Posts tagged 'Securitisation'

Ratings dispute unsettles CMBS market

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Jul 29 2011 10:17 | Comment |

S&P has suspended its rating on a new CMBS transaction brought to market by Goldman Sachs and Citigroup, setting up a battle over its methodology which could overturn the CMBS market, according to Bloomberg. The banks have pulled the deal. The agency said there were potentially conflicted methods for calculating debt service coverage ratios in the security, a so-called “CMBS 2.0″ issue which includes a conduit/fusion structure that has so far under-pinned the market’s fragile recovery, Housing Wire reports. The unprecedented move has exposed both inconsistencies in how raters approach CMBS and the industry’s continued reliance on ratings shopping, IFR says. Read more

The AAA bubble

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jul 15 2011 11:23 | Comment |

This, we think, could well be the most important chart in the world right now:

 Read more

New York AG probes BofA settlement

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Jul 13 2011 10:32 | Comment |

New York’s attorney general has sought client data from investors taking part in Bank of America’s $8.5bn settlement of mortgage securitisation claims as part of a probe into the matter, Bloomberg reports. Firms including Goldman Sachs and BlackRock were asked to provide information on clients affiliated with New York public authorities that had invested in Countrywide trusts The letter will increase suspicions that BofA’s settlement deal failed to consult investors before it was made, Yves Smith writes at Naked Capitalism. Read more

Shadow ratings go dark at S&P

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jul 05 2011 14:36 | Comment |

Rating agency Standard & Poor’s might be making headlines when it comes to Greece, but it’s also been roiling a much smaller corner of the market — Collateralised Loan Obligations (CLOs).

Creditflux’s Mike Peterson has a great scoop on a letter sent last month by S&P’s head of US credit. In it, James Parchment tells the agency’s clients that S&P will no longer shadow rate companies with revenue of more than $499m. For companies with turnover between $200m and $499m the agency will only give shadow ratings, or “credit estimates,” six months after the loan is issued. Read more

ABS, CDS and various other acronyms in Australia

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jul 05 2011 09:30 | Comment |

Your daily dose of financial innovation, right here.

Flexi ABS Trust 2011-1 may be a structured finance deal you’ve never heard of, but it’s making waves amongst securitisation types in Australia. Put simply it’s the first ever Australian deal to bundle interest-free payment plans for retail goods like jewellery, gym equipment, furniture and the like, according to Moody’s. Read more

Back to the future with UK RMBS

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jun 14 2011 16:10 | Comment |

Your extend and pretend datapoint du jour, right here folks.

On Monday, Moody’s released a report advocating more disclosure of loan modifications within British Residential Mortgage-Backed Securities (RMBS).  The UK’s Financial Services Authority already said something similar last month, when it issued its first Prudential Risk Outlook. Read more

European securitisation – now mostly retained

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jun 08 2011 09:53 | Comment |

A milestone, of sorts, in the European structured finance market.

At the end of the first-quarter of 2011, retained securitised debt made up a bigger proportion — at 51.7 per cent — of total outstanding debt (€2,076bn) than debt placed with investors, according to new figures from the Association for Financial Markets in Europe’s (AFME) securitisation data report. Read more

China’s uncollateralised, cash flow-less, local government loans

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jun 07 2011 11:04 | Comment |

The first time FT Alphaville stumbled upon China’s local government debt problem, it was in the form of one Shanghai district township snaffling a $250m loan from a Chinese bank for a “high-profile investment.”

Small problem — the township spent the loan, secured using a so-called local government investment vehicle (LGIV) without collateral, on completely unrelated development projects. Read more

Choose your own MBS accounting

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| May 03 2011 13:36 | Comment |

Basel III. Accounting. Mortgage-Backed Securities. Yawn.

But wait — Basel III’s attempt to incentivise banks into managing their interest rate risk could be about to permanently alter the way banks handle some $1,480bn worth of MBS, or 11 per cent of their assets. Read more

The other (missing) side of risk retention?

