ABS

  • RFC issued on SF approach

    Scope has issued a request for comment on proposed updates to its structured finance rating methodology, emphasising fundamental analysis of underlying assets in a European context and forward-looking views on economic cycles. The proposals also include no sovereign rating cap and a post-crisis counterparty risk approach.

    Scope generally uses a fundamental bottom-up analysis to capture the rating impact of different .......

    News Round-up 17 July 2015

  • FFELP repacks put forward

    The FFELP student loan ABS sector could yet fend off downgrades if refinancing solutions come forward, according to Citi consumer ABS analysts. Some novel ideas are already surfacing that expand the possible fixes beyond bondholder extensions or trust cash injections.

    Rating agencies Moody's and Fitch have collectively placed over 160 FFELP student loan ABS tranches on review for downgrade (SCI .......

    News 17 July 2015

  • Euro secondary stabilises

    The European securitisation secondary market continues to stabilise.

    Yesterday was another solid day with spreads holding form to edging tighter across the board. Buying interest off- and on-BWIC continues to increase, while auction activity is also growing.

    Yesterday's lists saw mixed results with most line items going through at or around talk, but a handful of mezz autos failed to .......

    SCIWire 17 July 2015

  • Maples forms Dutch footprint

    Maples Fiduciary, a division of MaplesFS, has opened a full-service office in Amsterdam. MaplesFS svp Jan Hendrik Siemssen will lead the Netherlands office. His experience includes a number of roles within Dutch trust companies, where he had responsibility for covering various operations and divisions that covered structured finance, securities lending, risk management and corporate trust.

    .......

    Job Swaps 16 July 2015

  • European head appointed

    Willis Group has appointed Brian Shea as head of Europe for Willis Capital Markets & Advisory. He will officially join in August and report to WCMA co-ceos Rafal Walkiewicz and Michael Guo. The pair also only recently joined the firm in their current roles (SCI 16 April).

    Shea joins WCMA from SCOR, where he was chief corporate strategy officer, reporting .......

    Job Swaps 16 July 2015

  • Santander names new chair

    Blythe Masters has been appointed non-executive chairman of the board for Santander Consumer USA (SCUSA). Currently ceo of the recent crypto start-up Digital Asset Holdings (SCI 12 March), she succeeds Stephen Ferriss, who remains on the SCUSA board.

    Prior to leading Digital Asset Holdings, Masters held senior executive roles at JPMorgan, serving most recently as head of its global commodities business. .......

    Job Swaps 16 July 2015

  • Euro ABS/MBS continues to pick up

    The European ABS/MBS secondary market is continuing to pick up.

    "Tone continues to improve now we've finally got some stability and clarity in broader markets," says one trader. "However, while there is more activity we're not seeing lots of volume, though that could also be to do with the time of year and people heading off on vacation."

    Peripherals in .......

    SCIWire 16 July 2015

  • Credit card charge-offs projected

    Revolving US credit card debt stood at US$901bn outstanding at the end of May, reports S&P. The agency has developed a regression equation to project future US securitised credit card charge-offs under a variety of economic scenarios and relative to a number of variables, such as the unemployment rate and revolving credit growth.

    "Our base-case projection, which calibrates the regression variables to .......

    News Round-up 15 July 2015

  • APAC ratings stay solid

    Fitch says it affirmed a total of 111 Asia-Pacific structured finance tranches in 2Q15. During the quarter, 10 Australian tranches, one Japanese tranche and one Chinese tranche were upgraded, while one ABCP conduit from Australia was downgraded.

    The agency claims that rating actions in Australia continued to be supported by a strong economy, with most ratings affirmed in the quarter. .......

    News Round-up 15 July 2015

  • FFELP payment scenarios tested

    Moody's has provided illustrative examples of how slow pay-down rates could affect the pay-off dates of ABS backed by FFELP non-consolidation student loans. This follows the agency's recent request for comment (SCI 10 July) on proposed changes to the cashflow assumptions it uses to rate FFELP securitisations.

    For its analysis, Moody's assumed that 'Securitisation 1' had a lower voluntary prepayment rate .......

