreme Court. The group says that it has serious concerns about the fairness of the terms and plans to ask Justice Kapnick on 13 July to excuse it from the agreement or force greater disclosures about it.

CS

ABS

Mixing ABS management and consumer credit advisory

Jeroen Bakker, director at Cervus Capital Partners, answers SCI's questions

Q: How and when did Cervus Capital Partners become involved in the structured finance market?
A: Cervus Capital Partners launched on 1 July. I founded it along with two ex-IMC Asset Management colleagues - Felix Berger and Neil Tjin (see SCI 5 July).

We thought it would be best to continue our activities in a new franchise, having parted from IMC on good terms. The firm's focus is on consumer credit, with ABS and whole loan portfolios falling under this umbrella.

Q: What are your key areas of focus today?
A: There are two strands to the business: ABS asset management and a consumer credit advisory platform.

We've already closed one mandate for high net-worth individuals called the 'Distressed European ABS Mandate'. The fund is structured as a B.V. because they are more flexible vehicles and can allow new investors in.

The fund uses bottom-up analysis - based on base-case country risk, default and prepayment assumptions - to identify dislocations and find attractively-priced assets, with a target return in excess of 10%. We're focusing on European RMBS, SME CLOs, consumer ABS and ABS CDOs. The more structured and lower down the capital structure the assets are, the greater their illiquidity.

Given that the vehicle is cashflow-focused, the NAV isn't as relevant as with other funds in the sector and so we don't have to rely on valuations for the performance fee or exit fee. Adhering to NAVs isn't practical with respect to distressed ABS.

A substantial opportunity remains in distressed/mezz ABS, but the need to pick the right spots is greater now. The reason for illiquidity could be that the bond has been restructured or repackaged, or simply that the jurisdiction has fallen from grace, such as with Spain and Portugal. Risks remain for assets from these countries, but vintage portfolios in particular continue to be of interest.

The advisory platform is founded on the fact that the introduction of Basel 3 is driving banks to sell off certain assets and portfolios. At the same time, many investors are having trouble achieving the yields they're targeting. We're essentially seeking to match sellers with buyers.

This would typically involve looking at the cashflow of the asset/portfolio being off-loaded, coming up with an appropriate financing structure and then identifying a financier. Different portfolios can fit the specific appetite of different lenders, depending on the rating or return they're targeting.

The structures typically have two tranches, with the senior piece taken by banks or institutional investors, depending on the size of the portfolio. Within our network of investors, high net-worth money is interested in taking the first-loss piece.

It requires time and knowledge of lenders to be successful in this business, but we're seeing more banks opening up and increasing numbers of investors looking for these kinds of opportunities. These portfolios generally offer a stable stream of cashflow - even for the equity - because they comprise thousands of loans, with predictable patterns in terms of defaults and prepayment speeds.

The target portfolios are typically Dutch, German or Belgian mortgage or consumer loans and sometimes SMEs.

Q: What is your strategy going forward?
A: Over the next year or so, we may look to launch funds with lower return hurdles, focused on triple-A rated ABS. These funds would potentially target family offices, which typically invest in deposits or government bonds.

Triple-A rated ABS has a premium because of its complexity, but pays around 180bp over government bond yields. The funds will probably target both new issues and legacy paper to take advantage of the latter's higher returns and the former's higher coupon.

Equally, I wouldn't rule out branching out into other advisory work, given our knowledge and experience. One possible area could be real estate portfolios, but we'll focus on consumer credit advisory for the moment.

Q: What major development do you need/expect from the market in the future?
A: Liquidity is returning to the market and ABS spreads remain relatively stable compared to other risk markets. But spreads haven't yet tightened - and don't appear to be getting close - to a level where banks are incentivised to use securitisation as a powerful funding tool.

What isn't helpful at the moment is that securitisation is still perceived by many to be evil: it remains tainted by the subprime debacle. Regulators, in particular, need to differentiate subprime problems from the fundamental securitisation structure because the technology works.

This bias is exemplified by Solvency 2: whole loans and covered bonds receive much more favourable treatment than ABS. Consequently, the product is difficult for insurers to buy into. This is one of the reasons why we're not focusing solely on ABS.

It would be prudent for the authorities to recognise that only a small proportion of ABS was originated poorly and that securitisation structures have performed well in Europe, with the exception of some non-conforming deals. Securitisation remains a good way of targeting different levels of investor appetite and it would be negative for the economy if such technology was allowed to disappear.

CS

ABS

North American trading desk minted

FG Solutions International has expanded its service offering for ABS products to investors and traders in North America. The firm's new ABS trading desk will utilise a proprietary electronic trading platform for real-time online price allocation to its North American clients as an additional service to its existing brokerage trading platform.

The new electronic trading system is expected to appreciably improve the transmission of ABS prices to investors, offering them simplified access to information that includes market depth and price records across FG Solutions' complete list of ABS prices. It can be incorporated easily into traders' existing inside pricing spreadsheets and other tools.

ABS

Asset manager preps new offerings

Tikehau IM is preparing three new funds with expected first closings by year-end. They are: Tikehau Special Situations II; TMZ II, the firm's second mezzanine debt fund; and Tikehau Green Real Estate Fund, which is intended to be invested into sustainable commercial real estate.