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Apr 15 2011 14:35 | Comment |

Risk retention is all about ‘aligning the incentives‘ of various securitisation players.

But CreditSights analysts reckon regulators may have grabbed the wrong end of the securitisation stick, so to speak, when they proposed the rules. The structured finance meltdown, they argue, didn’t come about because of misalignment of incentives — but alignment. The securitisation mindmeld, so to speak. Read more

Premium capture is the new 436(g), Citi says

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Apr 04 2011 11:52 | Comment |

The repeal of Rule 436(g) sent the securitisation industry into a tizzy in the summer of 2010.

Now a component of last week’s proposed risk retention rules for Mortgage-Backed Securities (MBS) is sparking comparisons from some analysts, in relation to the commercial MBS market. The troublesome bit is called “premium capture” — and it’s pretty much the only thing that came as a surprise to the securitisaton industry in the 233-page proposal published by US regulators last week. Read more

Choose your own risk retention

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Mar 30 2011 09:09 | Comment |

So now that the Federal Reserve has gifted US banks with a one-size-does-not-fit-all policy in (some) securitisation risk retentions, which version will they be going for?

After all, they’ve got horizontal and vertical (and even L-shaped) slices to choose from. Read more

Moody’s gives CLOs a (big) ratings break

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Mar 23 2011 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), one of the biggest CLO-rating agencies around announces it may decide to tweak its methodology for rating the structured finance products. Read more

The Ian Dyson detox plan

| Mar 22 2011 09:03 | Comment |

Punch Taverns — aka the Toxic Pub Company — won’t be handing back the keys to its troubled tenanted inns after all.

Chief executive Ian Dyson has decided on a break-up instead, creating a pub world equivalent of a ‘good bank’ and a ‘bad bank’. Read more

Portugal: finally about the banks

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Mar 16 2011 10:50 | Comment |

Portugal’s fiscal plight is dire: but unlike in Spain or Ireland, the country’s banks are not major burdens on the sovereign. Where was the big 2000s Portuguese housing bubble, after all. Right?

No. Read more

Funding Europe’s bailouts, a callable conundrum

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Mar 15 2011 15:08 | Comment |

OK — here’s one last thing we don’t get about the weekend’s EU summit, which rolled out several fixes for the euro crisis.

We now have some first details on how eurozone member states will finance the European Stabilisation Mechanism, which begins operating in 2013. The details include the ESM’s full lending capacity (€500bn) and somewhat less clearly, proposals on how to secure this capacity. Read more

‘Securitisation is not that evil after all’

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Mar 10 2011 14:25 | Comment |

Now there’s a title, from a new BIS working paper, to catch one’s eye.

In it, the authors tackle the issue of information asymmetry in the securitisation process — or the basic idea that the holders or creators of a security might have better information about the investment than potential buyers. Read more

Back to the future with CMBS

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Feb 25 2011 14:29 | Comment |

Blink and you might have missed it — but the market for Commercial Mortgage-Backed Securities (CMBS) reopened about 15 months ago with three transactions.

But the deals, issued in late 2009, were not CMBS as we knew them pre-financial crisis. DDR 2009-DDR1, BALL 2009-FDG and JPMCC 2009-IWST were all backed by multiple commercial properties, but collateralised with a single loan. Bond classes averaged a paltry four, and deal sizes clustered around the small-ish $450m mark. Read more

Deutsche, Blackstone in CMBS revival

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Feb 23 2011 10:06 | Comment |

Deutsche Bank is orchestrating the first true UK property securitisation since the onset of the credit crunch in a sign of revival in the market, reports the FT. Property bonds for a deal involving US buyout group Blackstone are backed by loans to Chiswick Park in west London, one of the UK’s largest office parks, and the £300m securitisation is expected to come to the market by mid-year. Reuters adds that Europe’s commercial mortgage-backed securities (CMBS) market has been comatose for more than three years, and sources say the deal could be “attractive” to investors. Read more

