ABS

  • Basel 3 'impediment' highlighted

    Capital charges for securitisation exposures under the latest Basel 3 proposals represent an impediment to the development of a confident investor base underlying a healthy European securitisation market, Fitch says. The agency notes that while the proposed Basel securitisation framework involves lower capital charges than under the first exposure draft, the proposals for the external ratings-based approach would still significantly .......

    News Round-up 4 September 2014

  • Reg AB 2 to increase data integrity

    Moody's says that the US SEC's adoption of Regulation AB 2 will enhance transparency in publicly offered ABS, which is credit positive for RMBS and auto ABS but credit neutral for CMBS. Overall the agency expects the requirement for loan-level data to result in more scrutiny by sponsors, thereby increasing data integrity.

    Third-party diligence firms currently review key loan-level data .......

    News Round-up 4 September 2014

  • LCR, SLR requirements finalised

    The US Fed, the FDIC and the OCC have released a notice of final rulemaking that implements minimum liquidity coverage ratio (LCR) requirements for banks and depository institutions. They have also issued a final rule modifying the definition of the denominator of the supplementary leverage ratio (SLR).

    In response to industry comment, the final LCR rule has been amended to .......

    News 4 September 2014

  • Peripherals pause as UK tightens

    Since late yesterday and into this morning, peripheral European ABS secondary trading volume has eased and prices have stayed flat as the market awaits the outcome of the ECB meeting at 13:30 London time today. However, UK RMBS is seeing some action with a number of big names trading off-BWIC and the market as a whole edging tighter.

    Feeding off that .......

    SCIWire 4 September 2014

  • European ABS expands

    The talk surrounding a potential European asset purchase plan is expanding investor interest in ABS.

    "We're finding a few accounts that have been out of the European ABS market for a couple of years are coming back in," confirms one trader. "There's a lot of new interest round the ECB."

    Heightened activity is yet to filter through to European CLOs, .......

    SCIWire 3 September 2014

  • Pub performance to prompt upgrades

    Spirit's latest quarterly trading statement confirms strong performance for both the managed and tenanted businesses over the last fiscal year. With profit exceeding market expectations of £57.3m, Barclays Capital analysts expect Sprit's bonds to be upgraded back to investment grade.

    The analysts note that the current leverage ratios are already consistent with an investment grade rating. Greene King's class B .......

    News Round-up 3 September 2014

  • US BWIC activity picks up

    As the US BWIC markets got back up and running yesterday most activity was concentrated in ABS, but supply was also seen in the CMBS and non-agency RMBS segments.

    Bid-list volume for US ABS reached over $250m yesterday, with credit card bonds providing the majority of the paper. In addition, some auto paper was circulating during the session.

    Meanwhile, generic .......

    SCIWire 3 September 2014

  • US secondary activity picks up

    The US secondary markets were back up and running yesterday after the Labor Day holiday. Most activity was concentrated in ABS, but supply was also seen in the CMBS and non-agency RMBS segments.

    Bid-list volume for US ABS reached over US$250m yesterday, with credit card bonds providing the majority of the paper. A number of names were captured by SCI's .......

    Market Reports 3 September 2014

  • Ceasefire increase

    News of a ceasefire in the Ukraine has pulled credit indices tighter this morning and is expected to move European ABS spreads in the same direction on the back of increased trading activity.

    Peripherals remain the main focus of the market as real and fast money accounts seek to grow positions ahead of tomorrow's ECB meeting. Peripheral RMBS in particular .......

    SCIWire 3 September 2014

  • Mixed day so far

    The US structured finance markets are taking a while to find their feet today while off-BWIC Europe appears to be building up a head of steam - strong trading is continuing in European RMBS now including non-peripheral bonds.

    On the BWIC front, both sides of the Atlantic aren't seeing many new lists circulating. The CLO market has not so far .......

    SCIWire 2 September 2014

  • Euro markets hit re-set

    The European ABS market appears to have hit the re-set button this morning to signal the true end of summer with the return of the US today and in anticipation of the ECB meeting on Thursday - most ABS sectors are better bid but peripherals are once more leading the way.

    Meanwhile, a €5m slice of Dutch CMBS MESDG DELT .......

