Analysts at Barclays Capital are warning of CMBS under-collateralization causing principal shortfalls being seen in June and July remittance reports. “In most cases, these can be tracked down to workout-delayed reimbursement amounts (WODRA) – a specific kind of deal mechanics described in CMBS pooling and servicing agreements that create principal shortfalls,” the analysts said in a research piece.

The Federal Reserve Board on Tuesday announced that it had agreed with the Treasury Department that it was appropriate for Treasury to reduce from $20 billion to $4.3 billion the credit protection provided for the Term Asset-Backed Securities Loan Facility (TALF) under the Troubled Asset Relief Program (TARP). The Board had authorized up to $200 billion in TALF loans, but when the program closed on June 30, 2010, there were $43 billion in loans outstanding.

“Demand for higher yielding assets has increased, as the risk aversion trade has largely ended,” analysts from Bank of America Merrill Lynch wrote in a research piece this week as investors began moving down the credit spectrum in credit card

Odeon Capital Group LLC, the independent fixed income broker dealer with investment banking and research services, today released a primer on the Countrywide Revolving Home Equity Loan Shelf offering (CWHEL). The report highlights the strengths and weaknesses of this particular shelf registration and how they affect the price, yield and weighted average life of the emerging asset class.

Fitch Ratings has downgraded 194 bonds in 120 residential mortgage-backed securities (RMBS) transactions to 'D' indicating that the bonds have incurred a principal write-down. The bonds being downgraded to 'D' as part of this review were all previously rated 'CC' or 'C' indicating that a default was expected. Today's action is limited to just the bonds with write-downs. The remaining bonds in these transactions have not been analyzed as part of this review.