ABS

  • New lows for prime chargeoffs

    US prime credit card ABS chargeoffs reached a new low of 2.33% in December, says Fitch. Retail credit card metrics were mixed.

    The rating agency's prime credit card chargeoff index is now 10bp below its previous low record of 2.43%, which was reached in October 2016. It is 10% lower year-over-year and nearly 80% lower than the high reached in September .......

    News Round-up 4 January 2017

  • Law firm nabs SF vet

    Norton Rose Fulbright has hired Patrick Dolan as a partner to the firm, joining from Dechert. He focuses his practice on ABS and MBS - often with innovative structures - representing warehouse lenders, issuers, underwriters, investors and multi-seller commercial paper conduits. Dolan has worked on financings and securitisations of various asset types, including PACE bonds, tax liens, structured settlements, marketplace .......

    Job Swaps 4 January 2017

  • 'Basel 4' meeting postponed

    A meeting of the Basel Committee group of central bank governors and heads of supervision (GHOS), originally planned for early January, has been postponed. The Committee says that more time is needed to finalise the Basel 3 framework's final calibration, before the GHOS can review the package of proposals, although it expects to complete this work "in the near future".

    News Round-up 4 January 2017

  • Cash versus synthetic weighed

    Balance sheet securitisations - whereby balance sheet relief is achieved via true sale - are gaining traction in Europe (SCI 25 August 2016). The different motivations for executing a cash versus a synthetic capital relief trade were discussed recently at SCI's Capital Relief Trades Seminar.

    "Generally, we've come to see balance sheet securitisations get far more relevant and important recently," .......

    News 4 January 2017

  • Slew of risk transfer trades close

    A handful of capital relief trades closed in late December, including an unusual deal referencing a portfolio of auto loans. While this transaction was unfunded, the other deals involved the issuance of credit-linked notes.

    The auto transaction, known as Project Phaeton, references a £571m five-year replenishing portfolio of loans to private retail and commercial customers for the finance and lease .......

    News 3 January 2017

  • 'Transparency over risk retention' advised

    Securitisation of European SME loans would not necessarily lead to lower credit standards, according to the BIS. In a recent paper, analysts at the bank also suggest that while risk retention rules might be necessary for larger transactions due to the presence of moral hazard, such retention rules aren't necessary for smaller firms.

    The research from BIS explores the presence .......

    News Round-up 3 January 2017

  • Spanish SRT deal completed

    Banco Santander has closed its first Spanish unsecured consumer loan significant risk transfer securitisation of 2016. The €1bn 15-year revolving FT Santander Consumo 2 deal comprises six classes of notes.

    According to Steve Gandy, md at Santander Global Corporate Banking, the structure is a cash securitisation that "allowed us to reduce RWAs assigned to the loans by selling the bottom .......

    News 23 December 2016

  • SLABS downgrades trump upgrades

    Moody's has this month concluded its review of transactions potentially affected by changes to its FFELP ABS methodology, published in the summer (SCI 15 June). Of the 504 tranches in 194 transactions that the agency took rating action on, there were 262 downgrades, 133 confirmations and 109 upgrades.

    The average downgrade magnitude was 5.2 notches and the average upgrade magnitude .......

    News Round-up 23 December 2016

  • RFC issued on FX risk

    S&P has requested comments on its methodology and assumptions for FX risk in structured finance transactions. The proposed FX risk criteria provide rating-specific asset depreciation stress assumptions for the behaviour of FX rates in global structured finance transactions with unhedged or partially hedged currency exposures.

    FX risk in securitisations arises when the asset cashflows and liabilities are denominated in different .......

    News Round-up 23 December 2016

  • Fleet ABS reviewed on criteria change

    Moody's has published its updated methodology for rating rental car and rental truck ABS, following an RFC on the approach (SCI 13 July). The agency has updated how it analyses certain risk factors - such as the sponsor probability of default, fleet composition, disposal value calculation, correlation and default risk horizon - while leaving the general framework unchanged. The revised .......

    News Round-up 23 December 2016

  • Property prospects

    Hiring remains flat, but CMBS up-tick possible

    CMBS could provide a hiring boost in the US in 2017, while structured finance recruitment is likely to remain mostly flat globally. In the UK, senior hires are few and far between, but banks are still recruiting junior executives to develop smaller structuring teams.

