ABS

  • Euro secondary sporadic

    The European securitisation secondary market continues to exhibit the pattern of recent weeks with sporadic bursts of activity in specific areas.

    The stop-start nature of all asset classes has been further exacerbated by recent public holidays, month-end and the run-up to Global ABS. With wholesale absences at the conference next week little is likely to change in the near future.

    SCIWire 1 June 2017

  • STS framework finalised

    A deal has been reached on the long-awaited new EU securitisation regulations, including a framework for STS securitisation. In what is being seen as a major step forward for the European ABS market, the European Commission, Council and Parliament reached a compromise yesterday evening, with risk retention requirements to remain unchanged at the current minimum of 5% and several punitive .......

    News 31 May 2017

  • Credit-scoring models contrasted

    The importance to ABS of the VantageScore credit-scoring model continues to grow, with structured finance transactions increasingly using the credit metric. As such, rating agency DBRS believes investors would benefit from a greater understanding of the FICO alternative.

    "Evidence points at VantageScore gaining traction in consumer lending and, by extension, in structured finance. The inclusion of VantageScore as a credit .......

    News 31 May 2017

  • Irish central bank steps up NPL pressure

    The governor of the Central Bank of Ireland stated this week that the pace of NPL reduction in Ireland is too slow and new strategies are needed to combat the still elevated volume of bad loans. The move signifies increased political pressure on Irish banks to reduce NPL ratios.

    This is somewhat complicated by the fact that Ireland is considered .......

    News Analysis 26 May 2017

  • Risk transfer round-up - 26 May

    According to sources Barclays is prepping a deal, although the underlying asset is unknown. Given the lender's active corporate loan issuance however the underlying asset may likely be corporate loans.

    At the same time we have heard of another GARC deal by Intesa San Paolo. This deal could "possibly" come by the end of the year, sources say. The issuer's .......

    News 26 May 2017

  • First Aussie master trust ABS well received

    The first Australian ABS to use a master trust structure has proved ground-breaking in several ways. While it took a lot of work, the market reaction suggests the effort was well worth it.

    The A$1bn Latitude Australia Credit Card Loan Note Trust Series 2017-1 transaction (see SCI's deal database) was the first deal to come from Latitude Financial .......

    News Analysis 26 May 2017

  • Job swaps round-up - 26 May

    North America

    SFIG has hired Covell Adams as chief administration officer and Scott Brody as director of education and conferences. Adams joins from Wells Fargo Securities where she was head of business strategy and development for the asset backed finance and securitisation unit. Brody was previously md at IMN-Euromoney and he co-founded IMN in 1994.

    KBRA has hired Michael Dean .......

    Job Swaps 26 May 2017

  • MPL ABS event to explore regulatory implications

    Industry participants will gather in New York on 22 June to discuss the major issues in marketplace lending securitisation at SCI's third annual MPL ABS seminar. The first panel will look at regulatory challenges and developments in the sector, including the future of the CFPB and the repercussions of the Madden v Midland case.

    The future of the CFPB is .......

    Talking Point 26 May 2017

  • VW's Spanish auto ABS breaks new ground

    Volkswagen Financial Services has placed the largest Spanish auto ABS since the financial crisis and called on regulators to acknowledge the asset class' utility. The €914bn Driver Espana Four auto loan securitisation is backed by approximately 110,000 financing contracts, around 82% of which are for new vehicles.

    The deal has also achieved the lowest pricing of a Spanish auto ABS .......

    News 25 May 2017

  • CEA completes its largest ILS yet

    The California Earthquake Authority (CEA) has completed its largest ever ILS (see SCI 22 May). The US$925m Ursa Re 2017-1 transaction, structured by Swiss Re, is one of the largest indemnity, annual aggregate catastrophe bonds and covers California earthquake risk.

    Swiss Re underwrote the transaction through two classes of principal-at-risk variable rate notes issued by Ursa Re. The CEA receives .......

    News 24 May 2017

  • Investors overweight RMBS

    Investors are moving out of consumer ABS and into US non-agency RMBS, agency RMBS and cash, according to a Morgan Stanley survey. 89% of survey respondents expect to stay in line or add to their current allocation to securitised products.

