ABS

  • Tobacco ABS under pressure?

    The merger between Reynolds American and Lorillard could impact future payments to the Master Settlement Agreement (MSA) and put pressure on tobacco ABS pools, Fitch says. While Reynolds' share of the market will increase, the divestments to smaller tobacco manufacturers could increase the market share for manufacturers that do not pay into the MSA. The acquisitions by Imperial Tobacco do .......

    News Round-up 23 July 2014

  • Subprime auto caution 'warranted'

    Credit metrics in recently issued 2013 and year-to-date 2014 subprime retail auto loan ABS have continued to deteriorate and concern persists over whether the sector is overheating. S&P believes that subprime auto lending has not yet reached its boiling point, but says that caution is warranted.

    Based on an examination of the range of auto lending activity across the prime .......

    News Round-up 23 July 2014

  • Seasonal blip for card charge-offs

    US credit card ABS quarterly charge-offs rose for the first time in over three years, increasing by 7bp to 3.07% from 3%, according to Fitch's latest quarterly index for the sector. However, the agency suggests that the move is likely to an aberration.

    "Credit card ABS delinquencies have been easing for the last three months, so the increase in losses ......

    News Round-up 23 July 2014

    Premium Content

  • Punch paves way for restructuring

    Punch A and Punch B noteholders voted overwhelmingly in favour of Punch Taverns' covenant waiver requests at meetings convened on 18 July. All 16 meetings were quorate and the waivers will now expire on 19 November. It is a condition of the waivers that certain milestones are met, including that a restructuring to implement the stakeholder group proposal is launched .......

    News Round-up 22 July 2014

  • ILS ratings affirmed

    S&P has affirmed its ratings on four natural-peril catastrophe bonds that had annual resets of the probability of attachment. The affected transactions are Caelus Re 2013, MetroCat Re series 2013-I (class A notes), Mona Lisa Re series 2013-2 (class A) and Tradewynd Re series 2013-I (class 1).

    In each case the probability of attachment was reset to a percentage consistent .......

    News Round-up 22 July 2014

  • IDEA student loan programme mooted

    US Senators Mark Warner and Marco Rubio last week introduced a student loan bill, called 'The Dynamic Repayment Act of 2014', which is designed to overhaul the current government student lending system. Under the bill, DLP loans would be replaced with new income dependent education assistance (IDEA) loans, whose repayments would be based on a borrower's annual income during each .......

    News Round-up 22 July 2014

  • Interest rate hedges evolving

    A deeper examination of interest rate risk in structured finance deals is key when analysing structures that try to hedge this risk with interest rate caps, note rate caps or issuance of fixed rate notes, Fitch says. These increasingly popular structural features protect deals where the SPV pays a fixed or a capped rate on the notes in return for .......

    News Round-up 21 July 2014

  • Depreciation could impact auto losses

    Depreciation rates on used vehicles are approaching levels not seen since the recession. However, a report by Black Book and Fitch says depreciation could soon lead to marginally higher losses for US auto ABS.

    Black Book notes that new and used vehicle markets are seeing positive growth, with depreciation increasing as a result. New vehicle sales next year are expected .......

    News Round-up 18 July 2014

  • Italian repurchases mask performance

    The number of loans repurchased by originators in Italian lease and SME ABS transactions accounts for between 10% and 20% of securitised pools in a third of the transactions Moody's rates. The agency believes actual default levels may therefore be higher than reported.

    Repurchases might be credit positive in the short term as cash injections benefit noteholders, but they mean .......

    News Round-up 18 July 2014

  • US card indices to break records

    Prime US credit card ABS collateral performance metrics are set to break records in the next reporting period, says Fitch. Improving employment rates and strong credits underlying trusts are creating powerful support for the asset class.

    The agency expects its charge-off index to decline to a new low, while the prime 60-plus day delinquency index is also expected to reach .......

    News Round-up 18 July 2014

  • Canadian card performance improves

    The charge-off rate in S&P's Canadian credit card quality index decreased to 3.5% in May, down 4% year-over-year. The 30-plus day delinquency rate also decreased to reach 2.2%, while the payment rate, yield and excess spread rose to 40.9%, 23% and 15.7%, respectively.