    Chadrin Dean, president and managing partner for Sandford Rose Associates,
    Integrated Management, says that over the last .......

    News Analysis 23 December 2016

  • Punch acquisition agreed

    Heineken UK has agreed a back-to-back deal with Patron Capital vehicle Vine Acquisitions to acquire Punch Securitisation A, which is secured by approximately 1,900 pubs across the UK. The move follows Vine Acquisitions' recommended cash offer of 180p per share for Punch Taverns, which operates over 3,000 pubs, valuing the company at £403m.

    Heineken UK will pay an aggregate consideration .......

    News Round-up 22 December 2016

  • EIF in UK CRT first

    The EIF has signed a securitisation guarantee deal with RBS, providing capital relief on a £432m portfolio of UK SME and mid-cap loans in the healthcare sector. It is the EIF's ninth capital relief trade since 2015 but its first in the UK.

    EIF's guarantee allows RBS to release capital on a portfolio of over 1,900 loans. The freed-up capital .......

    News Round-up 22 December 2016

  • ED appoints new ceo

    The European DataWarehouse (ED) has appointed Christian Thun as ceo, effective from 1 January 2017. He joined ED a year ago as coo (SCI 4 January) and has been responsible for leading data management, customer account management and research.

    Prior to joining ED, Thun spent 14 years at Moody's Analytics. He has also worked for Baetge & Partner and for .......

    Job Swaps 21 December 2016

  • Upwardly mobile

    Debut mobile ABS could be first of many

    The first UK mobile handset securitisation closed in November, signalling the beginning of a burgeoning mobile ABS sector in Europe. The £125m private deal was backed by consumer loans for the purchase of Virgin mobile handsets and arranged by Royal Bank of Canada, which worked with Virgin Mobile's owner, Liberty Global, to open up a much-desired asset class to a .......

    News Analysis 21 December 2016

  • State rescue?

    Nationalisation could delay BMPS securitisation

    The Italian parliament has approved €20bn to prop up the country's most fragile banks while it readies a possible state rescue of Banca Monte dei Paschi di Siena (BMPS), its third largest lender. The parliamentary approval follows scepticism expressed by Atlante II over the terms of a bridge loan that is key to BMPS' planned €9.2bn NPL securitisation.

    The senior .......

    News Analysis 21 December 2016

  • Further FFELP ABS extended

    Navient has amended the transaction agreements for US$170m of ABS bonds backed by FFELP student loans. The amendments extended the legal final maturity date on the B tranches of SLC Student Loan Trust 2005-3, SLC Student Loan Trust 2006-1 and SLM Student Loan Trust 2005-8 to 2055, as well as the B tranche of SLM Student Loan Trust 2006-7 to .......

    News Round-up 21 December 2016

  • MPL ABS 'compares well' in 2016

    Despite significant turbulence earlier in the year, marketplace lending ABS has maintained steady growth and better or similar performance than other areas of the consumer loan ABS sector, according to JPMorgan ABS analysts. They add that the marketplace lending ABS sector has also been one of the fastest growing in ABS, starting with US$3.3bn in 2013 from three programmes to .......

    News 20 December 2016

  • Lower credit MPL deal prepped

    SoFi is readying its thirteenth rated student loan securitisation, which is expected to be sold in a privately negotiated transaction. The US$130.66m ABS, dubbed SoFi Professional Loan Program 2016-F, is backed by refinanced student loans originated through its online platform and is unusual in that a substantial proportion of the loans have lower credit scores than its previous transactions.

    Moody's .......

    News Round-up 19 December 2016

  • Insurance merger agreed

    Fairfax Financial Holdings and Allied World Assurance Company Holdings have entered into a merger agreement, pursuant to which Fairfax will acquire all of the outstanding registered ordinary shares of Allied World. Based on Friday's closing stock price for Fairfax of C$614.45, Allied World shareholders will receive a combination of Fairfax subordinate voting shares and cash equal to US$54 per Allied .......

    Job Swaps 19 December 2016

  • Proving compliance

    Demonstrating significant risk transfer discussed

    How to demonstrate significant risk transfer (SRT) was a hot topic at SCI's Capital Relief Trades Seminar last month. Panellists discussed the importance of having robust governance and risk management processes in place, as well as what to avoid when preparing to execute a capital relief transaction.

    Articles 243 and 244 - which correspond to traditional (cash) and synthetic securitisations .......

    Talking Point 19 December 2016
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