ABS

  • Securitisation risk weights hiked

    The Basel Committee has issued revisions to the securitisation framework that aim to address a number of shortcomings in the Basel 2 securitisation framework and to strengthen the capital standards for securitisation exposures. This framework, which will come into effect in January 2018, raises the risk weight floor for securitisation exposures to 15%.

    The most significant revisions with respect to .......

    News Round-up 12 December 2014

  • Secondary ABS supply accelerates

    US ABS bid-list activity yesterday rebounded from the prior session to reach total volume of around US$266m. By far the dominant product type out for the bid was auto ABS.

    SCI's PriceABS data captured 13 unique auto ABS tranches. While they were all from deals issued in 2012 or later, the earliest-vintage tranche out for the bid was .......

    Market Reports 11 December 2014

  • Euro ratings outlook positive

    Fitch says that its rating outlook for European structured finance (SF) transactions is stable, with 86% of its rating outlooks across the region being stable or positive. Performance in the large majority of asset market sectors across the region also has a stable outlook.

    Fitch's expectations for stability for both SF ratings and the underlying asset markets have improved substantially .......

    News Round-up 11 December 2014

  • 'Simple and transparent' criteria released

    The Basel Committee and IOSCO have published a consultative document on criteria for identifying simple, transparent and comparable securitisations. The purpose of the criteria is to assist the financial industry's development of simple, transparent and comparable securitisations structures, as well as to help parties involved in a securitisation evaluate the risks of a particular transaction as part of their due .......

    News Round-up 11 December 2014

  • European ABS/MBS patchy

    European ABS/MBS secondary continues to see patchy trading as year-end and broader macro concerns reduce risk appetite.

    Major UK and European names continue to see two-way interest, but elsewhere bids are weaker. Even Italian RMBS is generally quiet despite the talk of ABSPP buying in the sector.

    Meanwhile, the highlight of the BWIC schedule today is a four line €119.5m .......

    SCIWire 11 December 2014

  • China ABSP clarity requested

    Fitch says that it remains uncertain if securitised assets under China's Asset Backed Specific Plan (ABSP) can achieve bankruptcy remoteness from project managers. This is despite the China Securities Regulatory Commission (CSRC) publishing new provisions relating to the ABSP, effective in November (SCI 20 November).

    The new provisions in the ABSP, previously known as Special Asset Management Plan (SAMP), attempt .......

    News Round-up 10 December 2014

  • Debut Entropics fund authorised

    The first catastrophe bond fund managed by a Scandinavian manager, Entropics, has been authorised by the Luxembourg financial supervisory authority (the CSSF) and passported into the Swedish market. SEF Entropics Cat Bond Fund is UCITS-compliant and has been established via the Luxembourg fund company of Swedbank, to provide a solid infrastructure for the fund and independent valuation of its assets.

    News Round-up 10 December 2014

  • Dutch prime outperforms

    The European ABS/MBS markets are remaining quiet with Dutch prime the only highlight.

    "Client activity is close to zero and that may be it for the year," says one trader. "There are a few sellers here and there and consequently some BWICs, but volumes and liquidity are quite low."

    Except for ECB-eligible assets prices are weaker across deal types, with .......

    SCIWire 10 December 2014

  • Economy bolsters SLABS outlook

    The improving economy will bolster the credit quality and performance of US private student loan (PSL) and FFELP ABS, according to Moody's 2015 outlook. Default rates on PSL pools should continue to decline, with rates at pre-recession levels, while Moody's PSL default rate index dropped below 2.5% for the first time since 2006 in 3Q14.

    "Defaults will fall further because .......

    News Round-up 9 December 2014

  • European ABS/MBS bolstered

    European ABS/MBS markets have been bolstered by signs of ECB buying.

    Despite yesterday's disappointing ABSPP number, euro ABS/MBS spreads have stayed firm into this morning on the back of talk of ECB buying picking up this week. "We hear some Italian RMBS has been bought," says one trader. "We're not going much tighter as a result, but it seems a .......

    SCIWire 9 December 2014

  • Longevity basis risk tackled

    The Institute and Faculty of Actuaries (IFoA) and Life and Longevity Markets Association (LLMA) have released a readily-applicable methodology allowing insurers and pension schemes to assess longevity basis risk. The jointly-commissioned research project - which was undertaken by a joint research team from Hymans Robertson and Cass Business School - aims to enable the use of simpler, more standardised and .......