Deutsche to issue Blackstone bond

| Feb 23 2011 04:30 | Comment |

Deutsche Bank is orchestrating the first true UK property securitisation since the onset of the credit crunch in a sign of revival in the market, reports the FT. Property bonds for a deal involving US buyout group Blackstone are backed by loans to Chiswick Park in west London, one of the UK’s largest office parks, and the deal is expected to come to the market by mid-year. Blackstone agreed to buy the office park for about £480m at the start of the year and that deal, for which Deutsche is providing £360m of financing, is expected to complete next week. The securitisation itself will total about £300m. Read more

UK banks sorcery

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Feb 09 2011 16:05 | Comment |

The Government today welcomed the commitment by the UK’s biggest banks on lending expectations and capacity, the size of the 2010 bonus pool, pay disclosure and support for regional growth and the Big Society.

This statement by Barclays, HSBC, Lloyds Banking Group, RBS and, with respect to lending, Santander, follows a period of discussion between the Government and the banks, known as Project Merlin… Read more

SEC sets sights on mortgage disclosures

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Feb 08 2011 09:07 | Comment |

US securities regulators investigating the role of banks in the mortgage crisis are homing in on the question of whether investors were misled about the home loans used to back securities, the FT reports. Kenneth Lench, chief of the SEC’s structured products unit, said at a conference in Washington on Friday that issues of interest to the commission include whether investors were properly informed about underwriting and foreclosure practices and the quality of mortgages used to back securities. Read more

What lies in Greek RMBS

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Feb 08 2011 08:40 | Comment |

Greece has lots of problems.

Yet unlike Ireland or Spain, a collapsed housing market (even under austerity) isn’t one of them. But… Read more

‘Banks may be the best holders of mortgage risk,’ says Deutsche

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jan 31 2011 16:06 | Comment |

Or, why the private label mortgage securitisation market keeps failing to rise from the dead — especially as the US grapples with Fannie/Freddie reform.

Here’s the thinking, from Deutsche Bank’s Steven Abrahams: Read more

Dear Sir John

Joseph joined FT Alphaville way back in March 2010. He likes all the politically and legally fiddly bits of finance. He also likes credit, rates, global macro, tail risk, and all that stuff. (You should email him story ideas. He’ll take anything.)

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| Jan 26 2011 16:16 | Comment |

Which anarchist added this to the list of public responses sent to the UK’s Independent Banking Commission? (H/T to the FT’s Paul Davies):

While again emphasising that this is a personal view, I do believe that in the interests of competition, the merger of HBOS and Lloyds was misconceived and Lloyds Banking Group should be broken up. Under normal circumstances this would never have been allowed and nothing has happened since to make the decision any more correct… Read more

A very messy Ambac lawsuit for JPMorgan

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jan 25 2011 17:43 | Comment |

JPMorgan didn’t want this to be made public. You can kind of see why.

Quick background — the bank has been engaged in a legal battle with Ambac since November 2008. The monoline says EMC, Bear Stearns old mortgage-banking arm, misrepresented certain securitised loans that Ambac insured. The lawsuit’s been going back and forth for ages but this month a new court doc was made public. Read more

CMBScurviness by originator

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jan 24 2011 12:35 | Comment |

Iffy commercial loans pre-financial crisis? Blame the conduits.

A new Federal Reserve discussion paper takes a look at 30,000 loans that were eventually turned into Commercial Mortgage-Backed Securities (CMBS) to figure out whether mortgages originated by certain types of lenders were more risky. Read more

Are rating agencies backing away from Re-Remics?

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jan 19 2011 14:37 | Comment |

A £30bn re-Remic ratings “error” from S&P.

A tightening of re-Remic ratings standards from Fitch. Read more

Solving the second-lien sticking point

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jan 11 2011 13:32 | Comment |

Remember this chart? It’s old, but still relevant.

 Read more

A court case to challenge securitisation standards [updated]

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Jan 07 2011 12:55 | Comment |

Currently winding its way through the Massachusetts Supreme Court — a little court case that could end up having big consequences for mortgage securitisations.

It’s called the ‘Ibanez case’ and here’s the story. Read more

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