The group aims to exceed €1bn of assets under management in 2012. As of end-June, it had over €600m of assets under management, thanks to more than €300m of inflows during 1H11.

Tikehau IM focuses primarily on bonds, loans and private debt. The investment vehicles offered are French open-ended funds, currently covering three main strategies (corporate credit allocation, floating rates notes and subordinated financials bonds), as well as a special situations fund and private-debt bespoke solutions.

ABS

Monoline files plan of reorganisation

Ambac Financial has filed a plan of reorganisation in the US Bankruptcy Court for the Southern District of New York. The company will continue to operate in the ordinary course of business as debtor-in-possession under the jurisdiction of the Bankruptcy Court and in accordance with the applicable provisions of the Bankruptcy Code and the orders of the Bankruptcy Court. Ambac filed for Chapter 11 in November (SCI 9 November 2010).

ABS

Real estate expertise bolstered

Arnaud de Pesquidoux is joining Group Tikehau as general counsel and partner. He was previously a partner at Gide Loyrette Nouel, where he focused on investment advisory as well as real estate financing activity for institutional and private clients. He has been regularly involved in pre-litigation and litigation issues.

De Pesquidoux's arrival is in line with Tikehau's commitment to strengthen its real estate expertise. The firm is prepping its first real estate fund investing into sustainable commercial buildings with high environmental standards and is looking further at the growing number of opportunities resulting from the internal changes in the real estate financing market (SCI 11 July).

ABS

Distressed credit manager formed

Group OFI has established a new AMF-regulated subsidiary, called ZENCAP Asset Management, which is dedicated to distressed credit. The firm comprises a team of four portfolio managers and takes over the management of two dedicated distressed credit funds and one advisory mandate for a French institutional investor. Assets under management and advisory total €300m.

According to Richard Jacquet, ceo of ZENCAP AM, the goal is to complement OFI's product expertise with a dedicated third-party asset manager specialising in structured finance and securitisation. In this respect, depending on the funds' format and objectives, both private debt and hedge fund approaches are favoured by the firm.

CDS

New ceo for Cortview

Cortview Capital Holdings has recruited Kelley Millet as ceo. Michael Lacovara, a founder of the firm and its current president and ceo, remains president of the firm and will continue to focus on building its origination and investment banking capabilities and managing its operations and expansion.

Millet most recently was president of MarketAxess. Prior to this, he served as senior md and co-head of global credit trading at Bear Stearns, where he was responsible for origination, syndication, cash, derivatives and flow trading for the investment grade and emerging markets businesses, as well as high yield derivatives.

CDS

Manager swap for CDPC

Oak Hill Advisors has replaced AXA Investment Managers as portfolio manager for Deutsche Bank's CDPC, NewLands Financial. Certain amendments to the vehicle's operating guidelines have also been implemented that will require it to refrain from making distributions to its equity holders that would reduce its capital below a minimum requirement unless additional capital adequacy tests are met and entering into new transactions without receiving rating agency confirmation that its counterparty rating will not be affected. At the same time, NewLands is entering into a new back-up services agreement with Deutsche Bank.

Moody's has confirmed that the appointment of Oak Hill as portfolio manager, along with execution of the related agreements and implementation of the operating guideline amendments will not affect NewLands's current counterparty rating.

CDS

Broker recruits credit derivatives pro

ICAP has appointed Mark Price as group coo, subject to FSA approval. He will have overall responsibility for risk, compliance and human resources and provide management oversight of ICAP's IT infrastructure.

Price will start on 3 October and joins from Deutsche Bank, where he was coo for global credit & emerging market debt. Prior to joining Deutsche Bank in 1998, he worked at Merrill Lynch in London as product controller for credit derivatives.

It was announced in May that Mark Yallop, the current group coo, had decided to leave the group but would remain with ICAP until a replacement was appointed.

CDS

Restructuring lawyer promoted

Davis Polk & Wardwell has elected six partners to the firm, including Brian Resnick, a member of its insolvency and restructuring group in New York. Resnick has substantial experience in a broad range of corporate restructurings and bankruptcies, representing debtors, creditors, asset purchasers and other strategic parties in connection with pre-packaged and traditional bankruptcies, out-of-court workouts, DIP and exit financings, bankruptcy litigation and asset acquisitions. He also advises financial institutions and other clients in structuring complex derivatives and securities transactions.

Resnick is currently serving as one of the lead lawyers in the representation of Lehman Brothers International (Europe) in connection with the Lehman US Chapter 11 cases.

CDS

SEF adds in compliance

Tradeweb Markets has appointed Bob Paul, a former CFTC general counsel, as a member of its global compliance and legal team. The move positions the firm with a seasoned chief compliance officer in place for its SEF, following finalisation of derivatives regulation by the CFTC and the SEC.

Tradeweb has been actively preparing for the registration of its current swaps platform as a SEF for more than a year. Among the initiatives completed in preparation for the new rules are electronic links to all the major clearinghouses, integration with order management systems, development of SEF-ready trading protocols and a legal review of requirements to rapidly complete SEF registration.

