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’Death by expenses – the ACA Euro 2007-1 CLO
Posted by Tracy Alloway on Mar 25 15:02. Comment.Did any one read the fine print in this CLO bond prospectus?
Because ACA Europe 2007-1, a €400m collateralised loan obligation issued by a UK unit of ACA Capital Holdings is in a spot of trouble.
From the deal prospectus: More…
Moody’s gives CLOs a (big) ratings break
Posted by Tracy Alloway on Mar 23 11:30. Comment.Quelle convenience.
Just as the market for new Collateralised Debt Obligations is heating up (in the US anyway, the European market is still frozen by those new skin-in-the-game securitisation rules), More…
Towards the limits of covered bond bank funding…
Posted by Tracy Alloway on Mar 16 09:41. Comment.Covered bonds + bank funding ≠ the sexiest of financial topics.
But stick around — because Deutsche Bank’s Matt Spick has something interesting to say. He’s adding to the running for covereds meme — or the idea that some European banks have been forced into issuing loads of covered bonds for funding: More…
Earthquake – from Japan to the States, and back again
Posted by Tracy Alloway on Mar 11 14:15. Comment.No, this is not about those very scary-looking tsunamis, which are hitting Hawaii now.
The yen is still strengthening on Friday after the country’s biggest ever earthquake on record struck off the northeastern coast. More…
Settling an ‘average’ mortgage servicing industry
Posted by Tracy Alloway on Mar 08 16:06. Comment.That’s the 27-page term sheet handed out to mortgage servicers by regulators, and obtained by Cheyenne Hopkins at American Banker on Monday. The document itself is part of a mass Spitzer-style settlement currently being eked out with the mortgage industry, More…
Heavy (covered bond) encumbrance
Posted by Tracy Alloway on Mar 08 10:05. Comment.Research on covered bonds rarely screams ‘READ ME!’ — but here’s something to catch your eye from Bernd Volk, at Deutsche Bank’s fixed income team:
We shortly describe the few publicly available covered bond issuance limits set by regulators. More…
One of these ratings opinions is not like the other
Posted by Tracy Alloway on Feb 22 16:56. Comment.Below are three rating agency opinions on Sequoia Mortgage Trust 2011-1 — which cobbles together mostly California-based mortgages from Redwood, and also happens to be the first private Residential Mortgage-Backed Security deal of the year. More…
Moody’s in the land of rising contrasts
Posted by Gwen Robinson on Feb 22 10:43. Comment.So the other shoe is looking a little precarious in Japan, at least in terms of the credit-rating world.
As the FT reports on Tuesday:
Moody’s has warned it might cut its sovereign debt rating for Japan, More…
Moody’s on massive financial defaults
Posted by Tracy Alloway on Feb 10 18:03. Comment.You probably knew this already — but the chart’s still striking.
That’s the amount of bonds and loans which Moody’s-rated financial firms have defaulted on, during each of the last major crises. More…
Through a ratings loophole, allegedly
Posted by Tracy Alloway on Feb 10 14:37. Comment.Another subprime lawsuit currently slugging its way through the courts is Cassa di Risparmio della Repubblica di San Marino SpA (CRSM) vs Barclays Plc.
The case concerns some Barclays-structured and triple A-rated CDO Squareds that were sold to the Italian bank around 2004. More…
Moans of the monolines
Posted by Tracy Alloway on Feb 02 12:32. Comment.Assured Guaranty Ltd. doesn’t like Standard & Poor’s new proposed rating methodology for bond insurers like (ahem) Assured Guaranty Ltd.
In fact, Assured’s CEO let rip in a Tuesday conference call: More…
Japan downgrade: The (umpteenth) denouement
Posted by Gwen Robinson on Jan 27 10:21. Comment.Thursday’s move by S&P to downgrade Japan’s sovereign credit rating was about as surprising as the inevitably tragic outcome of a much-loved kabuki play. Equally predictable, the rating agency cited the government’s lack of a clear strategy in reducing Japan’s large debt burden, More…
Outlook negativity, charted
Posted by Tracy Alloway on Jan 20 16:17. Comment.From Fitch Ratings’ just-published Global Credit Outlook:
The agency says the decline in negative outlooks is due to “both improved creditworthiness and downgrade action, with subsequent rating stabilisation.”
The Fed can’t go bankrupt. Anymore.
Posted by Tracy Alloway on Jan 20 14:09. Comment.There’s been much debate about the possibility of the US central bank going broke.
Forget it. But not because of the Federal Reserve’s fiscal position, per se.
Earlier this month the central bank made a subtle change to its accounting methods. More…
Capital ratios – for realsies
Posted by Tracy Alloway on Jan 19 15:56. Comment.Who needs Basel III’s quantitative impact study? Standard & Poor’s on Wednesday published their own review into the capital positions of the world’s 75 biggest banks.
S&P’s risk-adjusted capital (RAC) positions are supposedly much closer to upcoming Basel III requirements than current regulatory capital needs under Basel II … More…
Are rating agencies backing away from Re-Remics?
Posted by Tracy Alloway on Jan 19 14:37. Comment.A £30bn re-Remic ratings “error” from S&P.
