ABS

  • EBA makes synthetic STS suggestion

    The EBA supports the limited extension of the prudential treatment granted to simple, transparent and standardised (STS) securitisations to banks that originate and retain certain SME balance sheet synthetic securitisation positions. The authority has published criteria to determine transaction eligibility.

    The EBA has examined the synthetic securitisation market and, based on its findings, supports the extension of STS capital requirements .......

    News Round-up 21 December 2015

  • FFELP watchlist grows

    Fitch has placed a further 238 tranches from 118 trusts of US FFELP student loan ABS on watch for potential downgrade, in addition to maintaining the status for 77 tranches. This leaves approximately US$37.5bn of outstanding FFELP ABS bonds now on rating watch negative.

    Fitch's latest action follows the heightened risk of the tranches missing legal final maturity dates. The agency has been joined by Moody's .......

    News Round-up 21 December 2015

  • Bibby details emerge

    Some additional details have materalised on Bibby Financial's recent securitisation of factoring and invoice receivables, which it issued in October (SCI 30 November). The transaction is the first rated private deal by a non-bank asset-based lender covering multiple legal jurisdictions.

    Advisor to the deal, Norton Rose Fulbright, says that the securitisation involves Bibby's existing £480m loan book of factoring and invoice finance receivables, .......

    News Round-up 18 December 2015

  • VW ABS performance updated

    Recent updates from Volkswagen and its subsidiary Volkswagen Financial Services (VWFS) on the impact of the emissions scandal support a number of assumptions that have been made by Fitch regarding EMEA ABS transactions. Initial performance data and measures taken by VWFS to mitigate counterparty risks also support the credit quality of these transactions.

    The November agreement between VW and the German .......

    News Round-up 18 December 2015

  • Italian regs boost ABS

    The Bank of Italy's regulatory framework enacted in 2015 for financial intermediaries carrying out servicing activities is credit positive for all Italian structured finance deals, says Moody's. Certain types of consumer ABS deals - Cessione del Quinto (CDQ) and Delegazione di Pagamento (DP) - will benefit the most.

    Moody's notes that organisational and risk-control requirements for servicers will become stricter .......

    News Round-up 18 December 2015

  • Mid-market lender launches

    Great Rock Capital Partners has launched a lending platform that will provide asset-based and asset-backed loans to middle market companies lacking financial support from traditional bank lenders. The platform, named simply Great Rock, will be backed by Two Sigma Private Investments.

    Stuart Armstrong has been appointed as Great Rock's ceo and cio. Most recently, he served as president of Great .......

    Job Swaps 18 December 2015

  • Rapporteurs assigned to securitisation files

    The European Committee on Economic and Monetary Affairs is expected to start work on two key securitisation files as soon as the European Parliament reconvenes after the Christmas break, following the recent appointment of rapporteurs and shadow rapporteurs for the documents. The PCS Secretariat reports that for the STS securitisation file, the rapporteurship has been assigned to the S&D group .......

    News Round-up 18 December 2015

  • Black whole

    Whole business securitisation treatment unclear

    The path to eligibility remains unclear for whole business bonds when it comes to the securitisation criteria under Solvency 2. This has stalled new issuance and prompted pricing instability.

    "The regulators' sentiment on securitisation has somewhat reversed course and it is clear that certain types of securitisation are now seen more favourably," says Conor Downey, partner at Paul Hastings. "However, .......

    News Analysis 18 December 2015

  • Euro secondary stalls

    Activity in the European securitisation secondary market has stalled.

    Year-end illiquidity was fully in evidence yesterday with an extremely slow day across the board and secondary spreads closed unchanged. Italian and Dutch paper did garner some interest, but saw negligible trading.

    There is currently one BWIC on today's European schedule - a single €1.9m line of QUADF 2011-1 A1 due .......

    SCIWire 18 December 2015

  • Bloomberg to buy BRAIS

    Bloomberg has agreed to acquire the Barclays Risk Analytics and Index Solutions (BRAIS) business from the bank for approximately £520m. This includes Barclays' indices on securitised products, covering US MBS and CMBS, pan-European floating and fixed rate ABS, and US and European covered bonds.

    The transaction includes the sale of intellectual property in relation to the POINT portfolio analytics tool. Barclays .......