Paul joined the CFTC in 1999, where he negotiated a joint regulatory structure with the SEC for security futures and played a significant role in the passage of the Commodity Futures Modernization Act of 2000. After leaving the CFTC in 2001, Paul was appointed general counsel of OneChicago, which he helped launch as the first exchange in the US to trade security futures products.

CDS

Collateral management head hired

Citi has appointed Fergus Pery to the new role of global product head of OpenCollateral. Pery, who is based in London, joins Citi from JPMorgan and is responsible for both technical sales and product management globally for OpenCollateral. He reports to Rajen Shah, global head, collateral management services and EMEA head of securities finance.

Launched in 2009, OpenCollateral is a key component of Citi's comprehensive OTC derivatives service that consolidates and simplifies the entire post-trade execution process.

CDS

Credit derivatives pro promoted

Stewart Jackson is set to replace Thomas Pabin as md for the UK-based trading offices of Laeken International on 1 August. Pabin will be joining the firm's top trading advisors.

Jackson has been with Laeken International for nearly a decade and has a track record in commercial technology growth ventures and substantial trading experience in the capital markets. As a former ceo of a German credit company, he managed the business development of a premier voice broker for credit derivatives, concentrating on credit default swaps, structured products and prominent indices.

CLOs

CLO business acquired

Apollo Global Management has acquired Gulf Stream Asset Management, which currently manages 10 CLOs with more than US$3bn in assets under management. Apollo says the transaction is consistent with its strategy to broaden its existing traditional fixed income business and, upon closing, is expected to bring the firm's assets under management to approximately US$27bn.

Of this, Apollo's senior loan business is expected to exceed US$14bn upon closing of the transaction. Terms of the transaction were not disclosed, but it is expected to close during the 3Q11.

James Zelter, md of Apollo Global Management's capital markets business, comments: "We believe that scale is essential in our industry and, following our recent IPO for the Apollo Senior Floating Rate Fund and in closing several new CLO transactions over the past year, we are looking forward to working with members of the Gulf Stream team. We believe this transaction further solidifies our position as one of the largest loan managers in the world and expands the depth and diversity of our product offerings."

Mark Mahoney, founder & president of Gulf Stream Asset Management, will be joining Apollo as a partner.

CLOs

Natixis credit team tapped

GreensLedge Capital Markets has recruited an eight-strong structured credit team. Ken Wormser and David Powar lead the migration from Natixis to the New York-based advisory firm, joining as managing partners.

Wil Fischer, Ninat Lekagul and Aimee Means also join as mds, while Mark David, Naz Majidi and Craig Reckin join the firm as directors. At their new home, the team will continue to serve hedge funds, speciality finance companies and asset managers focused on portfolios of corporate and commercial loans, offering structuring, advisory, placement and capital raising.

Wormser and Powar led the CLO and credit solutions businesses at Natixis North America since 2003. Wormser was also responsible for securitisation investment activities globally. Both men will join GreensLedge co-founders Brian Zeitlin and Jim Kane on the firm's management committee.

Zeitlin comments: "With over two decades of experience in the structured finance industry, Ken and Dave have established an impressive track record providing clients with comprehensive banking solutions. Along with the rest of their team, they will bring significant transactional knowledge and strategic insights to our client base."

CLOs

Black Diamond completes GSC acquisition

Black Diamond Capital Management has secured court approval to complete the acquisition of substantially all of the investment management business and related assets of GSC Group and its affiliates. Upon closing of the acquisition, Black Diamond and affiliated entities will assume active control of GSC's control distressed/private equity, mezzanine, ABS and CLO funds, totalling approximately US$7bn of assets under management.

The sale follows a competitive auction process held in accordance with Section 363 of the Bankruptcy Code last October (SCI 1 November 2010), for which Black Diamond secured final approval at a hearing in the US Bankruptcy Court for the Southern District of New York held on 7 July. The result of the auction had been in dispute by an ad hoc group of minority lenders (SCI 17 January).

With the closing of the deal, which is expected within 30 days, Black Diamond will manage approximately US$13bn of assets across its control distressed/private equity, mezzanine hedge fund and CLO vehicles. The firm intends to hire approximately 15 GSC employees, with the acquisition also expanding Black Diamond's office network beyond its existing US base into the UK.

Among other benefits, Black Diamond managing principal Stephen Deckoff says that the transaction will benefit the firm and its investors by enhancing investment and back office resources, adding deal sourcing opportunities and expanding capabilities in Europe.

CLOs

TFG shareholder action filed

A shareholder derivative action was filed yesterday in the US District Court - Southern District of New York - against the current and former directors of Tetragon Financial Group by a purported shareholder. The action involves a series of allegations specifically with respect to performance fees charged by TFG's investment manager and asks for money damages and equitable relief against the defendants, including the amendment and/or termination of the investment management agreement among TFG and its investment manager. TFG and its board of directors believe that the action is factually and legally without merit and intend to seek to have the action dismissed as quickly as possible.

CMBS

CMBS loan origination JV formed

Prudential Mortgage Capital Company and affiliated funds of Perella Weinberg Partners' asset based value strategy have formed a joint venture to originate commercial mortgages for future securitisation. The JV is initially targeting more than US$1bn a year in fixed rate mortgages for stabilised commercial properties across all asset classes. The venture will create a branded vehicle and partner with third parties to issue CMBS.

