ABS

  • 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

  • NPL servicer breaks new ground

    Alvarez and Marsal has established the first independent business loan servicing company in Greece. Named Independent Portfolio Management (IPM), the fully owned subsidiary has been granted a servicer license by the Bank of Greece for the management of claims from loan and credit facilities in accordance with the local legal and regulatory framework.

    "IPM is not a captive servicer owned .......

    News 2 August 2017

  • Regulatory call exercised for Calico

    The Co-operative Bank last week announced a regulatory call of its Calico Finance Number One capital relief trade. The call was executed, after UK PRA approval, as part of the bank's plans to improve its capital position.

    The Co-operative Bank received confirmation from the PRA that the Calico transaction no longer achieves significant risk transfer (SRT) to third parties within .......

    News Analysis 1 August 2017

  • RFC issued on gas prepay approach

    S&P has requested comments on its methodology for rating US physical commodity prepayment ABS transactions. Such bonds are backed by the payment obligations of municipalities for the delivery of gas and counterparties that hedge gas price fluctuations. Contractual guarantees cover the performance risk of the gas supplier, which is paid upfront for the delivery of gas to the municipalities over .......

    News 1 August 2017

  • Risk transfer round-up - 28 July

    Delay has been the theme in the capital relief trades market this week.

    Nordea has begun marketing its delayed corporate risk transfer deal, which appears to have had a positive reception from investors. "Given the size of the deal and the way it was welcomed by the market, I wouldn't be surprised if it is completed by year-end or early .......

    News 28 July 2017

  • Whole business maturity wall eyed

    US whole business securitisation issuance was robust in 1H17, with US$5.1bn priced across seven issuers (see SCI's primary issuance database), up by 84% year-over-year and on pace to break the record US$7.2bn issued in 2015. However, risks to the sector have increased marginally, given a looming maturity wall and declining growth across the restaurant industry.

    Many well-known restaurant .......

    News 28 July 2017
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