ABS

  • 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

  • Amlin ups interest in ILS manager

    Amlin has reached a non-binding agreement in principle to increase its existing interest in Leadenhall Capital Partners (LCP), which Amlin established in joint venture with LCP's individual partners in 2008. Under the terms of the agreement, Amlin will increase its current 40% interest in the business to 75%.

    The consideration will be determined by the profitability of the business, subject .......

    Job Swaps 7 July 2014

  • Clean-up call candidates identified

    The ECB's TLTRO operation entitles banks to initially borrow up to €400bn for four years at a fixed rate of 25bp. The availability of this low-cost funding increases the likelihood of originators exercising clean-up calls in European ABS and RMBS deals, according to Citi securitised product strategists.

    Issuers generally have the right to call outstanding notes at par once the .......

    News 4 July 2014

  • Investor confidence underscored

    Efforts to improve the functioning of the European securitisation market will not be successful without a confident investor base, Fitch suggests. The agency says that investor confidence is limited by the lack of clarity and consistency in the regulatory treatment of securitised paper and that issuing additional or alternative ratings which ignore some credit risks present in securitisations could ultimately .......

    News Round-up 4 July 2014

  • Hertz delay to trigger lease EOD?

    The Hertz Corporation has delayed filing its 1Q14 10-Q financial statement, triggering a potential lease event of default within its US rental car ABS structures that could cause an amortisation event for each series of notes secured by the lease. After applicable grace periods expire and absent a cure, a vote by more than 50% of class A noteholders of .......

    News Round-up 4 July 2014

  • Green light for ABS, RMBS ratings

    Morningstar Credit Ratings' designation on the NAIC credit rating provider (CRP) list has been extended to cover all ABS and MBS. Previously the designation only covered CMBS.

    The amendment became effective last month and provides insurance companies with an extra option among rating providers for determining risk-based capital under NAIC guidelines. Investors using a designated CRP are exempt from making .......

    News Round-up 3 July 2014

  • Cat bond pricing floor emerging?

    Munich Re last week withdrew its latest catastrophe bond issuance - Queen Street X - due to weak demand. Pushback on the deal's pricing could be a sign that investors are approaching a limit on acceptable catastrophe risks, according to Fitch.

    Ratios of risk premiums to expected loss have fallen dramatically in the cat bond market over the past several .......

    News Round-up 3 July 2014

  • CCRIF sees cat bond firsts

    GC Securities has placed the first catastrophe bond directly issued by the World Bank, via member institution the IBRD. The US$30m CCRIF catastrophe-linked capital at risk notes provide three years of annual aggregate protection for hurricane and earthquakes affecting 16 Caribbean countries participating in the Caribbean Catastrophe Risk Insurance Facility (CCRIF), representing the first time that the initiative has tapped .......

    News Round-up 3 July 2014

  • Securitisation task force established

    The Basel Committee and IOSCO are co-leading a task force that will undertake a wide-ranging survey of global securitisation markets. To gain a better understanding of market participants' views, the cross-sectoral Task Force on Securitisation Markets has set up an online survey, which should be completed by 25 July.

    Established in consultation with the International Association of Insurance Supervisors (IAIS) .......

    News Round-up 3 July 2014

  • CLO lawyer becomes partner

    Appleby has promoted Benjamin Woolf to partner. The structured finance specialist is a member of the corporate and commercial practice group.

    Woolf has particular expertise in CLOs. Before joining Appleby in 2011 he worked at Clifford Chance and Mayer Brown, where he focussed mainly on securitisation and asset-backed financing.

    .......

    Job Swaps 3 July 2014

  • Italian servicers adapting to NPL increase

    S&P suggests that the recent rise in Italian non-performing loan volumes could create new growth opportunities for Italian loan servicers. The agency reports that the Italian servicers it ranks have positioned themselves well to be able to manage some of the NPLs that banks and financial institutions could either sell to investors or outsource the servicing.

    The volume of NPLs .......

    News Round-up 2 July 2014

  • PCS criteria revised

    Prime Collateralised Securities (PCS) has introduced the first substantial revision of its criteria in relation to high quality securitisations. The move is designed to raise the standard enshrined in the label, with a few criteria being softened or removed when they proved not to add anything to the quality represented by the label or when the market could demonstrate that .......

    News Round-up 2 July 2014

  • Slow start for US ABS

    US ABS bid-list activity was very low to start the holiday-shortened week. SCI's PriceABS data picked up student loan paper from both Sallie Mae and Navient, which spilt off in April.

    ABS BWIC volume for the session was just US$35m according to Interactive Data. Along with the student loan tranches there was also some credit card .......

    Market Reports 1 July 2014

  • SLABS delinquencies tick down

    Delinquencies remain stable to slightly lower for US private label student loan ABS. Fitch's latest quarterly index suggests delinquencies could decline further in the coming months.

    There was a very slight decrease in 90- and 120-day delinquencies in the first quarter of the year. Late-pays on for-profit student loan ABS declined to 0.76% in Q1, while late-pays on not-for-profits fell .......

    News Round-up 1 July 2014

  • Japanese PPR credit positive

    A record high principal payment rate (PPR) on credit cards in Japan is credit positive, Moody's notes in its latest Structured Thinking: Asia Pacific publication. The rate means securitisations backed by Japanese credit cards have a reduced risk of losses from defaults.

    A high PPR encourages card holders to clear their debt sooner, which shortens credit card ABS maturities and .......

    News Round-up 1 July 2014

  • Autos fuel ABS activity

    US ABS secondary market activity remained moderate in yesterday's session, with BWIC volume of a little over US$200m. SCI's PriceABS data shows a large number of auto ABS tranches out for the bid.

    ACAR 2014-2 C was talked in the low/mid-200s - as it had been on Monday - and was covered in the low-200s. The .......

    Market Reports 25 June 2014

  • Auto underwriting concerns raised

    US auto ABS performance for the rest of 2014 should be stable despite increased concern about underwriting, says Fitch. Losses are expected to hover at or near record lows for prime auto ABS.

    The rating agency notes that underwriting is becoming more aggressive, with a rising number of lowest-FICO and credit tier buckets in prime auto ABS pools. If that .......

    News Round-up 25 June 2014

  • FFELP servicers on top of reject rates

    US FFELP student loan ABS servicers "have done an admirable job" keeping net claim reject rates down, says Fitch. However, the rating agency is unsure that this can be maintained.

    Since the FFELP programme ended in 2010, servicers have had to adjust to several changes. Keeping net claim reject rates under control in order to prevent sizable ABS losses has .......

    News Round-up 25 June 2014

  • Card delinquencies to hit new lows

    Credit card ABS delinquencies should reach new lows for the May reporting period, says Fitch. Prime chargeoffs are also expected to decline toward previous records and the 60-plus day delinquency index should also approach its low, although retail chargeoffs are anticipated to rise slightly.

    Delinquencies may rise again slightly but should stay below historic averages as originators begin to loosen .......

    News Round-up 24 June 2014

  • FFELP ABS criteria updated

    Fitch has published its updated criteria for rating US FFELP student loan ABS. The changes revise the agency's standard default rate assumptions and extend the default timing for consolidation loans.

    Fitch's standard default rate assumptions used in cash flow modelling when issuer-specific data is not available are based on 22 years of industry FFELP loan performance. Recent performance data indicates .......

    News Round-up 24 June 2014

  • Euro ABS trader joins NY team

    One William Street Capital Management has added Chris Brown as a vp in New York to support the firm's European ABS trading business. He was most recently a European RMBS and ABS trading vp at Deutsche Bank and has also worked for Capital One.

    .......

    Job Swaps 24 June 2014
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