ABS

  • Replacement risk weighing on BWIC volume?

    International ABS BWIC volume totalled €9.7bn in 2016, according to JPMorgan figures. Average weekly BWIC volume of €186m last year fell by around 17% from 2H15 and has subsequently fallen to €96m per week in 2017 year to date, reflecting the lack of supply and replacement risk.

    JPMorgan international ABS analysts point to peaks and troughs in secondary market activity .......

    News 9 March 2017

  • Euro secondary simmers

    The European securitisation secondary market is still simmering without yet fully coming to the boil.

    Volumes have picked up a little this week as expected, but have not yet really taken off. Instead, familiar patterns are being maintained across the board - flows remain patchy and BWICs sporadic.

    At the same time, demand continues to outstrip supply amid strong market .......

    SCIWire 9 March 2017

  • Securitisation revival required

    The European securitisation market needs to be revitalised imminently to drive the continued recovery and future growth of the region, according to Validis Dombrovskis, vp of the European Commission. While Basel 4 could help, several barriers remain in place that limit European issuance of - and investment in - securitised products.

    During a recent speech to the European Parliament's Committee .......

    News 7 March 2017

  • Westlake ABS marks 'significant' shift

    Westlake is in the market with its latest ABS, Westlake Automobile Receivables Trust 2017-1 (see SCI's pipeline). While the auto finance firm has previously issued a dozen other deals, its latest transaction differs from its previous ABS in significant ways, says S&P.

    Westlake Automobile Receivables Trust 2017-1 is provisionally sized at US$600m. The US$167m A1 notes have a .......

    News 7 March 2017

  • Euro secondary supply spikes

    This week is scheduled to see a spike in the volume of paper in for the bid across the European securitisation secondary market.

    Last week was once again very quiet, exacerbated by the Vegas conference and month-end, and yesterday's session was similarly slow. However, flows could be kick-started by the growing BWIC schedule for this week headlined by a very .......

    SCIWire 7 March 2017

  • Aussie card ABS prepped

    Latitude Finance Australia is in the market with a rare Australian credit card ABS. Dubbed Latitude Australia Credit Card Loan Note Trust - Series 2017-1, the transaction is backed by a A$3.76bn pool of MasterCard, Visa and sales finance card receivables originated under retail partnership agreements.

    S&P has assigned the class A1 notes a provisional triple-A rating. These notes are .......

    News 6 March 2017

  • Marketplace ABS disparate but stronger

    Investor confidence in marketplace lending appears to have rebounded after a drop-off in 1H16, but the sector remains too fragmented to make broad conclusions about whether it has stabilised. The disparity between consumer and student loans originated online and the demise of the original peer-to-peer lending model make it difficult to gauge securitisation performance across the sector.

    Indicators of a .......

    News Analysis 6 March 2017

  • Risk transfer round-up - 3 March

    Intesa Sanpaolo Group has completed a €2.5bn synthetic SME securitisation through its GARC SPV, marking the programme's fifth issuance. The transaction was arranged by Banca IMI.

    Sources expect more Italian issuers to tap the risk transfer market over the next nine months. They indicate that the market is likely to be dominated by "the usual suspects", including Intesa Sanpaolo and .......

    News 3 March 2017

  • German shipping loss provisions on the rise

    Loss provisions against non-performing shipping loans by German banks are on the rise, due to the slowdown in the shipping industry. At the same time, a number of large German lenders are seeking to reduce their exposure to the sector.

    Commerzbank and Deutsche Bank last month announced increased loan loss provisions for shipping to €900m and €346m respectively in 2016 .......

    News 2 March 2017

  • Proposed retention metric assessed

    Risk retention regulations in Europe and the US are severely flawed with respect to their key intention of imposing a strict loss retention requirement, argues a Sustainable Architecture for Finance in Europe (SAFE) white paper published last month. A new risk retention metric (RM) measuring an issuer's level of retention relative to the expected loss of a given securitisation is .......

    News 1 March 2017

  • Carige NPL strategy unveiled

    The Banca Carige board of directors yesterday unanimously approved an updated strategic plan, under which the bank is targeting an ROE of 7.4% and CET1 ratio of 14.1% by 2020. A critical part of the plan is to reduce the share of non-performing loans on its books to 13.1%, in line with the ECB's target, which the bank hopes to .......

