ABS

  • Mexican cat bond affirmed

    S&P has affirmed its single-B rating on the US$140m MultiCat Mexico series 2012-1 class A notes. The move comes after Swiss Re submitted an event notice to the calculation agent, AIR Worldwide Corp, following the 18 April earthquake in the state of Guerrero.

    The MultiCat ILS programme is sponsored by Swiss Re, which reinsures AGROASEMEX, a state-owned insurance institution set .......

    News Round-up 9 May 2014

  • Liquidity rules could 'hurt demand'

    S&P says that upcoming rules governing bank liquidity could hurt demand for European securitisations. The agency also notes that the treatment of securitisations is less favourable than that of some other debt securities, such as covered bonds and corporate bonds, which could significantly reduce banks' incentives to hold securitisation tranches.

    "Historically, banks have been one of the largest investor constituencies .......

    News Round-up 9 May 2014

  • ILS vehicle debuts

    Jardine Lloyd Thompson Capital Markets has closed a US$10m private placement catastrophe bond, Market Re 2014-1. The Market Re vehicle has been established with the aim of making the capital markets more accessible to issuers seeking to issue smaller-sized ILS transactions.

    "We have worked closely with our strategic service partners to build a scalable vehicle that will open up a .......

    News Round-up 9 May 2014

  • US ABS secondary supply picks up

    US ABS BWIC activity picked up to around US$177m yesterday - up from just US$58m the day before - with a mix of auto and student loan bonds driving supply. SCI's PriceABS data shows 15 unique US ABS tranches out for the bid.

    Among the auto names were several DriveTime tranches, including DTAOT 2011-2A D, which was talked .......

    Market Reports 8 May 2014

  • 'Type 1' capital charges lowered

    EIOPA has updated its technical specifications for the Solvency II preparatory phase. The proposal includes lower capital charges for Type 1 securitisations.

    Proposed capital charges for triple-A, double-A, single-A and triple-B rated Type 1 bonds now stand at 2.1%, 4.2%, 7.4% and 8.5% per year of duration respectively. Type 1 securitisations are defined as those backed by residential mortgage loans, .......

    News Round-up 8 May 2014

  • CLO research analyst added

    Citigroup has added Maggie Wang to its CLO research team in New York. She joins as a director and will start in June.

    Wang was most recently head of US CLO and CDO research at JPMorgan, where she also closely followed the ABS, CMBS and high yield markets. She has also worked for EMC and Siemens.

    .......

    Job Swaps 8 May 2014

  • Positive credit card trends continue

    Fitch's Prime Credit Card Charge-off Index increased slightly to 3.04% for the March collection period, after declining for the past two months. The index has declined by 24% year-over-year (YOY) and is now 74% below its historic high of 11.52% reached in September 2009.

    Meanwhile, Fitch's Prime Credit Card 60+ Day Delinquency Index fell by 6bp to 1.17% in March, .......

    News Round-up 7 May 2014

  • Pricing partnership formed

    SCI has launched a partnership with Intex to provide INTEXcalc users with free trial access to SCI PriceABS market prices for securitised products. SCI PriceABS is a daily secondary market colour and price service that includes pre- and post-auction price talk and covers/traded prices for ABS, CMBS, RMBS and CDO/CLO bonds across Europe and the US.

    The SCI .......

    News Round-up 7 May 2014

  • Repayment plans positive for SLABS

    The US Department of Education (DOE) last week released data showing a sharp increase in Federal Direct Loan recipients' use of student loan debt repayment programmes that lower monthly payments if federal student loan debt is high relative to the borrower's income. Moody's notes in its latest Credit Outlook publication that the use of income-driven repayment plans by Direct and .......

    News Round-up 6 May 2014

  • Smaller CRA network proposed

    The European Commission has adopted a report addressed to the European Parliament and Council on the feasibility of a network of smaller credit rating agencies (CRAs) in the EU. The report assesses how the establishment of such a network could contribute to the strengthening of smaller CRAs, facilitating their growth to become more competitive market players.

    The report proposes the .......

    News Round-up 6 May 2014

  • Financial data firm to float

    Markit has filed for a US IPO. The IPO is understood to be currently valued at US$750m, although that is thought to be a placeholder subject to change.