Loans will be originated through Prudential Mortgage Capital Company's origination platform, then warehoused and securitised by the joint venture, and serviced by Prudential Asset Resources, one of the largest commercial/multifamily servicers in the industry. The new venture enables Prudential Mortgage Capital Company to provide its borrowers with access to the CMBS market without creating a new CMBS warehouse, following the divestiture of Prudential's commercial mortgage securitisation business in 2008.

"Participation in the re-emerging CMBS market is critical to maintaining our leadership position in the commercial mortgage arena," says David Twardock, president of Prudential Mortgage Capital Company. "This is an excellent opportunity to leverage our national origination network and expand the financing options we provide for our borrowers. We are proud of our relationship with Perella Weinberg and look forward to working with them through this joint venture to better meet our clients' needs."

The joint venture will be led by Richard Flohr, Sean Beggan and Jean Baker at Prudential Mortgage Capital Company, along with David Schiff, Billy Jacobs and Roger Nussenblatt of the Perella Weinberg Partners' asset based value strategy.

RMBS

Correspondent lending group expands

PennyMac has added Jim Follette and Kim Nichols to its correspondent lending group.

Follette has been named md, correspondent fulfillment, and will help manage the firm's correspondent loan acquisition platform. This includes all aspects of acquisition workflow, loan level credit and appraisal. He joins PennyMac from Bank of America, where he most recently served as svp for Bank of America Home Loans.

Nichols becomes regional sales manager for correspondent lending for the western region. She also joins PennyMac from Bank of America, where she spent the past four years as vp, regional sales manager, institutional mortgage services. Her background is in secondary marketing, hedging, pricing, trading and structured finance.

ABS

Punch split confirmed

Punch has announced its formal intention to split the business in two via the creation of a new listed entity called Spirit Pub Company, which will consist of the existing Spirit securitisation as well as a number of managed pubs outside the deal. The demerger remains conditional upon a shareholder vote and is expected to become effective on 1 August.

The split of cash resources will involve £92m for Punch (comprising £83m of cash and £9m of bonds) and £113m to Spirit (comprising £77m of cash and £36m of bonds), in addition to the restricted cash within the two transactions that is being retained. European asset-backed strategists at RBS expect Spirit to benefit from some positive sentiment once it is decoupled from the broader Punch business.

ABS

FFELP residual interest acquired

Nelnet has purchased the residual interest in US$1.9bn of FFELP consolidation loans from an affiliate of Greystone & Co. The firm acquired the ownership interest in GCO SLIMS Trust-1, giving it rights to the residual interest in GCO Education Loan Funding Trust-I.

As part of the agreement, Nelnet will become master servicer and administrator for Trust-I and administrator for the SLIMS Trust.

The firm expects the purchase to be immediately accretive to base net income. The student loans and debt within the trusts will be included in Nelnet's consolidated financial statements and increases its student loan portfolio to more than US$25bn.

ABS

Card delinquencies drop

US credit card defaults dropped to their lowest levels since early-2008, while delinquencies fell to levels not seen in close to four years, according to the latest Credit Card Performance Index results from Fitch.

"Credit card collateral saw positive across-the-board gains for the fourth time in six months," says Fitch senior director Cynthia Ullrich. "Future credit card performance looks promising, with Fitch anticipating smooth sailing during the second half of this year."

Fitch's Prime Credit Card Chargeoff Index for June posted its third month-over-month improvement, decreasing by another 13bps to 7.29%. The decline in cardholder defaults represents a two-and-a-half year low and is down by 35% year-over-year. From its peak in September 2009, this decrease also marks a 37% drop.

Aside from a small blip for Chase, the large trusts which make up the majority of the index - including Bank of America, Capital One, Citibank and Discover - all reported monthly improvements in default rates.

Delinquencies yet again trended lower for the 17-straight monthly period. While extending to a historic 47-month low, Fitch's 60+ day delinquency index declined with another 18bp improvement to 2.57%.

At a current level not seen since August 2007, late-stage delinquencies for June are 36% lower year-over-year. Early stage delinquencies followed suit, also improving month-over-month with 30+ day delinquency level declining by another 21bp to 3.33%.

Gross yield fared better in June after a brief slip last month, increasing by 75bp to 20.84%. And, as expected, with positive gains in defaults and yield, excess spread measures continue to shatter new records from the month before. The three-month average excess spread posted another all-time high in June, registering another 11bp improvement to 10.83%.

Monthly excess spread posted a gain of 90bp to 10.94%. The three-month average spread is 36% higher when compared to the same period last year.

Monthly payment rate (MPR) also came back to par after a temporary slide in May. MPR increased by 1.36% to 21.40% during the month.

"The diminishing effect of discount options has not fully translated to lower yield and excess spread," says Fitch director Herman Poon. "Excess spread remains at record highs and can easily withstand any potential aftershock for the foreseeable future."

With the exception of improvements in both the delinquency and charge-off fronts, Fitch's retail credit card index continue to exhibit mixed results in the month of June, however. Gross yield fell by 59bp to 25.29%, although remaining approximately 7% higher year-over-year.

