ABS

  • Risk retention to have mixed impact

    Risk retention regulations that were approved last week by US federal regulators (SCI 22 October) will be credit positive for non-agency RMBS, according to Moody's. The impact on CLOs, on the other hand, is expected to be credit neutral.

    The rules generally require sponsors to retain 5% of the risk in most types of securitisations for the life of the .......

    News Round-up 31 October 2014

  • ABS activity ticks over

    US ABS secondary volume was down from the prior session, but still managed to reach around US$160m yesterday. Student loan bonds dominated supply.

    FFELP paper accounted for the majority of student loan tranches out for the bid yesterday. SLMA 2006-C B was talked at mid-80s and covered at 87 handle, according to SCI's PriceABS data. The bond was previously covered .......

    Market Reports 31 October 2014

  • Peripherals firmer

    Positive ABSPP news has driven buying of peripheral ABS/MBS, but core paper is mixed.

    Following the ECB announcement of four asset managers and a November start for ABSPP, eligible peripheral ABS/MBS spreads firmed up yesterday and into this morning. Equally, interest and activity around select non-eligible peripheral names has seen them tighten as well.

    In core bonds the picture is more .......

    SCIWire 31 October 2014

  • ABSPP executing managers named

    The ECB has appointed four executing asset managers to conduct its ABSPP. The role of the executing asset managers will be to conduct eligible transactions on explicit instructions from the Eurosystem, which will undertake price checks and due diligence prior to approving the transactions.

    The managers are: Amundi and Amundi Intermédiation, Deutsche Asset & Wealth Management International, ING Investment Management .......

    Job Swaps 31 October 2014

  • European ABS/MBS still in limbo

    The European ABS/MBS markets are continuing to see positive effects following Tuesday's large BWIC, but the market also remains in a pre-ABSPP limbo.

    This morning BayernLB announced that it was behind the big BWIC. However, it confirmed that no details, such as covers, would be released.

    "It's a little difficult to dig out details but it appears the bulk of .......

    SCIWire 30 October 2014

  • Big list trades well

    Yesterday's US$7bn legacy auction saw bonds generically trading at a couple of points higher than talk. Citi, Credit Suisse and Goldman Sachs are understood to each have bought about a third of the paper out for bid.

    The liquidation, the largest observed year-to-date, comprised 507 US dollar-denominated bonds (totalling US$5bn current face) and 152 European securities (US$2bn) from a European .......

    News Round-up 29 October 2014

  • ABCP outflow to be offset?

    The impact of money fund reform on ABCP programmes will vary, depending on the composition of each programme's investor base, according to Fitch. Institutional prime money fund investments account for only about one-third of total outstanding ABCP, and ABCP only accounts for approximately 6% of total institutional prime money fund assets.

    Investments in ABCP by institutional prime money funds are .......

    News Round-up 29 October 2014

  • Further growth forecast for China

    New originators and asset types continue to emerge in China's securitisation sector, attracting growing investor interest, Moody's reports. Issuance is expected to grow further in 2015, despite a number of lingering concerns about market infrastructure.

    "In addition to the policy banks and big commercial banks, which are currently the main players in China's securitisation market, some city commercial banks and .......

    News Round-up 29 October 2014

  • Rarely seen US ABS circulating

    A portfolio liquidation BWIC of rarely seen US ABS is circulating for trade today at 10:00 New York.

    The ten line list of aircraft, structured settlement, insurance and private student loan ABS totals $194.376m of original face. It consists of: AIRSP 2007-1A G1, AIRSP 2007-1A G2, HENDR 2005-1A A1, HENDR 2006-1A A1, HENDR 2006-2A A1, HENDR 2006-3A A1, HENDR 2006-4A .......

    SCIWire 29 October 2014

  • RFC issued on repack revision

    Moody's is requesting comments on proposed updates to its global approach to rating repackaged securities. The agency is seeking to refine how it assesses the risk of interest rate and cross-currency swaps in relation to swap counterparties in structured finance cashflow transactions.

    If the proposed methodology is adopted, Moody's expects the impact to be limited to some upgrades or downgrades .......

    News Round-up 29 October 2014

  • Listed alternatives gaining traction

    US$73bn of alternative assets is listed on the London and Amsterdam stock exchanges, according to Tom Skinner, head of research at Dexion. The sector has added a total of US$18bn in the last 12 months alone, comprising US$12.6bn through 22 IPOs and a further US$5.4bn from follow-on fundraises.

