ABS

  • Platform adds ratings data

    ClearStructure Financial Technology has made Fitch Solutions' full suite of global credit ratings data available to its clients via the Sentry PM portfolio management platform. The data includes structured finance ratings and will be available on the Sentry platform for asset managers, CLO managers, hedge funds and loan traders.

    .......

    News Round-up 11 March 2015

  • Negative interest rate impact examined

    The increasing prevalence of negative interest rates in Europe - due mainly to extraordinary monetary policy measures - is credit negative for EMEA securitisations, according to Moody's. Sub-zero interest rates introduce negative carry and can potentially reduce credit enhancement if a structure has not already catered for such a situation.

    Most European securitisations do not explicitly cater for sub-zero rates. .......

    News Round-up 11 March 2015

  • TD rating linkages analysed

    De-linking the credit profile of electricity tariff deficits (TD) securitisations from macroeconomic and regulatory risks is more difficult than for other assets like mortgages or consumer loans, says Fitch. The agency notes that the stronger influence of macroeconomic factors, utility system governance and regulatory risks explains why TD securitisations cannot achieve the maximum six notches above the relevant sovereign rating.

    News Round-up 11 March 2015

  • Solar programme commences

    SCIO Capital has acted as sole arranger and placement agent on the first of a planned series of solar transactions. SCIO Clean Energy 1 is backed by the future operating cashflows generated by a portfolio of solar installations in the UK. The transaction was structured as a pass-through bond with a fixed-rate coupon.

    .......

    News Round-up 11 March 2015

  • MMF restructuring impact eyed

    Federated recently became the second major fund sponsor after Fidelity to announce changes to its money market funds (MMF) to comply with the upcoming US money market reforms. Each of the firms offer a different compliance structure for the industry, but neither approach leaves much room for any ABS investments, according to JPMorgan ABS strategists.

    A-1 rated ABS tranches are .......

    News 11 March 2015

  • Dutch prime slows as CLOs pick up

    European secondary markets continue to see discrete activity with Dutch prime the latest area to see a slowdown as some European CLOs get a boost. Meanwhile, this week's heavy BWIC calendar continues to roll on.

    "The price guidance for the new STORM deal, which is wider than secondary, hasn't pushed spreads wider as some thought but it has put the .......

    SCIWire 11 March 2015

  • Rising tide

    Cat bond trading eyed ahead of hurricane season

    The ILS market benefitted from a relatively strong January, driven by customary early-year adjustments to investor portfolios. Secondary catastrophe bond activity is expected to receive a further boost this month from the burgeoning primary pipeline.

    One of the key portfolio adjustments that investors have been involved in is the rotation between catastrophe bonds and collateralised reinsurance. "There has certainly been .......

    News Analysis 11 March 2015

  • Focus returns to European ABS/MBS secondary

    After a quiet few days, the European ABS/MBS secondary markets could see a pick-up in activity today as focus shifts away from primary.

    "ABS continues to grind tighter although secondary volumes have been low," says one trader. "The focus has mainly been on primary in the last few days, but that could end up having some impact - talk on .......

    SCIWire 10 March 2015

  • Esoteric ABS firms combine

    Springleaf has agreed to acquire OneMain for US$4.25bn, creating a potential market leader for the unsecured consumer ABS sector. The transaction is expected to close in 3Q15.

    The two brands will be kept separate initially, before migrating to the OneMain brand in mid-2016. JPMorgan notes that both firms are active in the unsecured ABS market, as Springleaf issued US$559m of ABS .......

    Job Swaps 9 March 2015

  • TRACE expansion delayed

    FINRA has delayed the implementation of CUSIP-level TRACE dissemination for non-mortgage ABS trades until 1 June, from the originally planned start date of 27 April. Prices for trades in SEC-registered public securitisations and private 144a transactions will be disseminated.

    Assuming that CUSIP-level dissemination begins on 1 June, there will be an 180-day transition period, in which trade prices and sizes .......

    News Round-up 9 March 2015

  • Euro ABS/MBS unmoved

    The European ABS/MBS secondary market was broadly unmoved at today's open despite wider market declines late Friday and into this morning.