    SCIWire 2 September 2014

  • TRACE update to impact esoteric liquidity?

    The US SEC has approved amendments to TRACE dissemination rules, stipulating that CUSIP-level execution prices and original face values be publicly disclosed on ABS trades starting on 27 April 2015. The new rules are expected to have a limited impact on traditional ABS sectors, but could affect liquidity in non-traditional asset classes.

    SEC-registered and 144a ABS - defined as securitised .......

    News 1 September 2014

  • LCR vote scheduled

    The US Fed is to hold an open meeting on 3 September to vote on final regulations implementing the liquidity coverage ratio (LCR) requirement in the US. Proposed rulemaking regarding margin requirements for non-cleared swaps will also be discussed during the meeting.

    Together with the FDIC and the OCC, the Fed had initially proposed LCR regulations that would assign a .......

    News Round-up 28 August 2014

  • Reg AB, NRSRO rules finalised

    The US SEC yesterday unanimously adopted final rules under Regulation AB 2 that substantially revise the offering process, disclosure and reporting requirements for registered offerings of ABS. The rules implement several key areas of reform - while deferring action on other significant aspects of the original proposals - and aren't expected to be too onerous for auto ABS or CLO .......

    News 28 August 2014

  • Stable default rates for Japanese auto ABS

    Japanese auto loan ABS default rates are more stable than those for US prime auto loan ABS, according to Moody's latest Structured Thinking: Asia Pacific publication. The agency notes that this is because their loan pools comprise higher quality debtors that are less prone to unemployment during periods of economic weakness.

    "For example, default rates for Japanese auto loan ABS .......

    News Round-up 27 August 2014

  • Low Euro default rates continue

    The credit performance of European structured finance transactions continues to be resilient. Only 1.6% by original issuance volume of notes outstanding in mid-2007 had defaulted by end-2Q14, according to S&P.

    At end-2Q14, the 12-month rolling default rate declined to 0.16%, its lowest level since 1Q10. "At 14.8% at the end of 2Q14, the 12-month rolling downgrade rate has slightly declined .......

    News Round-up 27 August 2014

  • Reg AB 2 concerns highlighted

    Lewtan has published the results of a survey of securitisation professionals that aims to understand the market's readiness in adopting the US SEC's Regulation AB 2 proposal and re-proposal. The survey confirms that many issuers and investors are concerned by the potential risks introduced by the re-proposal, particularly regarding how 'potentially sensitive' data is to be provided and handled.

    Respondents .......

    News Round-up 27 August 2014

  • Credit vet recruited

    Hermes Fund Managers has appointed Zoë Shaw as head of fixed income, reporting to ceo Saker Nusseibeh. In this new role, she will build on the firm's fixed income and credit capabilities to create a range of specialist credit capabilities that leverage Hermes' unique ownership structure.

    Shaw joins from Promethion, where she was md since 2009. Prior to that, she .......

    Job Swaps 27 August 2014

  • RFC issued on venture debt ABS

    Moody's is seeking feedback on its proposed approach to rating venture debt-backed ABS. The agency expects that adoption of the credit rating methodology would result in downgrades of up to one or two notches on its ratings of currently outstanding US venture debt transactions.

    The proposed approach includes assumptions about asset correlation, obligor default probabilities and recovery rates on defaulted .......

    News Round-up 26 August 2014

  • Sunshine Act meeting scheduled

    The US SEC is set to hold an open meeting tomorrow (27 August) pursuant to the provisions of the Sunshine Act. The topics slated for discussion include the new Regulation AB 2 and nationally recognised statistical rating organisations (NRSROs) rules.

    Specifically, the Commission will consider whether to adopt rules revising the disclosure, reporting and offering process for ABS. The revisions .......

    News Round-up 26 August 2014

  • RFC issued on debt fund approach

    Scope Ratings is requesting comments on its recently-published debt fund rating methodology, which entails assigning a credit rating and a risk-return rating to funds invested in debt products. The agency anticipates further strong growth in this segment in Europe (SCI 29 July).

    In the real estate segment alone, the number of new debt funds increased sharply from six in 2012 .......

    News Round-up 22 August 2014
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