ABS

  • 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

  • ABCP performance to remain strong

    European ABCP conduit performance is expected to remain strong next year, reflecting the sound credit quality of the vehicles' sponsors and liquidity providers, Moody's says. Meanwhile, Fitch expects demand for US ABCP issuance to continue to be stable, despite regulatory changes related to money fund reforms and risk retention.

    "In 2016, the last partially supported European conduit was converted to .......

    News Round-up 16 December 2016

  • Learning by doing

    Issuers weigh capital relief opportunities and challenges

    Capital relief trades, also called risk sharing trades, can provide issuing banks with several advantages. However, the transactions are not always well understood by the wider market and even those banks that are involved are learning lessons with each passing deal.

    Nordea Bank dipped its toe into the capital relief trade space earlier this year, making a splash with its .......

    News Analysis 16 December 2016

  • 'Mixed effects' from rate hikes

    The US Federal Reserve has raised interest rates from 0.25% to a range of 0.50%-0.75%, which will have varied implications for structured finance, according to Moody's. The rating agency adds that it expects the Fed to raise rates three more times in 2017 to 1.25%-1.50% year-end.

    Moody's comments that US consumers are generally "well-positioned to cope with rising debt expenses .......

    News Round-up 15 December 2016

  • ABSPP external managers cut

    The ECB's governing council has decided that the ABSPP should now be fully implemented by national central banks, rather than relying on the support of external managers. This is a change which was planned when the programme was first launched.

    As of 1 April 2017, Nationale Bank van België/Banque Nationale de Belgique, Deutsche Bundesbank, Banco de España, Banque de France, .......

    News Round-up 15 December 2016

  • CNL expectations recalibrated

    Moody's has taken rating actions on four TCF Auto Receivables Owner Trust transactions issued in 2014 through 2016, affecting approximately US$944m of ABS bonds. The move reflects a change in the calculation of net loss from that used in previous ratings for the transactions.

    Specifically, the agency has upgraded one security, downgraded two securities and affirmed the ratings of 17 .......

    News Round-up 15 December 2016

  • NPL ABS volumes gauged

    Current global non-performing loan assets could translate to potential securitisation volumes of US$270bn-US$900bn, assuming a 15%-50% discount to the par value, according to S&P estimates. However, given that new NPLs may only arise as institutions raise capital to absorb losses, the figure could be much larger.

    NPL securitisations have historically involved mortgage assets. However, with the recent commodities bust and .......

    News 15 December 2016

  • Euro issuance drops

    €40.2bn of securitised product was issued in Europe in 3Q16, according to AFME's latest securitisation data report. This represents a decline of 46.5% from 2Q16 (€75bn) and a decline of 30.3% from 3Q15 (€57.6bn).

    Of the €40.2bn issued, €16bn was placed (representing 39.8% of issuance), compared to €29.3bn placed in 2Q16 (representing 39.1%) and €18.6bn placed in 3Q15 (representing 32.3%). .......

    News Round-up 15 December 2016

  • Euro secondary unmoved

    The Fed's announcement yesterday appears to have had little effect so far as the European securitisation secondary market resolutely sticks to recent patterns.

    There continue to be pockets of activity across the ABS/MBS secondary market. Tone generally remains positive and spreads unchanged with the exception of Portuguese paper, which continues to edge wider.

    However, CLOs are busier in comparison with .......

    SCIWire 15 December 2016

  • Second Salisbury prices wider

    Lloyds has closed a capital relief trade referencing a £2.1bn granular portfolio of UK SME loans. The 10-year Salisbury II Securities 2016 deal pays Libor plus 12%, above the plus 10.25% print of the lender's previous Salisbury Securities 2015 transaction.

    The £789.4m 2015 deal was also a granular synthetic SME securitisation. The 2016 deal, however, is more diversified, with 40% .......

    News 14 December 2016

  • Climate recommendations welcomed

    Recommendations for improved quantitative and qualitative climate-related disclosures could increase the importance of climate-related risks and opportunities for corporations and investors alike, says S&P. Climate-related financial disclosures should help investors assess risk and improve allocation of capital.

