ABS

  • Hurricane Harvey impact weighed

    While the picture is not yet clear in terms of the total damage inflicted by Hurricane Harvey, it looks set to impact several sectors across securitisation. RMBS and CMBS appear likely to be most affected, along with credit risk transfer transactions and potentially auto ABS.

    CMBS 2.0 transactions are set to be most affected, with Morgan Stanley estimating that 241 .......

    News 1 September 2017

  • Libor transition provisions eyed

    Despite the UK FCA's recent announcement that it plans to phase Libor out by 2021 (SCI 31 July), the move is far from an outright ban and the benchmark could live on past the deadline. However, without any agreement as yet about a successor rate, uncertainty prevails over how the estimated US$150trn bonds with exposure to Libor will be affected.

    News Analysis 25 August 2017

  • Ukrainian NPL sales gain traction

    DebtX is set to facilitate the largest Ukrainian NPL portfolio sale next month, signalling a growing shift in sentiment by international investors in the country's NPL market. The US$240m commercial loan pool is secured by assets that are representative of the market as a whole, including resorts, supermarkets, agricultural operations and logistics.

    "The government has been testing the market with .......

    News Analysis 25 August 2017

  • NPL auction model highlighted

    Online platform Debitos welcomes the European Commission's public consultation on the development of a secondary market for non-performing loans (SCI 11 July). The platform's auction process offers a potential model for dealing with Europe's NPL overhang by narrowing the bid/ask gap.

    Debitos founder and md Timur Peters sees the consultation as a confirmation of his business concept. "It's about the .......

    News Analysis 23 August 2017

  • Bond Connect debuts auto ABS

    Ford Automotive Finance (China) (FAFC) has launched the first securitisation utilising Bond Connect, which allows offshore investors to participate in China's inter-bank bond market. The RMB3.77bn Fuyuan 2017-2 auto loan ABS is also noteworthy for being rated by two domestic and two international rating agencies.

    A China Foreign Exchange Trade System/HKEX joint venture, the Bond Connect platform was established last .......

    News 23 August 2017

  • IBR driving collateral convergence

    FFELP student loan ABS collateral performance has converged in recent years due to the growing use of income-based repayments (IBR). Wells Fargo structured products analysts suggest that this convergence should spur investors to reassess their "old school" prepayment pricing assumptions.

    Principal paydowns are more similar than different, despite the various prepayment rates among FFELP SLABS collateral, according to a recent .......

    News 22 August 2017

  • Risk transfer framework outlined

    Outlines of the main elements of the EBA's risk transfer discussion paper - due to be released next month - have been revealed. The recommendations will focus on the main structural features of risk transfer transactions and may at a later stage result in regulatory changes. It remains unclear whether the consultation will result in final technical advice, however.

    The .......

    News 18 August 2017

  • Air Berlin insolvency affects aircraft ABS

    Air Berlin filed for insolvency yesterday. While intervention from the German state should keep the airline operational for at least the next three months, there are a dozen aircraft ABS deals exposed to Air Berlin and temporary cashflow disruptions are anticipated.

    Air Berlin's insolvency filing follows the refusal of Etihad to provide further financial support to the airline. Etihad is .......

    News 16 August 2017

  • Exeter breach an 'atypical' event

    EART 2015-2 senior bondholders received no principal payment this month, after the auto ABS deal's cumulative net loss (CNL) trigger was cured. Although this appears to be an atypical event, it nevertheless highlights the importance of understanding structural characteristics in order to price risks more efficiently.

    Weaker-than-expected credit performance led to a failure of EART 2015-2's CNL trigger in February. .......

    News 16 August 2017

  • Chinese NPL collections surveyed

    Collections for most Chinese non-performing loan securitisations have outpaced originators' initial projections, as of June 2017, according to a Moody's analysis of trustee report data. The study suggests that while originators of unsecured consumer NPL deals are the most optimistic about collections, the expense ratio for these transactions is the highest.

    For the purposes of the analysis, Moody's classified 15 .......

    News 15 August 2017

  • Refi SLABS seeing product, borrower expansion

    Refinanced student loan ABS (SLABS) has grown to become a defined sector within student lending, making up a third of total US SLABS volume. With this growth, lenders are expanding across a range of measures - including loan and borrower type - and new competitors continue to enter the space.

