ABS

  • RRL disclosures adopted

    Fitch is set to adopt disclosures highlighting rating agency removal language (RRL) in its rating communications for new covered bond (CVB) programmes and structured finance (SF) transactions, following a recent request for market feedback (SCI 14 April). The disclosures will show where RRL is present and what its implications could be for contractual obligations, credit protection and ratings, if exercised.

    News Round-up 26 June 2015

  • QS framework unveiled

    The EBA presents its recommendations on an EU framework for qualifying securitisations at a public hearing at its offices today. The European Commission last year requested the EBA's advice on criteria for identifying a prudentially sound securitisation market and its regulatory treatment. The EBA will deliver the opinion to the Commission early next month and today's hearing is intended to .......

    News Round-up 26 June 2015

  • Euro secondary stalemate

    The European securitisation secondary markets remain in stalemate as uncertainty over Greece and a consequent risk-off attitude pervades.

    Secondary spreads remained unchanged yesterday on the back of very limited liquidity and only some isolated small pockets of flow trading. Equally, the flurry of BWICs yesterday saw covers lower than earlier in the month for similar assets and a significant number .......

    SCIWire 26 June 2015

  • Valuations team beefs up

    MountainView IPS has added Alvin Hsu in a vp role and Alex Kolesnikoff in a senior analyst role. The two hires fill vacant positions while addressing a strategic plan to enhance the company's valuation processes and expand into new asset classes.

    Hsu joins MountainView IPS with over 10 years of experience in structured products and credit markets. He previously spent .......

    Job Swaps 25 June 2015

  • ILS upgraded on final reset

    S&P has raised its rating on the US$250m Everglades Re Series 2013-1 notes to single-B plus from single-B. The action follows the final reset for the catastrophe bond.

    When S&P initially rated the notes, the baseline probability of attachment was 2.91% and the warm surface sea temperature (WSST) probability of attachment was 3.29%. At each reset, the baseline probability of .......

    News Round-up 25 June 2015

  • Euro ABS/MBS illiquid again

    The European ABS/MBS secondary market is once again hampered by illiquidity.

    "Flows are once again very poor," says one trader. "The bounce we saw on Tuesday, particularly in Portuguese and Spanish names, was short lived and we've been pretty flat to weaker since then."

    The trader expects little to change in the near future. "With the continued volatility surrounding Greece .......

    SCIWire 25 June 2015

  • Rates impact 'largely credit neutral'

    Moody's expects rising short-term interest rates in the US to have varied credit effects on new and existing mortgage-backed, asset-backed and other securitisations. The agency suggests that rising rates will be credit negative for CMBS and largely credit neutral for most consumer and commercial ABS sectors, RMBS and CLOs.

    For newly originated loans backing CMBS deals, rising interest rates are .......

    News Round-up 24 June 2015

  • Euro ABS/MBS firms up

    The European ABS/MBS secondary market is showing a firmer tone, but is not yet fully back up to speed.

    "Yesterday was very busy especially in peripherals with Spanish and Portuguese names the big movers," says one trader. "Overall, market tone is much better than we've seen for a while."

    However, the trader adds: "I'm not reading too much into it .......

    SCIWire 24 June 2015

  • Opportunity knocks

    ECB presence expanding ABS investor mandates

    The ECB's ABSPP was a hot topic at IMN's 2015 Global ABS Conference, as it continues to exert downward pressure on European securitisation spreads. Panellists noted an expanding mandate among many investors, with relative value opportunities shifting towards the UK non-conforming RMBS and European CLO sectors.

    Jefferies md Craig Tipping pointed to a shift in investor mandate when he admitted .......

    News Analysis 24 June 2015

  • Chinese expansion completed

    Intex Solutions has opened an office in Shanghai, which the firm hopes will further enhance its ability to support its worldwide client base and enable it to proactively meet the demands of the emerging Chinese securitisation market. Yunwen Zeng has been appointed general manager of the new location.

    She comments: "The recent surge in government support and market interest has .......