MPR was flat with a marginal 5bp drop to 14.27%. The three-month average excess spread measure exhibited a similar pattern, also dropping by a mere 4bp to 11.35%.

Charge-offs for June broke below the double-digit range and registered a 31-month low. Retail defaults improved and decreased by 74bp to 9.85%, showing a level not seen since November 2008.

At the same time, both early- and late-stage delinquencies exhibited further declines. The 30+ day delinquency rate fell by 20bp to 5.06% and late payments more than 60 days improved for the fourth straight month while recording a historic 46-month low. Late-stage delinquencies fell by another 27bp to 3.42% and are 29% lower year-over-year.

ABS

Multi-seller conduit overviews published

Moody's is to begin publishing performance overviews for US bank-sponsored multi-seller ABCP conduits, which will provide a periodic update on asset pool composition, performance and historical commercial paper outstanding. The new US performance overviews will have three sections: highlights, rating opinion and discussion points.

The highlights section focuses on any significant programme changes with respect to conduit structure, asset or support party ratings, asset performance or the administrator. The rating opinion section focuses on the strengths and weaknesses of the conduit and how any concerns are mitigated. The discussion points section includes qualitative discussion on the ten largest transactions in the conduits, including liquidity support, deal-specific credit enhancement and performance information.

Each performance overview will be based on data from the servicer reports provided by the conduit administrators. Moody's expects to update them on a quarterly basis.

ABS

Ratings resilience highlighted

Across Europe's main securitisation markets, the rating performance of RMBS and ABS transactions remained resilient throughout the financial crisis from May 2007 to May 2011, according to Moody's latest rating transition study. More than 80% of Aaa rated tranches maintained their rating.

According to the report, a number of the largest issuance markets - including Dutch RMBS, UK prime RMBS, UK credit card ABS and German auto ABS - demonstrated greater rating stability due to stronger relative macroeconomic conditions and their robust transaction structures. During the same period, however, the ratings for Spanish RMBS, Spanish consumer loan ABS and UK non-conforming RMBS declined significantly due to the negative effect of deteriorating macroeconomic conditions and exposure to the real estate sector.

Moreover, in peripheral European ABS and RMBS markets, senior ratings on transactions in countries affected by sovereign crises - Greece, Portugal and Ireland - suffered most as a result of increasing systemic risk, as well as rising operational risks caused by banking crises and the resulting significant counterparty downgrades. These risks will continue to weigh upon rating performance in the immediate future, Moody's notes.

Across all European markets and rating categories, transactions that closed in 2007 experienced the worst rating migration, as these transactions were typically originated during the real estate market peak and had enhancement levels that preceded Moody's key major methodology updates.

However, across Europe only around 1.5% of Aaa rated were downgraded to speculative grade during this period, while no Aaa rated security actually suffered any principal loss. In general, the factors leading to stronger rating performance have been: obligors operating in relatively less impaired economic environments; low household leverage levels; tighter underwriting; and well-functioning structural supports, such as robust hedging arrangements.

CDO

Bryant Park CDO tendered

Citi has announced cash tender offers for the outstanding income notes and class A-1, A-2, B and C notes issued by Bryant Park CDO. The firm will pay between US$920-US$980 per US$1,000 principal amount of senior notes and US$660 for the income notes.

Citi says that it must receive tenders of income notes in the aggregate principal amount of at least US$15.18m. Senior notes will only be accepted in minimum denominations of US$500,000 and integral multiples of US$1,000 in excess thereof.

The offers are scheduled to expire on 5 August, unless extended or earlier terminated. Citi is currently owns US$11.5m aggregate principal amount of income notes.

CDO

ABS CDO liquidation due

The trustee for Maxim High Grade CDO I has retained Dock Street Capital Management to act as its liquidation agent for the collateral, which be sold to the best qualified bidders in two public sales. These will be held on 19 July at 10am and 2pm EST. Class A-1, A-2 and A-3 noteholders have been advised that they may provide credit bids in an amount not exceeding the outstanding principal amount of their holdings.

CDO

ABS CDO liquidated

Stone Tower Debt Advisors has sold and liquidated all Coldwater CDO collateral (SCI 14 June) and the trustee is set to apply the proceeds of the liquidation. It has warned that the proceeds of the sale of the collateral, together with any other funds available for payment on the distribution date, will be insufficient to pay the class A1 notes in full. There will be no available funds to make any payments on any other class of notes.

US$200,000 is reserved for payment of expenses or to settle any other residual matters. The residual funds will be distributed by the trustee following the distribution date on a later date fixed by the trustee. They will be distributed to the class A1 notes only.

CDS

Regulatory concerns highlighted

The uncertainty surrounding upcoming OTC derivatives regulation is prompting concern among banks in four key areas, according to a recent survey by Thomson Reuters. The implications of the regulations on capital requirements, workflow, the cost to trade and liquidity for single-bank platforms were highlighted by banks as unknown outcomes of most concern.

The findings come as Thomson Reuters sets out a clear timeline for its own regulatory-compliance activities. The firm intends to ensure all of its trading platforms are registered as regulated trading venues in all relevant jurisdictions, including registering as a SEF, multilateral trading facility (MTF) or organised trading facility (OTF).

