ABS

  • 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

  • Record low for card delinquencies

    US credit card ABS delinquencies closed June with another record low, while excess spread remained at historical highs. Fitch's 60+ Day Delinquency Index decreased by another 6bp to 1.09% and now stands 76% below its peak level registered at end-2009. At the same time, Fitch's Prime Credit Card Three-Month Average Excess Spread Index maintained its record high of 13.27% for .......

    News Round-up 8 July 2014

  • Ratings sensitivity analysis released

    S&P has outlined five of the top macroeconomic factors that it believes are most relevant to the credit quality of European structured finance securities and, therefore, to its rating actions. These factors include GDP growth, the unemployment rate, property prices, bank equity returns and corporate credit risk premia.

    The report is an update of a study the agency published in .......

    News Round-up 8 July 2014

  • Stable outlooks dominate APAC

    Fitch affirmed 195 Asia-Pacific structured finance (SF) tranches in 2Q14. The agency also upgraded seven tranches and downgraded three others.

    Of the total affirmations, 77 were from Australia, which also contributed five of the upgrades during the quarter. The upgrades were made to prime RMBS and unsecured consumer loan ABS bonds, where a build-up of credit enhancement supports the higher .......

    News Round-up 8 July 2014

  • Jumbo cat bonds drive record issuance

    Last quarter saw the largest-ever issuance volumes in the history of the non-life catastrophe bond market, with US$4.5bn of capacity issued through 17 tranches, according to Willis Capital Markets & Advisory's latest ILS market update. This compares with US$3.3bn issued via 17 tranches in 2Q13 and the previous quarterly record of US$3.5bn issued in 2Q07.

    The record issuance volume was .......

    News Round-up 8 July 2014

  • Covenant waive requested

    Further details have emerged about the delay in Hertz's 1Q14 Form 10-Q filing (SCI 4 July). Due to a number of accounting errors, the firm is to restate its 2011 financial statements and review the corporate financial statements for 2012 and 2013.

    The nature of the accounting issues appear to be primarily non-cash items and do not seem to be .......

    News Round-up 8 July 2014

  • SRT guidelines released

    The EBA has published a final set of guidelines designed to support both originator institutions and competent authorities in the assessment of significant risk transfer (SRT) for securitisations. The guidelines aim to ensure a more consist approach in the assessment of significant risk transfer across the EU and to achieve a level playing field in this area.

    The EBA says .......

    News Round-up 8 July 2014

  • FIGSCO rating approach explained

    The rating of Goldman Sachs' latest secured funding product - dubbed Fixed Income Global Structured Covered Obligation (FIGSCO) - would most likely be equalised with that of the total return swap provider, says Fitch. The transaction is secured by a wide range of fixed income assets, including securitised debt, with overcollateralisation (OC) levels that are marked to market daily.

    Fitch .......

    News Round-up 7 July 2014
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