    Job Swaps 23 June 2015

  • EXOR 'material risks' outlined

    PartnerRe has made available additional shareholder information relating to what it describes as the "significant walk-away, regulatory and timing risks" posed by EXOR's unsolicited and "opportunistic" bid for the firm. PartnerRe claims that EXOR has refused to address such material risks inherent in its offer.

    "In addition to a wholly inadequate price, the EXOR offer presents an unacceptable level of .......

    Job Swaps 23 June 2015

  • RFC on tobacco ABS approach

    Fitch has published an exposure draft with respect to its criteria for rating US tobacco settlement ABS. The agency expects about 64 notes to be downgraded due to the proposed changes.

    The main proposals include: the application of the most recent MSA payment received as the starting point on Fitch's cashflow model; and revising the rating floor to triple-C from .......

    News Round-up 23 June 2015

  • Business development team bolstered

    Leadenhall Capital Partners has appointed Edward Johnson to its business development team, reporting to business development head Lorenzo Volpi. Johnson was previously at Aon Benfield in London, where he advised on and structured catastrophe bonds, collateralised reinsurance and sidecars. Before that, he worked at Lane, Clark & Peacock and JPMorgan.

    .......

    Job Swaps 23 June 2015

  • Default rate hits post-crisis low

    The default rate for global structured finance securities rated by S&P fell for the third successive year to 4.2% in 2014, the lowest level since 2008. The downgrade rate also declined to an eight-year low of 10% in 2014, while the upgrade rate increased to 8.4%.

    "Overall global structured finance credit quality declined again in 2014, with the number of .......

    News Round-up 23 June 2015

  • SLABS review expanded

    Moody's has placed on review for downgrade the ratings of 106 tranches across 57 FFELP student loan ABS transactions. The move impacts approximately US$34bn of securities.

    The reviews for downgrade are a result of the increased risk that the tranches will not fully pay down by their respective final maturity dates. Failure to repay a note on the final maturity .......

    News Round-up 23 June 2015

  • Euro secondary turns positive

    The European securitisation secondary markets are taking a positive turn albeit at a statelier pace than broader markets.

    "Sentiment is a little bit better though our markets are slower to come back than others," says one trader. "Spreads haven't moved much this week so far, but are slightly tighter since Barcelona and there's definitely more liquidity around."

    Activity remains patchy, .......

    SCIWire 23 June 2015

  • Regulatory capital rules finalised

    The US Fed, the FDIC and the OCC have finalised revisions to the regulatory capital rules adopted in July 2013. The final rule applies only to large internationally active banking organisations that determine their regulatory capital ratios under the advanced approaches rule.

    The agencies published changes to the rules affecting such organisations on 18 December 2014 and the final rule .......

    News Round-up 22 June 2015

  • QS hearing scheduled

    The EBA is set to hold a public hearing on its draft report on qualifying securitisation on 26 June at its premises in Canary Wharf. The objective of the hearing is to gather views from all concerned stakeholders on its recommendations on the matter.

    The EBA draft report on qualifying securitisation will inform EU policymakers in their legislative process and .......

    News Round-up 22 June 2015

  • Opportunities fund prepped

    Deer Park Road is set to launch the SBF Opportunities Fund, a long/short fixed income fund focused on investing in a variety of MBS and ABS. Sam Barron-Fox will act as leading portfolio manager for the fund, while Deer Park Road ceo Michael Craig-Scheckman and cio Scott Burg will provide risk oversight.

    The fund is intended to complement the firm's .......

    News Round-up 22 June 2015

  • Euro ABS/MBS slow return

    The European ABS/MBS secondary market is slowly returning to life following the Barcelona conference.

    Friday was slow with only a few trades going through and a handful of line items on BWIC. Today's open sees most ABS/MBS participants seemingly content to sit on the sidelines awaiting news on the Greece-EU meetings despite the emerging more positive tone in broader markets.

    SCIWire 22 June 2015

  • STC clarification underway

    Plans are underway for European policymakers to homogenise the various European securitisation acronyms to the simple, transparent and comparable (STC) framework, according to the Bank of England's executive director of prudential policy David Rule. In the second keynote address at IMN's Global ABS conference on Wednesday, Rule outlined the plan to bring together a single set of criteria to European .......

    News 19 June 2015
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