    The secondary market looks set to stay that was today with another very quiet day in prospect. Players' attention will undoubtedly be drawn toward broader credit markets thanks to the first day of QE as well as the ABS/MBS .......

    SCIWire 9 March 2015

  • Subprime auto ABS weakening

    US subprime auto loan ABS performance continues to weaken, according to S&P. However, the agency expects ratings to remain stable due to credit enhancement keeping pace to offset additional risk and outstanding securitisations benefitting from robust structural features.

    The 2014 yearly average net loss rate for the sector increased by 17.5% from the 2013 level, with delinquencies also continuing to .......

    News Round-up 6 March 2015

  • More of the same for European ABS/MBS

    Yesterday saw another positive but quiet day in the European ABS/MBS secondary market as broader credit was boosted by the ECB's QE announcement.

    Trading continued to be slow yesterday and into this morning, but remains strong in still patchy activity around the usual key areas of prime, UK non-conforming and selected peripheral paper. However, there was some softening in German .......

    SCIWire 6 March 2015

  • Stricter eligibility causes casualties

    The ECB has removed 11 Spanish bonds from its repo-eligible ABS bond list due to non-compliant payment waterfalls following enforcement or accelerated amortisation. Such a stringent interpretation could have far-reaching implications, according to European securitisation analysts at Barclays Capital.

    The Spanish bonds that have lost ECB repo-eligibility over the last month are: Bancaja 4, Bancaja 5, Bancaja 6, Bankinter 3, .......

    News 6 March 2015

  • Euro secondary ticks over

    European secondary markets are quiet, but activity is still ticking over.

    "Secondary is reasonably quiet, but we are getting stuff done particularly around peripherals and non-conforming plus a little in CLOs," says one trader. "There's not much on BWICs again today, though there are some RMAC equity residuals later in the day, which might be quite interesting."

    The drop-off in .......

    SCIWire 5 March 2015

  • Euro secondary sees pockets of activity

    European secondary is still quiet overall, but there are pockets of activity

    "It continues to be very quiet this week, but the few trades going through are trading quite high," says one trader. "We've seen Dutch RMBS print in the mid-teens, for example."

    Strong trading is currently mainly macro driven, the trader says. "The positive tone was helped by the .......

    SCIWire 4 March 2015

  • Repo eligibility tightening?

    The ECB last month published new guidelines on the implementation of the Eurosystem monetary policy, effective from 1 May. Several changes have been made to ABS repo eligibility, which appear to reflect a bias towards tightening of the criteria.

    The changes include the exclusion of ABS comprising receivables with residual value, with a four-month grandfathering period for bonds that will .......

    News 4 March 2015

  • Reinsurance merger finalised

    RenaissanceRe has completed the acquisition of Platinum Underwriters, making the firm a wholly owned subsidiary of RenaissanceRe. The acquisition was originally announced late last year (SCI 25 November 2014). The completion of the acquisition follows the receipt of all necessary regulatory approvals and approval of the transaction by Platinum shareholders, which was obtained at a special general meeting of Platinum .......

    Job Swaps 3 March 2015

  • Costco impact gauged

    Costco has entered into a new co-brand credit card programme agreement with Citibank and an acceptance and co-brand incentive agreement with Visa (SCI 16 February). Bank of America Merrill Lynch ABS analysts expect any resultant widening in American Express credit card ABS to be temporary and an opportunity to add exposure to the trusts.

    The implementation of the Costco agreements .......

    News Round-up 3 March 2015

  • Euro ABS/MBS keeps support

    Spreads remain well-supported in European ABS/MBS secondary markets, but activity has declined dramatically from last week.

    "It's very, very quiet this week," says one trader. "The market is well-supported at these levels, but there's no real impetus to do anything."

    The trader continues: "ABSPP is still slowly happening - ECB announced €470m for last week, which is one of their bigger weeks, .......

    SCIWire 3 March 2015

  • ABCP appetite varied

    US money fund investments in ABCP conduits have been declining in line with outstanding supply in the market, according to Fitch. During the 12 months ending in January, US ABCP outstandings fell by US$22.5bn to a total of US$234.6bn, while money fund investments in ABCP shrank by US$1.8bn to a total of US$91bn - representing a 1.9% drop versus the .......

    News Round-up 2 March 2015
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