    Job Swaps 17 December 2015

  • Counterparty rating actions inked

    S&P has taken various credit rating actions on 74 tranches in 33 European RMBS and ABS transactions. The move follows the downgrade of Barclays and Deutsche Bank, which are counterparties in the affected transactions (SCI passim).

    Specifically, S&P has: lowered and removed from credit watch negative its ratings on 65 tranches in 26 RMBS and two tranches in two ABS; .......

    News Round-up 17 December 2015

  • Euro secondary chugs along

    Despite wider credit market volatility the European securitisation secondary market is still maintaining its course.

    "We've kept going - there have been a few BWICs, but none of the volatility of broader markets," says one trader. "Flows have been light, but we're still chugging along."

    Overall, the trader adds: "Tone remains constructive and technicals are helping the market. We've got .......

    SCIWire 17 December 2015

  • Lloyd's planning insurance index

    Lloyd's has announced plans to launch its own insurance-based index, the Lloyd's Index, in the middle of 2016. The index aims to provide managing agents, brokers and other insurers with new options for the managing of risk and form the basis of index-related products that could attract the interest of wider capital markets participants.

    "I believe this proposal would be .......

    News Round-up 16 December 2015

  • Interest shortfall approach finalised

    S&P has finalised its new rating methodology for structured finance temporary interest shortfalls. The criteria include a sliding scale that limits ratings to certain level, depending primarily on the duration of the aggregate interest shortfall outstanding and expected.

    Another section of the methodology contemplates upgrades for reperforming bonds to as high as double-B plus after the reimbursement of all past .......

    News Round-up 16 December 2015

  • FFELP outlook weighed

    Moody's expects FFELP student loan ABS repayment rates to remain low in 2016. The combined percentage of FFELP loans in deferment, forbearance and income-based repayment (IBR) are anticipated to remain high, while voluntary prepayments should rise slightly. At the same time, further strengthening in the job market for young college graduates - combined with continued high IBR usage - will .......

    News Round-up 16 December 2015

  • Euro secondary split

    Activity and price direction in the European securitisation secondary market is currently split in two key sectors.

    "In common with broader credit, overall volumes are low and liquidity is very thin," says one trader. "It's a result of both the time of year and the volatility in global markets."

    However, within securitisation secondary it continues to be a story of .......

    SCIWire 16 December 2015

  • Trade receivables recommendations offered

    Demica has published a guide on trade receivables securitisation for corporate treasurers. The report covers four important areas to be assessed by anyone contemplating a securitisation, taking into account new players in the market.

    "With non-bank financiers entering the field, such as hedge funds and private equity houses, corporate treasurers can continue to benefit from important working capital advantages. However, .......

    News Round-up 15 December 2015

  • Market supports benchmark change

    A majority of US ABS and CMBS market participants would support switching the pricing benchmark from the swaps curve to US Treasuries, according to a JPMorgan survey. Of the respondents, 61% favour a switch, while 28% advocate sticking with swaps.

    The survey was fairly representative of the ABS investor base, with money managers accounting for 47% of respondents (compared to .......

    News 15 December 2015

  • Capital preservation sought

    Assenagon Asset Management has launched a new fund that aims to make active and flexible use of opportunities within a diverse investment universe to achieve attractive long-term returns. Dubbed Assenagon Multi Asset Wertsicherung (translated as capital preservation), the fund harnesses a smart approach to risk management that is designed to ensure the capital preservation level does not fall below 90% .......

    News 15 December 2015

  • Solar loan ABS debuts

    SolarCity is in the market with an inaugural securitisation backed by its MyPower loan product. The US$185m SolarCity FTE Series 1 Series 2015-A is secured by a pool of 11,583 solar loans used to install residential rooftop photovoltaic systems.

    The systems are geographically distributed across 13 states, with California, Colorado and Arizona constituting about 94.8% of the collateral. The original .......

    News Round-up 15 December 2015

  • Interactive Data deal done

    ICE has completed its US$5.2bn acquisition of Interactive Data from Silver Lake and Warburg Pincus. As proposed in its earlier announcement (SCI 27 October), ICE has paid through a combination of US$3.65bn in cash and 6.47 million ICE common stock shares.

    The shares were valued at US$1.55bn on 23 October, but have since risen to an approximate value of US$1.67bn .......

    Job Swaps 15 December 2015
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