The research, which was undertaken in March and April this year, involved face-to-face qualitative interviews with senior managers in leading global financial institutions to discuss the impact of upcoming OTC derivatives regulation. The survey covered senior positions with job titles ranging from head of desk to head of operations, post-trade and compliance to strategy and business managers.

According to survey, clearing emerges as banks' primary focus today as the details around workflow are still unclear and clearing is intrinsically linked to the pricing of instruments. Within the trading workflow the bank must now consider whether the instrument needs to be cleared, what clearing information is required, how to effectively and efficiently manage the routing of trades to CCPs and trade data repositories, and what requirements for reporting will be for the repository and to the market.

The research also revealed that there is general acceptance from banks that liquidity for instruments in scope will shift from single bank portals to newly regulated SEFs, MTFs and OTFs. The key challenges seen here by respondents are how banks will then differentiate themselves to customers and how buy-side firms will connect to multiple venues available.

Workflow effectiveness and integration were seen as the key to success for new SEFs and MTFs by the majority of banks interviewed. How vendor and client systems, processes and data work together across the workflow from pre-trade to trade and post-trade will determine the popularity of different venues, according to the respondents.

CDS

CDS functionality enhanced

MarketAxess has launched an enhanced institutional credit trading system that includes significant additional functionality for credit default swap trading. With this release, the firm says it now has much of the core technology needed to meet the anticipated regulatory requirements for registration as a SEF and security-based SEF under the Dodd-Frank Act in the US.

MarketAxess's latest trading system enables: live, streaming prices from multiple dealers for active contracts as well as request for quote (RFQ) for index and single name CDS; increased pre-trade price transparency and ability to designate clearinghouse and clearing member; enhanced post-trade functionality for trade affirmation and connectivity to clearinghouses; and additional trading functionality to accommodate CDS single name and index switches and rolls.

CLOs

KKR CLO upsized

KKR Financial has upsized KKR Financial CLO 2011-1 to US$600m from US$400m. The firm has also increased its residual interest in the transaction from US$100m to US$150m through the acquisition of an additional US$50m of subordinated notes. The cost of the financing remains 135bp over three-month Libor.

Concurrent with the amendment to increase the size of CLO 2011-1, the transaction was amended to reduce the par value ratio test from 133.33% to 120%. The deal initially closed on 31 March as a privately negotiated financing between the firm and a third-party senior lender.

CMBS

Portfolio fire-sale averted

A €940m portfolio of around 100 German commercial offices and retail premises has been saved from a potential fire sale. The Mozart loan, secured on properties with a valuation deficit of around €200m, has been restructured in-house at servicer Hatfield Philips.

"Despite the borrowers being in Germany, the loan was restructured without having to write off any debt, thus ensuring that the various lenders all continue to participate according to their seniority. The borrowers are now secure and the restructuring was achieved without incurring taxes," the firm says.

Hatfield Philips claims a "European first" in that the restructuring involved transferring the equity of the borrowers along with around €200m of debt of the Mozart loan (part of the Talisman 7 CMBS) into a Luxembourg domiciled company - Sanchez Sarl - which is an orphan trust structure pledged to the lenders. "The transfer avoided the borrowers being placed into insolvency and created the flexibility to invest income into the property portfolio, which was suffering severe deterioration in value due to a lack of investment," the servicer adds.

Part of the loan restructuring also involved a loan extension of 3.25 years to 15 April 2015. However, Hatfield Philips intends to conduct an orderly sale of the properties to be completed by the end of 2014.

CMBS

Japan CMBS loan defaults increase

The default rate of loans backing Moody's-rated Japanese CMBS has increased substantially. A total 63% of the Moody's-rated CMBS loans that matured during the first half of 2011 defaulted, up from 37% in all of 2010.

The main reason for the sharply rise in defaulted loan amounts is due to the commencement of collection activities for some large loans, Moody's says. At the same time, the report notes that 81% of small loans (below ¥5bn) that matured in 1H11 have defaulted.
The average recovery rate per loan was 97% for 1H11, above those for 2009 and 2010. But the average collection period lengthened to 13 months on average per loan from nine months in the previous year.

Moody's observes that, given the increasing numbers of defaulted loans, some CMBS transactions may need to reconsider their exit strategies - either through extension of maturities or recapitalisations.

CMBS

CMBS loan maturity outcomes analysed

Fitch has published an analysis of matured German loans securitised in Fitch-rated CMBS transactions to assess the likely outcomes at the remaining loans' respective maturity dates.

"An analysis of matured European CMBS loans identified loan size and leverage and coverage ratios as the three most important drivers of loan maturity outcomes," says Gioia Dominedo, senior director in Fitch's structured finance team in London. "A small-ticket loan with strong coverage and low leverage has the best chances of a successful refinancing or collateral sale at or around its maturity date."

High LTVs are seen as the key factor limiting future loan redemptions. Consequently, Fitch expects servicers to continue to utilise loan extensions in cases where the loan collateral generates sufficient excess cashflow to materially decrease the loan's LTV during the extension term.