    The 2Q17 global investor survey polled 30 hedge funds, 67 asset managers, 23 insurance companies, 27 banks, two pension funds .......

    News 23 May 2017

  • Global interest in Euro SF surges

    The number of investors in European securitisations is ramping up and transactions are increasingly oversubscribed. Issuance volumes still lag behind 2016, but structured finance analysts at Bank of America Merrill Lynch are optimistic that 2017 can gain momentum thanks to increased global investor demand.

    There has been renewed investor interest in European structured products, which the analysts believe will push .......

    News 22 May 2017

  • BoC debuts first 'restructured' NPL sale

    Bank of Cyprus, Cyprus's largest lender, has sold approximately €20m of restructured non-performing business loans to a small Cypriot bank. The transaction is the first of its kind in the Cypriot NPL market and the first under the 2015 securitisation legislation, but might not set a precedent for greater investment activity and issuance in the Cypriot NPL market.

    Local press .......

    News Analysis 22 May 2017

  • Job swaps round-up - 19 May

    CDO manager transfers

    Dock Street Capital Management has replaced Vertical Capital as portfolio advisor to Summer Street 2005-HG1 and Vertical CDO 2003-1. Moody's confirms that the move will not impact the ratings on the ABS CDOs.

    EMEA

    BlueMountain Capital Management has named Louisa Church ceo for Europe. She will also continue in her role as head of client advisory - .......

    Job Swaps 19 May 2017

  • Regulatory proposal for SPVs 'credit negative'

    Proposed European regulatory changes to classify SPVs as financial counterparties have created significant uncertainty and are credit negative, rating agencies warn. Should the European Commission's (EC) intended amendments to EMIR be carried out, transactions would be required to post two-way variation margin and clear derivatives centrally.

    The EC's proposals remain subject to approval from the European Parliament and Council. Fitch .......

    News 19 May 2017

  • Risk transfer round-up - 19 May

    Sources expect three true sale significant risk transfer trades to be issued by Italian banks this year, with NPLs as the underlying asset. Banca Popolare di Bari is rumoured to be one of them.

    "Given that the senior tranche will be retained under GACS, I would expect a substantial portion of the mezzanine and the junior to be sold," says .......

    News 19 May 2017

  • STS discussions stumble on hierarchy

    The Strasbourg Trilogue discussions on simple, transparent and standardised (STS) securitisation have been postponed until 30 May, due to disagreements between the European Parliament on the one hand and the European Commission and Council on the other over the hierarchy of CRR approaches. However, the European Parliament has made important concessions over risk retention, increasing the likelihood of a final .......

    News Analysis 19 May 2017

  • Subprime underwriting differences revealed

    Regulation AB 2 loan-level disclosures have shed light on performance differences across transactions originated by the largest US subprime auto loan ABS issuers that would not have been apparent under previous disclosure requirements. A new Moody's analysis of Santander Consumer USA and AmeriCredit Financial Services data suggests that the differences reflect the sponsors' underwriting and pooling strategies.

    For many years, .......

    News 18 May 2017

  • Atlante momentum waning?

    Italian bank rescue fund Atlante II has completed the purchase of its debut €2.2bn non-performing loan securitisation, clearing the way for UBI Banca's acquisition of three small rivals rescued in late 2015. The investment is believed to be one of four transactions that the fund will finalise this year.

    The NPL sale was one of the conditions imposed by UBI .......

    News 17 May 2017

  • Premium finance debut ABS lined up

    Premium Credit is bringing to market is first term ABS, an unusual deal backed by premium finance contracts (see SCI's deal pipeline). While the size of the deal has yet to be confirmed, both Moody's and DBRS have assigned triple-A ratings to the senior notes.

    PCL Funding II Series 2017-1 is a three-year revolving cash securitisation of non-life .......

    News 16 May 2017

  • IFRS 9 to spur 'underperforming' loan sales

    The implementation of IFRS 9 is expected to increase provisioning for a new loan category dubbed 'underperforming loans'. As lifetime losses will have to be addressed in this category, it is likely that these assets will become non-core and therefore be subject to increased sales activity.

    According to Tony Clifford, partner at Ernst and Young, IFRS 9 will not significantly .......

    News Analysis 15 May 2017
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