    News Round-up 15 July 2015

  • Italian SME arrears to drop

    The stronger credit quality of Italian companies will accompany lower arrears in deals that securitise SME loans, according to Moody's. However, the agency believes that regional inequality will persist, with northern Italy outpacing the rest of the country due to the better credit quality in the area.

    "The crisis hit small Italian companies hard, but the north was comparatively more .......

    News Round-up 15 July 2015

  • Euro secondary improves

    After a long period in the doldrums things look to be improving for the European securitisation secondary market.

    "Overall tone was much better yesterday," says one trader. "Notably, we saw good activity in both UK and Dutch prime, so there's more liquidity there and prices are marginally better."

    The trader continues: "Peripherals too are improving with sentiment generally much better, .......

    SCIWire 15 July 2015

  • Volatility to benefit auto ABS

    Auto ABS should benefit if overall conditions remain volatile in the broader securitisation markets, says Bank of America Merrill Lynch analysts. As markets recover, spreads likely will remain unchanged with higher yielding opportunities presenting themselves in other markets.

    The spread for three-year, triple-A rated prime auto loan ABS widened in 2Q15 and into the current quarter by 11bp since the end .......

    News Round-up 14 July 2015

  • FFELP doubts, opportunities arise

    Despite a number of recent headwinds, bondholders in the FFELP ABS sector should ride out the current waves, JPMorgan analysts suggest. However, the very real possibility of money-good bonds backed by US government guaranteed collateral falling off the rating precipice from triple-A down to non-investment grade means the situation could worsen in the short term.

    With the current state of the .......

    News Round-up 14 July 2015

  • Solar uncertainties lingering

    S&P says that the limited operational history of the solar sector is currently capping its ratings for solar ABS transactions at a ceiling of triple-B. The agency has so far rated three solar securitisations in this rating category, but says there are other contributing factors that market participants have flagged up.

    S&P explains that the operational history of the solar sector, or .......

    News Round-up 13 July 2015

  • Chinese expansion predicted

    The Chinese auto ABS and RMBS markets have high potential for growth over the medium term and should expand on the success of CLOs in China, says Moody's. This is due to high demand for auto loans and mortgages in the country on the back of higher consumption and rapid growth in the housing sector.

    The result has left auto .......

    News Round-up 13 July 2015

  • RFC threatens FFELP downgrades

    Moody's is seeking comments on proposed changes to the cashflow assumptions that it uses in its approach to rating US FFELP student loan ABS securitisations. The agency proposes to adjust its current assumptions regarding defaults, voluntary prepayments, deferment and forbearance, and to introduce a new assumption to address the income-based repayment programme.

    "Low prepayment rates, persistently high rates of deferment .......

    News Round-up 10 July 2015

  • Further ABSPP purchases detailed

    The ECB this week  provided an updated breakdown of its ABSPP holdings. As of the end of last month, the Eurosystem held €8.8bn in securities purchased under the programme - with €6.6bn purchased in secondary and €2.2bn from the eurozone primary market.

    The ECB previously provided an ABSPP breakdown for April at the start of June (SCI 2 June), so these .......

    News 10 July 2015

  • Tobacco upgrades, downgrades made

    Moody's has upgraded 14 tranches in eight tobacco settlement revenue securitisations and downgraded 12 tranches in five transactions. The bonds are backed by payments of major tobacco companies to the issuer states pursuant to the 1998 Master Settlement Agreement between certain domestic tobacco manufacturers, 46 states and certain US territories.

    Moody's says that the upgraded tranches are either fully supported .......

    News Round-up 7 July 2015

  • Chinese auto delinquencies edge up

    Delinquency rates for Chinese auto loan ABS increased in 1Q15 from the previous quarter, Moody's reports. The agency says the increase is due to the gradual economic slowdown in China and the rapid decline in the outstanding portfolio balance in the asset class, but delinquency levels still remain low.

    The 30-day plus delinquency rate of Chinese auto loan ABS issued .......

    News Round-up 7 July 2015

  • Blade sale affirmed

    The proposed sale of one aircraft engine from the Blade Engine Securitization transaction is unlikely to impact the ratings on the ABS, says Fitch. The issuer intends to sell a CF6-80C2A5 out of the trust to a third party.

    The proposed sale price of the engine is below the note target price, as defined by the transaction documents. But Fitch .......

    News Round-up 3 July 2015
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