    The broader SLABS sector has been a high point of .......

    News Analysis 10 August 2017

  • Best execution requirements assessed

    MiFID 2, due to be implemented across the EU by 3 January 2018, will have a far-reaching impact on the continent's financial markets, not least ABS. While the new rules will reshape banks' relationships with their customers in many ways, two of the most pressing are the unbundling of research and proving best execution.

    MiFID's unbundling rules mainly apply to .......

    News Analysis 9 August 2017

  • Registered, Rule 144A issuance compared

    The US SEC's division of economic and risk analysis (DERA) has published a report assessing how trends in primary securities issuance and secondary market liquidity relate to post-crisis regulatory reforms, in line with a Congress request under the 2016 appropriations process. The analysis - which spans 2005-2016 - shows that overall ABS (excluding RMBS) issuance has recovered since the trough .......

    News 9 August 2017

  • Subprime auto subs hit record tights

    US subprime auto ABS are pricing at the tightest spreads on record in the face of strong investor demand. The trend is occurring across the capital structure, most recently exemplified by Westlake Automobile Receivables Trust 2017-2, the subordinate tranches of which last week printed at the tightest levels ever for the sector.

    August has historically averaged US$11.6bn in consumer ABS .......

    News 8 August 2017

  • Cat bond issued in blockchain first

    Solidum Re has launched what is believed to be the first-ever catastrophe bond to have been digitised on a private blockchain. Named the ILSBlockchain, this mechanism has replaced the role of a traditional settlement system for the note issuance.

    Cedric Edmonds, director of Solidum Re, notes that an alternative to Euroclear was required as it is becoming increasingly difficult to .......

    News 8 August 2017

  • Innovative ILS coverage offered

    The IBRD has priced a series of catastrophe bonds that will provide the Mexican Fund for Natural Disasters (FONDEN) with innovative parametric coverage of up to US$360m. The ILS were issued across three tranches with exposure to three types of disasters - earthquakes (CAR 113 notes), Atlantic tropical cyclones (CAR 114) and Pacific tropical cyclones (CAR 115).

    The three-year bonds .......

    News 7 August 2017

  • Peripheral ABS playing catch-up

    Structured finance issuance in the European core has held up well over the summer, with spreads continuing to grind tighter. Although peripheral ABS spreads remain wide of the core, the periphery appears to be catching up.

    "Spreads throughout Europe - in both the core and periphery - have been going in the same direction for a while now, albeit at .......

    News Analysis 4 August 2017

  • Risk transfer round-up - 4 August

    Capital relief trade players are expecting a quiet August, before the flurry of activity that will define Q4. Nevertheless, rumours are circulating that a regulatory call might be executed on a transaction that HSBC closed last year. This follows the Cooperative Bank's regulatory call of its Calico Finance capital relief trade issued in 2013 (SCI 1 August).

    .......

    News 4 August 2017

  • Inaugural aviation ABS readied

    Sky Aviation Leasing International is in the market with an inaugural securitisation. Dubbed S-JETS 2017-1, the US$780.8m transaction is collateralised by a portfolio of 21 aircraft on lease to 16 lessees located in 13 countries.

    As of 1 August 2017, the initial weighted average aircraft age of the portfolio is approximately 3.4 years, with a remaining lease term of approximately .......

    News 4 August 2017

  • Debut diamond ABS prepped

    Diarough Group - the trading name of Egon Holdings and Emby International - is marketing its first public ABS, having issued a private inventory securitisation in 2007. Dubbed Four Seas 2017-1, the latest US$150m transaction is collateralised by Diarough's rough and polished diamond inventory and outstanding receivables.

    KBRA has provisionally rated the transaction single-A in respect of the US$75m class .......

    News 3 August 2017

  • UK ILS hub to drive new issuance, innovation

    The proposed ILS regulatory and tax regime due to come into effect on 1 January 2018 aims to put the UK on an even-footing with other jurisdictions and enable it to become a world leader in the catastrophe bond market (SCI 21 July). Notably, the framework is expected to create an accommodating tax environment for ILS vehicles, making it financially .......

    News Analysis 3 August 2017
×