    News Round-up 9 December 2014

  • Reg AB 2 in review

    Shelf-eligibility and data disclosure discussed

    Representatives from Lewtan and Dentons recently discussed the considerations for implementing Regulation AB 2 in a live webinar hosted by SCI (view the webinar here). Topics included privacy concerns, data requirements and practical implications going forward.

    Q: What is the background to Regulation AB 2?
    A:     Ned Myers, svp, Lewtan: Reg AB 2 rules were initially proposed back in 2010 .......

    Talking Point 9 December 2014

  • Report calls for higher mezz charges

    A new report from the BIS states that a simple and transparent asset pool does not translate into mezzanine tranches that are simple to assess. The report sets out the view of policymakers that mezzanine securitisation tranches therefore require substantial safeguards, which should be proportionately much larger than those for the underlying assets.

    The Basel Committee is expected to disclose .......

    News 8 December 2014

  • Basel implementation assessed

    The Basel Committee has published a report assessing, under its regulatory consistency assessment programme (RCAP), the implementation of the Basel capital framework in the US and Europe. A key component of this programme is to assess the consistency and completeness of a jurisdiction's adopted standards and the significance of any deviations in the regulatory framework.

    For the US, the assessment .......

    News Round-up 8 December 2014

  • Euro ABS/MBS BWICs quiet pre ABSPP number

    There's little to distract the European ABS/MBS market as it awaits this afternoon's ABSPP volume update with only two BWICs currently circulating.

    There is a £6m line of GRAN 2004-1 3A due at 12:00 London and at 15:00 a three line mixed list consisting of: €32.3m of AYTPI I A, €5m of MESDG DELT A and £11m of RMAC 2003-NS4X .......

    SCIWire 8 December 2014

  • Renewables financing firm launched

    A team of renewable energy and finance industry executives has launched Generate Capital. The firm will focus on funding small-scale, resource-efficient infrastructure, offering multiple types of financial services products, including short-term asset-based financing, equipment leasing and project finance.

    Generate's co-founders include president Jigar Shah, ceo Scott Jacobs and cio Matan Friedman. The firm has appointed Jason Fish as chairman.

    Typical .......

    Job Swaps 5 December 2014

  • European ABS/MBS hold steady

    Spreads are still holding steady in European ABS/MBS this morning, albeit on continued low volume levels.

    "It's another quiet day today and we've only got a few BWICs due," says one trader. Of those he highlights a four line €58m Spanish seniors list due at 14:30, which consists of: TDA 16 A1, TDA 19 A, TDAC 7 A3 and TDAI .......

    SCIWire 5 December 2014

  • SCI conference line-up unveiled

    Final panellist line-ups have been announced for SCI's 8th Annual Securitisation Pricing, Investment and Risk Seminar, which is taking place on 12 December in London. The event is being held at Reed Smith's offices at Broadgate Tower, 20 Primrose Street, EC2A 2RS.

    This conference will focus on relative value in light of ongoing regulatory challenges and the ECB's ABSPP. The .......

    News Round-up 5 December 2014

  • RFC issued on RV approach

    Moody's is seeking comments from market participants on its proposed rating approach for assessing residual value (RV) risk in auto lease transactions in EMEA and on its proposal to adopt the EMEA approach also for rating transactions in the Asia Pacific region. The proposed approach includes three key changes: introducing a Aaa haircut for RV transactions that incorporates the benefit .......

    News Round-up 4 December 2014

  • ILS pro joins AQR

    Greg Habay has joined AQR as a vp in the firm's business development group. He moves from JLT Re, where he was svp and a senior broker. Habay, who will be based in AQR's Greenwich, Connecticut headquarters, will focus on raising capital for existing and future reinsurance funds.

    .......

    Job Swaps 4 December 2014

  • Euro ABS/MBS slow further

    Activity in European ABS/MBS secondary markets has continued to slow throughout this week.

    "We did see some decent customer flows at the start of the week, but it's got quieter since - yesterday was very, very quiet," says one trader. "Today isn't much better, but there are some BWICs here and there."

    ABSPP-eligible ABS/MBS are for now at least holding .......

    SCIWire 4 December 2014
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