    News 1 March 2017

  • Court makes Madden usury ruling

    Midland Funding violated New York usury laws by charging interest rates of over 25% to borrowers, the US District Court for the Southern District of New York ruled this week. The decision brings a measure of resolution to the long-running Madden vs Midland case (SCI passim).

    The Second Circuit ruled in May 2015 that a non-bank assignee of loans originated .......

    News 1 March 2017

  • Blockchain applications explored

    The Chamber of Digital Commerce and SFIG have formed a strategic partnership focused on advancing the use of blockchain technology in securitisation markets. The two associations will collaborate on research and educational efforts, beginning with a white paper that examines how blockchain can play a role at each stage of the securitisation lifecycle.

    Prepared by Deloitte and entitled 'Applying blockchain .......

    News 28 February 2017

  • Trading expansion underlines optimism

    INTL FCStone's broker-dealer rates group has expanded its trading remit into US agency CMBS and a wider spectrum of ABS, following the formation of a new securitised products group. Alongside its existing involvement in other securitised mortgage products, the move signals the firm's optimism about the value structured products will bring in 2017 and beyond.

    Rob Laforte, senior md, head .......

    News 28 February 2017

  • Leverage signals maturing CRT market

    The increasing availability of leverage suggests that the risk transfer market is maturing. However, while financing can be applied in a number of ways, the extensive due diligence required means that participation in capital relief trades remains limited to sophisticated investors.

    The availability of financing is a "sign that capital relief trades are developing into a more mature asset class," .......

    News Analysis 27 February 2017

  • German NPL sales to accelerate

    Germany's positive economic outlook and the loans' relatively low cost of capital have historically meant that German banks are under less pressure to dispose of non-core assets in any significant volume. However, the introduction of IFRS 9 is expected to accelerate NPL sales in the country (and other European jurisdictions) over the coming 12-24 months.

    Although consumer lending and default .......

    News Analysis 27 February 2017

  • Rare consumer ABS readied

    A rare UK consumer loan ABS has hit the market. Creation Consumer Finance's £535.69m LaSer ABS 2017 is backed by 470,321 unsecured personal and point of sale (POS) loans extended to individual borrowers in England and Wales.

    The transaction is the first public securitisation from the originator, which is ultimately owned by BNP Paribas Personal Finance. JPMorgan international securitisation analysts .......

    News 27 February 2017

  • Risk transfer round-up - 24 February

    Several risk transfer securitisations are understood to have entered the pipeline this past week.

    According to sources, Lloyds is working on a capital relief trade referencing commercial real estate assets, which is said to be "similar" to Barclays' Griffon deal from last year. Meanwhile, Barclays is rumoured to be prepping a transaction referencing corporate loans that will reportedly be priced .......

    News 24 February 2017

  • FFELP rating actions revealed

    Fitch has disclosed the rating actions resulting from the update to its US FFELP student loan ABS criteria (SCI 27 July 2016). The most significant change to the criteria was the introduction of new stresses aimed at analysing the vulnerability of transactions to maturity risk.

    Of the 813 tranches from 264 transactions reviewed, Fitch has upgraded 42, downgraded 105 and .......

    News 24 February 2017

  • Investment differentiation

    SCI's profile questions are answered by Triphonas Kyriakis, md for analytics at MSCI; Raghu Suryanarayanan, executive director of MSCI's risk research group; and Thomas Ta, who directs the company's development of risk management analytics.

    Q: How and when did MSCI's analytics business become involved in the securitisation market?
    TT:     MSCI has been helping investors analyse securitised products for over a decade, .......

    Provider Profile 24 February 2017

  • Warm investor response for debut turboprop ABS

    Elix Capital has closed its debut securitisation of turpoprop aircraft at a time when investors are craving such assets to diversify their investment strategies. Dubbed Prop 2017-1, the US$411m deal is the first-ever aviation ABS backed entirely by turboprop airplanes.

    One source notes that structurally the transaction was "fairly straightforward", but that there were challenges involved in educating the investor .......

    News Analysis 23 February 2017
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