CMBS

  • NAIC changes 'mildly positive'

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

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

    News Round-up 24 December 2013

  • Cherry picking

    Euro relative value trades explored

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

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

    News Analysis 24 December 2013

  • LORDS 2 restructuring welcomed

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

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

    News Round-up 23 December 2013

  • GSP Trust critiqued

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

    News Round-up 23 December 2013

  • RBA reporting templates finalised

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

    From this date, .......

    News Round-up 23 December 2013

  • Canada poised for issuance up-tick

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

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

    News Round-up 20 December 2013

  • CMBS recoveries rebound

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

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

    News Round-up 20 December 2013

  • Credit inflows 'muted' in November

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

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

    News Round-up 19 December 2013

  • CMBS refi wave decoded

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

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

    News Round-up 18 December 2013

  • Troubled malls have 'exaggerated impact'

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

    News Round-up 18 December 2013

  • CMBS pro to lead West Coast operations

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

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

    Job Swaps 18 December 2013

  • SFR risks analysed

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

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

    News Round-up 17 December 2013

  • Sponsor indicted for fraud

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

    Larry Freed and .......

    News Round-up 17 December 2013

  • Diversification boost

    Euro periphery to mitigate negative net issuance?

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

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

    News Analysis 17 December 2013

  • Heavy retail concentrations seen

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

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

    News Round-up 16 December 2013

  • CRA debuts SF approach

    Scope has published its first methodology guidelines for rating and monitoring structured finance products. The guidelines lay down the key principals that the rating agency intends to apply to all types of structured finance instruments and present how key criteria are integrated in the rating process.

    Scope believes that the analysis of qualitative factors, based on objective components, plays a .......

    News Round-up 16 December 2013

  • Large dispositions drive late-pays lower

    US CMBS late-pays fell by 22bp in November to 6.10% from 6.32% a month earlier, according to the latest index results from Fitch. The drop was led by four large dispositions.

    The largest disposition was the note sale of the original US$190m StratReal Industrial Portfolio I loan (securitised in BACM 2007-1) via a fair-value purchase option (see SCI's CMBS loan .......

    News Round-up 16 December 2013

  • Excess proceeds for REO loan

    In an unusual outcome for an REO loan, the Astor Crowne Plaza asset has paid off significantly above par. The US$73.4m loan, securitised in GSMS 2005-GG4, was sold this month for US$116.6m - slightly above its most recent appraisal, as of August.

    The property had been transferred to special servicing in May 2009 and was subsequently placed in REO. The .......

    News Round-up 16 December 2013

  • Weaker credit warning

    Fitch says it recently provided preliminary feedback on several US CMBS that included a higher percentage of loans from new originators. While these loans may not raise a red flag when measured simply by DSCR and LTV, other factors - including property locations, sponsors' experience levels and histories, and esoteric or unusual property types - showed these loans to be .......

    News Round-up 13 December 2013

  • CMBS surveillance criteria tweaked

    Fitch has updated its US fixed rate multi-borrower CMBS surveillance and Re-REMIC criteria.

    Under the changes, loss severity for the performing loan stress was increased to 50% (from 45%) to more closely reflect recent experience. This change is expected to increase overall transaction level loss severities slightly, but is not expected to have a significant rating impact.

    Additionally, the deterministic .......

    News Round-up 12 December 2013

  • CMBS outlook 'moderately positive'

    While the US CMBS market has benefited from low interest rates, better access to capital and the recovery in property fundamentals, S&P warns that several economic risks remain. The rating agency predicts GDP growth of 2.6% and has a moderately positive 12-month outlook for CMBS.

    Average credit metrics such as LTV ratios, percentage of interest-only loans and deal diversity have .......

    News Round-up 11 December 2013
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