    The firm was valued at around US$5bn when Singapore's sovereign wealth fund Temasek purchased a stake last year (SCI 22 May 2013). Joint bookrunners for the proposed offering will be: Bank of .......

    Job Swaps 6 May 2014

  • SLM ratings affirmed post-split

    Moody's has affirmed the ratings of 475 classes of Sallie Mae's FFELP and private student loan securitisations, impacting approximately US$117bn of ABS. The affected collateral is sponsored, administered and serviced by Navient, following the 1 May restructuring of SLM Corp (SCI 15 April).

    Under the split, Navient Corp retains all of the former company's FFELP and private educational loan portfolios, .......

    News Round-up 6 May 2014

  • Credit card issuance set to rise

    DBRS has published the second edition of a Europe-wide index of credit card securitisations. The latest report includes the addition of recent ABS from Carrefour and El Cortes Ingles.

    The report finds that credit card transactions across Europe are experiencing continually decreasing charge-off levels, falling to 3.5% in February 2014 from 4.8% in February 2013. French credit card charge-offs in .......

    News Round-up 6 May 2014

  • Jumbo cat bond priced

    Citi and Bank of America Merrill Lynch have closed the largest-ever catastrophe bond - the US$1.5bn Everglades Re series 2014-1 - for Citizens Property Insurance Corp. The three-year notes cover losses in Florida from hurricanes on an annual aggregate basis.

    Rated single-B by S&P, the transaction priced at 750bp over US money-market fund yields. It is the third issuance from .......

    News Round-up 6 May 2014

  • Equipment ABS credit performance improves

    Credit performance continues to improve for the more recent vintages of equipment loan and lease ABS. The mid-ticket sector tends to have lower cumulative net defaults than small-ticket, largely due to differences in borrower base and collateral.

    The 2011-2013 small-ticket vintages have outperformed 2007-2010, note Bank of America Merrill Lynch analysts. Cumulative net default curves have moved lower with every .......

    News Round-up 2 May 2014

  • Rating withdrawal process outlined

    Moody's has clarified its global process for determining the minimum number of borrowers in the pools underlying securitisations below which excessive exposure to the idiosyncratic credit risk of a few borrowers may prevent it from assigning or maintaining ratings. The report updates a previous version which dealt with only RMBS (SCI 6 November 2013).

    As consumer ABS and RMBS transactions .......

    News Round-up 2 May 2014

  • ABCP conduits remain attractive

    US ABCP conduits remain a significant source of funding for core bank clients and provide a valuable offering for investors, according to Fitch. Collateral credit quality and performance measures remain strong despite declines in outstandings.

    Fitch affirmed 25 US ABCP programmes in late March. Outstandings across those programmes totalled US$106bn.

    Auto and commercial, trade receivables, credit cards and student loans .......

    News Round-up 2 May 2014

  • Greene King bonds boosted

    Greene King has sold 275 non-core tenanted pubs to Hawthorn Leisure for £75.6m. The proceeds are expected to be recycled into the managed estate, a credit positive for the pubco's securitisation

    The pub sales generated EBITDA of £12.4m, implying a disposal multiple of 6.1x, according to Barclays Capital European securitisation analysts. It is unclear whether this multiple was pre- or .......

    News Round-up 1 May 2014

  • Solid performance for auto ABS

    US auto ABS prime and subprime annualised net losses (ANL) respectively sank by 37% and 28% on a monthly basis in March, according to Fitch. The agency notes that strong seasonal patterns kicked in and should position the sector for solid asset performance in the coming months.

    March's loss rates were within range of record lows recorded in the 2012-2013 .......

    News Round-up 30 April 2014

  • Italian ILS first

    GC Securities has closed an innovative European catastrophe bond, sponsored by Assicurazioni Generali. Dubbed Lion I Re, the €190m transaction is the first-ever 144A cat bond to provide indemnity protection against Europe windstorm risks and the first from Italy.

    The bond is rated single-B plus by Fitch and priced with a coupon of 2.25%. About 80% of the exposure is .......

    News Round-up 30 April 2014

  • TRACE expansion delayed

    FINRA is said to be delaying the implementation of ABS price dissemination, with technological changes required for the implementation believed to require additional time. The authority will announce a revised implementation date before 22 August, postponing it from the previous announcement date of 25 April. JPMorgan ABS strategists note that effective dates are typically set at least six months after .......

    News Round-up 30 April 2014
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