This is a trend visible across all European jurisdictions. However, the agency expects a higher proportion of loan extensions in Germany due to the stigma attached to a distressed asset sale and the potentially significant negative impact on loan recoveries.

The number of maturing loans will continue to grow in the coming quarters and is expected to peak in 2013. In cases where loan extensions are not possible due to weaker collateral income, workouts or standstills are considered more likely. In addition, an increasing incidence of workouts is anticipated as transactions move closer to their legal final maturity dates.

"German loans are expected to contribute heavily to the total share of European loans that are not able to repay at or around their maturity dates, due to their high LTVs and a higher than average payment default rate," says Tuuli Tikka, associate director in Fitch's structured finance team in Frankfurt. "However, this expectation is driven by banks' lending behaviour and is therefore likely to be heavily influenced by any changes in lending parameters or criteria."

German loans have shown a lower maturity repayment rate than CMBS loans secured by collateral in other jurisdictions. As of end-1Q11, 33 German loans had matured, of which less than a third had been repaid either at or after their maturity dates.

Over a third of loans were either in workout or in standstill, with the remainder having seen an extension. A single German loan had suffered a loss, but this was caused by the allocation of transaction costs rather than a shortfall in asset recoveries.

Fitch expects the poor performance of German loans at maturity to be due to the lower average quality and location of the collateral, as well as the higher proportion of later-vintage and therefore higher-leverage loans.

Term defaults have also been higher-than-average for German collateral. 7.9% of outstanding German loans had suffered a payment default as of end-1Q11, second only to Italy (11.1%) and above the European average of 5.4%. However, the agency notes that these findings cannot be generalised across the entire market, as CMBS loans account for a very small proportion of total German commercial property lending and are typically of lower-than-average quality.

CMBS

CMBS loss severity jumps in June

Over US$1.8bn in US CMBS conduit loans were resolved with losses in June, according to Trepp, indicating that special servicers continue to accelerate the pace at which they are dealing with troubled loans.

The June reading was the highest value posted since the firm began tracking this number in January 2010. The US$1.8bn total was 19% above the previous high of US$1.5bn in January 2011.

The losses on the June liquidations were about US$837m - representing an average loss severity of 46.4%. In May, the average loss severity was just under 43.2%.

After discounting 'small loss' loans, the average loss severity jumps up to 55.4% for June. This is up by over seven points from May's reading and is slightly above the average monthly loss severity of 55.2% over the last 18 months.

CMBS

US CMBS delinquencies fall for second month

For the first time since the credit crisis began in 2008, the US CMBS delinquency rate has fallen for two consecutive months according to Trepp's latest delinquency report. The rate reduction was driven primarily by a sharp spike in loans being resolved with losses, rather than delinquent loans actually curing.

Overall, the delinquency rate for U.S. commercial real estate loans in CMBS dropped 23bp to 9.37%. This is the lowest the rate has been since February 2011. The 23bp drop comes on the heels of a 5bp dip in May.

Trepp says the past month's drop was driven by the fact that about US$1.8bn worth of loans were liquidated in June, which was the highest total since the firm began measuring loss resolution numbers 18 months ago. The elimination of these troubled loans from the pool reduced the delinquency rate by about 28bp. The remaining loans in the index actually saw delinquencies rise about 5bp leading to a net reduction of 23bp overall.

The percentage of loans seriously delinquent (60+ days delinquent, in foreclosure, REO or non-performing balloons) is now 8.75%. By that measure, the rate was down 21bp.

RMBS

Updated NHG criteria rolled out

Fitch has updated its criteria for rating RMBS transactions backed by the Nationale Hypotheek Garantie (NHG). As a result of the updated criteria, the agency has maintained all 50 outstanding notes of the 15 NHG-backed Dutch RMBS it rates on rating watch negative (RWN).

Issuers will have the opportunity to indicate whether they intend to make any amendments to the transactions following the updated criteria, Fitch says. The agency will consider any proposed transaction amendment before resolving the RWN applied to the transactions in this sector.

It estimates that the application of the revised NHG criteria could result in most triple-A rated notes being downgraded to low investment grade categories, although some tranches could be maintained at triple-A subject to information received. In many cases, the large extent of these estimated rating migrations reflect the thinness of the credit enhancement currently supporting the notes, rather than any concern regarding transaction performance or the credit quality of the mortgage portfolio.

Fitch's revised triple-A loss assumption ranges from 3.3% to 7.7% of the transaction's current balance, depending on the transaction specifics. This compares to available credit enhancement of often less than 1%. The agency calculated that without the benefit of the NHG guarantee, triple-A stress losses would be on average four percentage points higher.

The revised NHG criteria reflect its application of a more conservative approach to rating NHG-guaranteed mortgage transactions. Most notably, the guarantee amount may not fully cover the mortgage loan because it amortises, whereas most Dutch mortgages do not amortise, so more back-loaded default timing scenarios result in greater stress. Furthermore, claims under the NHG may be declined by Stichting Waarborgfonds Eigen Woningen if the mortgage loans are not in compliance with explicit NHG underwriting guidelines.