    The recommendations are the result of a year's work by the Task Force on Climate-Related Financial Disclosures (TCFD). The task force was created .......

    News Round-up 14 December 2016

  • ILS firm makes exec changes

    ReannaisanceRe has promoted Sean Brosnan to svp, cio, while Aditya Dutt, president, will take on the additional role of treasurer. Todd Fonner, cio and treasurer, is to leave the company.

    Brosnan has been with RenaissanceRe since 2004 and was most recently md for investments of Renaissance Services of Europe and ceo for Renaissance Reinsurance of Europe. Prior to this, he was head .......

    Job Swaps 14 December 2016

  • LatAm markets 'will rebound'

    Donald Trump's election victory has implications far beyond the US, not least in Mexico, where potential US policy changes will weigh on economic growth. Mexican RMBS should remain steady, however, while Moody's believes Argentina and Brazil are set to return to growth in 2017, helping to support the credit quality of assets backing securitisations in those countries.

    The Mexican RMBS .......

    News Round-up 14 December 2016

  • Esoteric ABS forecast issued

    Continued slow economic growth should have a positive effect on US commercial and esoteric ABS sectors in 2017, including railcar lease, fleet lease and mobile phone financing securitisations, says Moody's. Modest global economic growth will also help aircraft securitisations and perhaps even restaurant whole business securitisations, although anaemic growth in global trade will be a negative for container lease ABS.

    News Round-up 14 December 2016

  • Mammoth NPL ABS planned

    UniCredit has unveiled plans to divest €17.7bn of NPLs, as part of an effort to deleverage its non-core portfolio. Dubbed Project Fino, the strategy involves transferring two portfolios of NPLs to SPVs in which the bank will retain a minority position.

    Fortress and PIMCO will each manage an entity and take a majority position, which is initially expected to be .......

    News Round-up 14 December 2016

  • FFELP SLABS trends to continue

    The slow repayment rates of FFELP student loan ABS loans will continue in 2017, says Moody's. Additionally, more servicers are expected to exit the market.

    The continued slow repayment rate will be driven primarily by the large number of FFELP borrowers enrolled in repayment plans that push loan payoff dates further into the future. Credit performance should improve as borrowers .......

    News Round-up 13 December 2016

  • Euro appreciation 'SME negative'

    Appreciation of the euro against the pound is slightly credit negative for Italian, Spanish and Belgian SME ABS, says Moody's. The pound lost 15% against the euro between September 2015 and September 2016 and is expected to remain weak next year.

    Companies that rely on exports to the UK, or on UK tourists, will suffer as a result of the .......

    News Round-up 13 December 2016

  • TSM simplifies management structure

    Tsuyoshi Harigai has become sole ceo at Tokio Solution Management, following the departure of Susan Lane. The pair were announced as co-ceos last year, taking up those positions in January (SCI 13 November 2015).

    Lane has now left the company, which has taken the opportunity to simplify its management structure. Harigai has been part of the Tokio Marine Group since .......

    Job Swaps 13 December 2016

  • SME commitment confirmed

    KfW plans to commit €1.3bn to SME securitisation in 2017, including up to €500m for transactions in European countries outside of Germany. The bank has so far this year invested €800m in European SME securitisation, around half of which was in German transactions. Another deal is currently being prepared, which will push total volume to the target level of €1bn .......

    News Round-up 13 December 2016

  • Euro ABS/MBS ticks over

    The European ABS/MBS secondary market continues to tick over.

    As with the previous week it's been a solid if unspectacular start to this. BWICs continue to drive the action and trade well. For now, sentiment remains positive, albeit with some softening of tone in weaker peripherals, especially Portuguese names.

    There are currently three BWICs on the European ABS/MBS schedule for .......

    SCIWire 13 December 2016

  • Asset manager inks takeover

    Amundi has acquired Pioneer Investments from UniCredit for €3.6bn. As part of the deal, Amundi will forge a long-term, 10-year partnership with UniCredit for the distribution of asset management products.

    Pioneer has €222bn in AUM and has a long track record and expertise in asset management, with a similar profile to Amundi in terms of management expertise and geographic presence. .......

    Job Swaps 12 December 2016
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