    Half the IPOs have been credit and property funds, raising US$1.38bn and .......

    News Round-up 29 October 2014

  • Euro rejuvenation

    Yesterday's big list has rejuvenated activity and interest across European securitisation asset classes.

    "We're still waiting on official colour on the big BWIC, but while the market was quiet leading up to the list we've seen trading on the back of it since," says one trader. "Overall, the list has given a much-needed boost to trading and customer interest."

    The .......

    SCIWire 29 October 2014

  • Channel beefs up in trade finance

    Channel Capital Advisors is branching out into trade finance, having recently recruited two professionals to assist in the development of its Trade Finance Lending Fund. Investment is focused on pre-export, post-export and syndicated import/export facilities.

    Ken Owen has joined the firm as portfolio manager, responsible for investment origination, structuring, evaluation and portfolio monitoring. He was previously head of trade finance .......

    Job Swaps 28 October 2014

  • ILS capacity platform unveiled

    Willis Capital Markets & Advisory has established Resilience Re, a new platform designed to simplify client access to catastrophe bond capacity. Clients are expected to benefit from cost efficiencies and expedited timelines to secure capacity.

    Resilience aims to achieve these benefits in part from simplified processes and documentation for qualifying risks. The platform will provide access to dedicated reinsurance transformers .......

    News Round-up 28 October 2014

  • CMBS A4s dominate

    CMBS was the only sector to see much secondary supply yesterday stateside, with many participants focused on the US$4.6bn legacy non-agency RMBS bid-list scheduled to trade today (28 October). BWIC volume reached around US$183m, up from the prior session, and was dominated by A4 securities.

    Among the legacy A4 bonds out for the bid during the session was COMM 2006-C8 .......

    Market Reports 28 October 2014

  • Second workshop added to SCI agenda

    Only a few tickets remain for SCI's 7th Annual Securitisation Pricing, Investment & Risk Seminar. Over 200 attendees have registered for the event, which is being held tomorrow (29 October) at Bank of America's offices at 250 Vesey Street (formerly Four World Financial Center).

    A further workshop has been added to the agenda, focusing on CLO valuations. The conference programme .......

    News Round-up 28 October 2014

  • Investment platform broadens

    ClearVest has expanded the number of managers approved by its investment committee. The additions include funds managed by Arden Asset Management, Coherence Capital Partners, DUNN Capital Management and Wasserstein Debt Opportunities. Through the ClearVest platform, institutional investors, qualified purchasers and wealth managers will now be able to access over 27 carefully selected alternative investment managers.

    Investments are available through direct .......

    Job Swaps 28 October 2014

  • Vendor acquired

    Moody's has acquired Lewtan Technologies. The firm will become part of Moody's Analytics' structured analytics and valuations business, which provides an extensive data and analytics library for securitised assets.

    Lewtan's products cover more than 200,000 bonds and 20,000 securitised deals, serving over 300 financial institutions worldwide. For its fiscal year ending 30 September, the firm generated annual revenue of approximately .......

    Job Swaps 28 October 2014

  • QRM provides 'meaningful incentives'

    The final QRM standards provide meaningful incentives for banks to maintain quality underwriting and avoid certain riskier mortgage products, Fitch says. The agency believes that the rule should curb many practices that led to severe bank pressures during and after the financial crisis.

    Nevertheless, the final QRM avoids minimum down payment standards originally proposed by regulators in 2011, thus providing .......

    News Round-up 27 October 2014

  • Large list to dominate

    Tuesday's large liquidation BWIC is set to dominate traders' attention across asset classes either side of the Atlantic in the short-term. Longer term the picture is less clear.

    The previously mentioned list, possibly from a Scandinavian bad bank, amounts to 647 lines and just under 7.5bn of current face when US assets and CDOs/CLOs are included. "This type of legacy .......

    SCIWire 24 October 2014

  • LCP acquisition confirmed

    Amlin has signed definitive legal agreements to increase its existing interest in Leadenhall Capital Partners (LCP) to 75%. The move follows a non-binding agreement that was reached back in July (SCI 7 July).

    Under the terms of the agreement, Amlin will increase its interest in the business via a partial acquisition of each individual partner's stake. The final consideration amount .......

    Job Swaps 24 October 2014
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