    The rating agency partly attributes the performance improvement to the removal of Gloucester Credit Card Trust from .......

    News Round-up 18 July 2014

  • Driver China One presale updated

    Fitch has updated the presale for Volkswagen's Driver China One Trust (SCI 3 June). While the update reflects that references to Fitch were removed from the transaction documents, there should be no rating impact.

    The most significant change is the removal of rating thresholds designed to maintain the rating of the account bank at a minimum level commensurate with a .......

    News Round-up 17 July 2014

  • Securitisation vet enlisted

    Starwood Capital Group has hired Jeffrey DiModica. He will serve as md and assist in finding new business opportunities as well as supporting the growth and expansion of Starwood Property Trust and its affiliated entities.

    DiModica was previously head of ABS, RMBS and CMBS sales and strategy for the Americas at RBS. Before joining RBS he sold derivative and MBS .......

    Job Swaps 17 July 2014

  • ILS diversification eyed

    In sharp contrast to December when seven catastrophe bonds priced with a spread of 625bp or greater and a weighted average expected loss above 300bp, 1H14 saw approximately two-thirds of 26 classes issued with an EL of less than 130bp and a new issue spread of 400bp or lower, Swiss Re reports in its latest market update. US wind remained .......

    News Round-up 16 July 2014

  • SLABS bring secondary market boost

    US ABS BWIC volume reached around US$200m yesterday, with student loan and credit card bonds driving issuance higher than it had been to start the week. Much of the supply came from a US$108m list of FFELP bonds.

    SCI's PriceABS data captured a wealth of student loan tranches circulating on yesterday's bid-lists. Among them was the ACCSS 2005-2 B tranche, .......

    Market Reports 16 July 2014

  • FFELP portfolio sales anticipated

    Wells Fargo last week announced that it transferred its US$9.7bn FFELP student loan portfolio to held-for-sale during Q2. Fitch suggests that the move - when considered alongside CIT Group's sale of its US$3.6bn FFELP portfolio to Nelnet in April - may signal that the market has finally reached an inflection point.

    The agency believes that to date banks have been .......

    News Round-up 15 July 2014

  • Cantor boosts RMBS team

    Cantor Fitzgerald has expanded its MBS sales and trading team with the appointments of Cass Tokarski and James Murray, who each join from RBS. Tokarski becomes senior md and head of mortgages and ABS, while Murray joins as md, focussing on agency ARM trading.

    Tokarski ran the CMO business at RBS and has also worked at UBS and Goldman Sachs. .......

    Job Swaps 14 July 2014

  • UCITS cat bond fund prepped

    Entropics Asset Management has been licensed by the Swedish Financial Supervisory Authority to undertake discretionary portfolio management, becoming the first asset manager specialising in catastrophe bonds to be authorised in the country. The firm is also one of the first ten managers worldwide to offer UCITS-compliant cat bond funds.

    Entropics can now assume discretionary management assignments. It also plans to .......

    News Round-up 14 July 2014

  • Euro ABS activity encouraging

    The seasonal summer slowdown has not yet set in for the European ABS market. While the secondary market might be softening a little, activity in the primary market continues at good levels.

    "We are still seeing new deals being announced in the market so we have got a few weeks more to go before things get quiet. It is an active .......

    Market Reports 11 July 2014

  • Secondary ABS supply picks up

    US ABS bid-list volume was up yesterday to more than US$230m, with SCI's PriceABS data revealing several student loan tranches out for the bid. Dealer offering levels were mostly unchanged, while auto paper was also available.

    In the student loan space a US$10m piece of the ACCSS 2005-1 A3 tranche was talked at around 99 and at around .......

    Market Reports 10 July 2014

  • Rating agency names mortgage head

    S&P has promoted Waqas Shaikh to lead analytical manager for mortgage-bond ratings and surveillance in the US. He is based in New York and reports to Mike Binz, head of North American ABS and RMBS ratings.

    Shaikh will focus on new issues and on-going deal surveillance. He was previously part of the global risk management group and has been with .......

    Job Swaps 9 July 2014
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