A tightening of re-Remic ratings standards from Fitch.
And now this special report on Tuesday from Moody’s:
Over the course of the past two years we have increasingly declined to give our highest ratings to U.S. More…
An update from S&P’s covered bond wars
Posted by Tracy Alloway on Jan 18 14:15. Comment.A bad day for Standard & Poor’s.
Two rating withdrawal requests before lunchtime:
We are converting our ‘BBB+’ long-term and ‘A-2′ short-term counterparty credit ratings on Germany-based WestLB AG to unsolicited ratings following a request by the bank to terminate its relationship with Standard & More…
Fix the EFSF – lose the triple-A?
Posted by Tracy Alloway on Jan 17 12:48. Comment.Here’s an elegant, if controversial, solution to the limits of the EFSF.
The European Financial Stability Facility (EFSF), as we’ve written at length, largely resembles a giant CDO. It’s overcollateralised by 20 per cent to achieve a triple-A rating, More…
When a country trades just like its banking system
Posted by Tracy Alloway on Jan 14 15:08. Comment.It’s happening in CDS markets.
The below shows Moody’s Analytics’ implied-ratings for countries against those of the countries’ banking systems. You can see that for ‘strong’ sovereigns like Germany, More…
A $30bn re-Remic rating ‘error’ from S&P
Posted by Tracy Alloway on Dec 16 09:20. Comment.Whoops!
NEW YORK (Standard & Poor’s) Dec. 15, 2010–Standard & Poor’s Ratings Services today placed its ratings on 1,196 classes from 129 U.S. residential mortgage-backed securities resecuritized real estate mortgage investment conduit (RMBS re-REMIC) transactions issued in 2002-2010 on CreditWatch with negative implications. More…
Fitch previews a precarious ESM
Posted by Tracy Alloway on Dec 10 09:09. Comment.Flying under the radar on Thursday — but with signficant implications for European bond markets — was a four-page report from Fitch Ratings.
The title: “Contagion, Support and Euro Area Sovereign Ratings” More…
S&P reluctantly sees $1,000bn two-tiered CoCo market
Posted by Tracy Alloway on Dec 09 12:16. Comment.For markets — a $1,000bn bowl of steaming hot CoCos.
A slightly passive-aggressive report is out from Standard & Poor’s on Thursday — all about FT Alphaville’s favourite topic, CoCos. These are More…
More bailouts, more (EFSF) problems
Posted by Tracy Alloway on Nov 22 12:20. Comment.Pricing Irish bailout loans is wonky but interesting.
And indeed, trying to figure out the rates at which the €440bn European Financial Stability Facility will lend to troubled eurozone members has been an FT Alphaville hobby for some time. More…
Spain’s phantom securities – mas phantasmico
Posted by Tracy Alloway on Nov 16 15:20. Comment.Since we’re talking European peripherals, how ’bout Spain, eh?
Just released — a Fitch report on “originators supporting Spanish structured finance deals.”
Stay with us. This is structured finance, More…
Will rate CoCo bonds for food
Posted by Tracy Alloway on Nov 09 11:56. Comment.Has Fitch Ratings just given the hybrid capital market one big boost?
On Monday the rating agency quietly issued an 800-word statement outlining why it “expects to be able to rate new generation bank hybrid securities” More…
Death throes of the monolines
Posted by Tracy Alloway on Oct 26 08:59. Comment.Shock. Horror.
We are now living in a world without a triple-A rated bond insurer.
On Monday, Standard & Poor’s downgraded Assured Guaranty Corp. and Assured Guaranty Municipal Corp. from AAA to AA+. More…
European bank bail-ins will cost +87 basis points
Posted by Tracy Alloway on Oct 25 08:30. Comment.Regulators may be considering European bank bail-ins — or forcing creditors to share the losses of failed banks — but how do investors actually feel about such measures?
(So what, you might scoff — who cares what those spoiled bondholders think? But remember regulators need to balance burdensharing with banks’ future funding costs, More…
Fitch puts most of the US banking sector on negative watch
Posted by Tracy Alloway on Oct 22 19:25. Comment.Fresh from Fitch Ratings — one almighty ratings watch call.
It seems the ‘Too Big To Fail’ fix announced by the Federal Deposit and Insurance Corporation last week, is too formidable to satisfy Fitch’s ratings ‘uplift’ requirements. More…
Moody’s does not like the FDIC’s TBTF fix
Posted by Tracy Alloway on Oct 18 09:45. Comment.The US Federal Deposit and Insurance Corporation (FDIC) may have fired the first salvo for so-called bank bail-ins last week, but Moody’s is not buying.
The FDIC notice of proposed rule making (NPR) on ‘Orderly Liquidation.’ It includes the idea of creating a ‘bridge bank’ that would continue the basic operations of failed financials, More…
Some ECB refinements
Posted by Tracy Alloway on Oct 11 09:03. Comment.It’s no secret the European central bank is none too pleased with some of the Asset-Backed Securities (ABS) being pledged by banks as collateral at its liquidity ops.
Welcome then, the ECB’s fine-tuning (ha) of its General Documentation, More…