CMBS

  • Beacon Seattle loan closed out

    The final three properties securing the Beacon Seattle & DC Portfolio loan - securitised in six conduit CMBS - have been disposed of, resulting in approximately US$55.7m in additional realised losses on top of US$45.2m in losses previously incurred throughout the loan's term (see SCI's CMBS loan events database). At securitisation, the US$2.7bn loan - one of the .......

    News 27 March 2017

  • SFR strategy raises RMBS questions

    American Homes for Rent (AH4R) announced this week an additional public equity offering, expecting to raise over US$250m, in the latest sign that single-family rental (SFR) companies are significantly changing their funding and operations. SFR securitisation performance has been strong, yet the market opportunity may be dwindling just as it proves its value.

    "The SFR subsector remains small compared to .......

    News Analysis 24 March 2017

  • JCPenney exposure gauged

    JCPenney has disclosed the 138 stores that it plans to shutter in an effort to optimise retail operations (SCI 2 March). The impact of the closures on the CMBS market appears to be smaller than anticipated, with 14 liquidated stores encumbered by 17 loans totalling US$1bn, according to Morgan Stanley figures. The IHS Markit CMBX index has exposure to nine .......

    News 20 March 2017

  • Euro secondary trundles on

    The European securitisation secondary market trundles on seemingly unaffected by the ups and downs of broader markets this week.

    Market tone remains strong across the board, as demand easily outstrips limited supply. Consequently, secondary spreads continue to be flat to slightly tighter as each day passes.

    BWICs are still sporadic and are trading at or above talk as and when .......

    SCIWire 16 March 2017

  • CMBS retention 'first' in the works

    The second US CMBS conduit transaction to use an eligible horizontal residual interest, and the first to have that horizontal interest held solely by a third-party purchaser, is currently marketing. JPMDB 2017-C5 is a US$1bn transaction rated by Fitch, Kroll Bond Rating Agency, Moody's and S&P (see SCI's pipeline).

    The third-party purchaser is Massachusetts Mutual Life Insurance Company, .......

    News 14 March 2017

  • Euro secondary strengthens

    Tone and levels if not volumes continue to strengthen across the European securitisation secondary market.

    The large CDO liquidation BWIC on Friday bolstered the market's already strong tone, as expected. End-user interest in the list affirmed the depth of the ongoing rally in most sectors and while the ultimate AON style trade meant the paper has stayed out of investor .......

    SCIWire 14 March 2017

  • Debut CRE CLO prepped

    Greystone is in the market with its debut US$366.6m CRE CLO. Dubbed Greystone Commercial Real Estate Notes 2017-FL1, the transaction securitises 27 floating-rate mortgages secured by 27 transitional multifamily properties.

    Moody's and DBRS have assigned provisional ratings to the deal of Aaa/AAA on the US$207.1m class A notes, Baa2/AA (low) on the US$25.66m class Bs and NR/BBB (low) on the .......

    News 9 March 2017

  • Retailer's bankruptcy raises CMBS risk

    Hhgregg's bankruptcy filing and plans to close 91 locations, announced this week, may elevate long-term default risk for 10 CMBS loans totalling US$156.8m, says Morningstar Credit Ratings. The rating agency warned last year that store closures were likely (SCI 30 November 2016).

    There are nine properties where closures would take occupancy below 80%, which is the agency's threshold for at-risk .......

    News 9 March 2017

  • Replacement risk weighing on BWIC volume?

    International ABS BWIC volume totalled €9.7bn in 2016, according to JPMorgan figures. Average weekly BWIC volume of €186m last year fell by around 17% from 2H15 and has subsequently fallen to €96m per week in 2017 year to date, reflecting the lack of supply and replacement risk.

    JPMorgan international ABS analysts point to peaks and troughs in secondary market activity .......

    News 9 March 2017

  • Euro secondary simmers

    The European securitisation secondary market is still simmering without yet fully coming to the boil.

    Volumes have picked up a little this week as expected, but have not yet really taken off. Instead, familiar patterns are being maintained across the board - flows remain patchy and BWICs sporadic.

    At the same time, demand continues to outstrip supply amid strong market .......

    SCIWire 9 March 2017

  • Hope note recovery rates examined

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

    News 7 March 2017

  • Enforcement actions to remain rare

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

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

    News 6 March 2017

  • CMBX mall exposures stressed

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

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

    News 3 March 2017

  • Horizontal retention CMBS debuts

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

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

    News 2 March 2017

  • Closures to increase CMBS strain

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

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

    News 2 March 2017

  • Proposed retention metric assessed

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

    News 1 March 2017

  • Trading expansion underlines optimism

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

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

    News 28 February 2017

  • Crossover opportunities touted

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

    News 28 February 2017

  • CMBS liquidation trust prepped

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

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

    News 24 February 2017

  • Defeasance trending down on volatility

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

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

    News 23 February 2017

  • Euro ABS/MBS edges in

    European ABS/MBS secondary spreads continue to edge in.

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

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

    SCIWire 23 February 2017
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