"While the updated criteria represents a fundamental change in approach from the original criteria, it is broadly in line with the points raised in the exposure draft and reflects feedback from market participants which Fitch took on board, including extensive historical datasets," says Gregg Kohansky, head of EMEA RMBS at Fitch.

He adds: "While Fitch maintains a stable outlook on asset performance in this sector, the thin credit enhancement levels do not provide much buffer for any performance deterioration over the long life of these transactions. Therefore Fitch does not expect to be able to maintain very high investment grade ratings for the majority of the affected transactions without additional credit protection being provided."

The agency plans to start resolving the RWNs within several weeks. In the interim, it expects to receive an indication from issuers by 19 August whether a restructuring proposal is forthcoming; and data for each underlying transaction in addition to amendments to capital structure and transaction documentation by 19 September.

RMBS

Japanese origination review underway

Moody's is reviewing Japanese mortgage loan originations, with the aim of preventing unexpected loss in the securitised pools. A number of loans in some Japanese RMBS monitored by the agency have either become delinquent or default very shortly after origination.

The review comprises a qualitative examination of the effects of originator policies and procedures on loan performance. It is divided into three broad categories: loan performance; originator ability; and originator stability.

In extreme cases, as a result of its review, Moody's says it may not be able to assign the highest ratings to an RMBS or will not rate a transaction. When the agency conducts each review, the factors to be examined will depend on the features specific to an origination.

RMBS

Pension funds file Countrywide objections

A group of public pension funds that invested in Countrywide RMBS have filed a petition with the Supreme Court of the State of New York to intervene in the Bank of America/Countrywide settlement proceedings and take discovery on the fairness of the proposed US$8.5bn agreement. This follows the filing of objections to the settlement by the Walnut Place investor group (see yesterday's story).

The Public Pension Fund Committee is being represented by Scott+Scott and is seeking to intervene in the action to allow it to evaluate the fairness of the proposed settlement. "Public pension funds purchased billions of dollars of Countrywide mortgage backed securities," says David Scott, who serves as lead counsel for the Public Pension Fund Committee. "They need to be given a seat at the table to make sure that the settlement is fair, reasonable and in the best interests of the entire class of investors."

The Committee has taken issue with the fact that the proposed settlement was negotiated in private by a group of 22 large corporate investors. Among its concerns are that: no public pension funds were included in the group of 22 investors that negotiated the proposed settlement; many of the investors that negotiated the proposed settlement appear to have significant ongoing business dealings with Bank of America, raising conflict-of-interest concerns; the proposed settlement appears to release claims belonging to former investors without appearing to provide these investors with consideration for the release of their claims; and the US$8.5bn settlement fund is being allocated among investors in accordance with the payment waterfall set forth in the PSA, which may provide some investors with a windfall and may not compensate others for their actual loss.

The Committee has indicated that potential discovery topics include: whether the settlement negotiations were conducted at arms' length; whether the parties that participated in the settlement negotiations had any conflicts of interest; and whether the parties that negotiated the settlement took any informal discovery to assess the merits of the parties' claims and, if so, what documents and evidence the parties reviewed and considered.

RMBS

Treasury updates on MBS wind-down

The US Treasury has provided an update on the continued orderly wind-down of its agency MBS portfolio. The remaining amount of principal outstanding in its MBS portfolio is US$94.5bn.

During the month of June, taxpayers received an additional US$12.7bn in proceeds from this investment through sales by Treasury with a market value of US$10.6bn and principal and interest payments of US$2.1bn. Through the end of June, taxpayers have received a cumulative total of US$146.9bn in proceeds from this investment through sales by Treasury (accounting for US$35bn) and principal and interest payments (US$111.9bn).

Treasury has now recovered 65% (US$146.9bn) of its original US$225bn investment in MBS and plans to continue selling up to US$10bn MBS (principal) per month, subject to market conditions.

RMBS

RMBS criteria updated

Fitch has published an updated US RMBS sector-specific criteria report that outlines the framework used to monitor and analyse outstanding transactions for potential rating changes. It has also updated its US RMBS cashflow analysis criteria report.

The sole change from the previously published sector-specific criteria involves increased credit enhancement and rating caps for pools that have small remaining loan counts and lack structural features, such as sequential payment distribution or subordination floors, to mitigate potential performance volatility as the mortgage pool balance declines. The agency's cashflow modelling criteria also remain fundamentally unchanged, but the report features several enhancements made to new issue analysis, including rating of resecuritisations. The key revision to the criteria is the incorporation of mid-loaded conditional default rate and delinquency liquidation vectors to reflect timing of recent default observation.

RMBS

GSE prepayment data integrated

Mortgage Maxx GSE prepayment data is now available on the 1010data platform. The company says it selected 1010data because it offers the most robust ad-hoc analysis tools and is trusted by its existing customer base. In addition, working with 1010data will allow the firm to grow more rapidly by enabling Mortgage Maxx AFS report data to be accessed via the web.

"Investors in the agency MBS market have long relied on the Mortgage Maxx AFS reports to accurately forecast prepayment trends," says Paul Descloux, ceo, Mortgage Maxx. "But now with our full underlying dataset available on the powerful 1010data platform, clients will be able to pinpoint specific loans and pools that are primed for a prepayment event."