ABS

  • 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

  • Charge-offs hit new lows

    A steady decline in credit card delinquencies coupled with lower bankruptcy rates pushed US credit card ABS charge-offs to new lows in the first quarter, according to Fitch's latest quarterly index for the sector. Average charge-offs fell to 3% for 1Q14 from 3.04% in 4Q13, marking 15 consecutive quarters of improvement, with the level now approximately 25% lower year-over-year.

    "Consumers .......

    News Round-up 29 April 2014

  • 'Credit card' ABS first in China

    A deal generally being seen as the first credit card ABS in China came out last month, although Moody's notes in its latest 'Structured Thinking: Asia Pacific' publication that the transaction is essentially an auto loan ABS. The deal was sponsored by China Merchants Bank.

    CMB's credit card operation originated the receivables, but there are a couple of very different .......

    News Round-up 29 April 2014

  • RFC issued on credit card ABS

    Moody's is requesting feedback from market participants on proposed changes to its approach to rating securitisations backed by credit card receivables and revolving consumer loans across all jurisdictions. The proposal modifies assumptions about credit card portfolio performance under stress and more explicitly incorporates the credit quality of the sponsor into the agency's rating analysis.

    The proposed changes will address key .......

    News Round-up 29 April 2014

  • APRA to simplify securitisation approach

    The Australian Prudential Regulation Authority (APRA) has released for consultation a discussion paper on its proposals to simplify the prudential framework for securitisation for authorised deposit-taking institutions (ADIs). The authority says that the prudential framework for securitisation needs to be "clear and simple for stakeholders to understand".

    APRA's proposals take into account the lessons learned from the financial crisis and .......

    News Round-up 29 April 2014

  • US ABS supply inches higher

    US ABS BWIC volume was subdued yesterday, just creeping above US$50m. SCI's PriceABS data shows supply dominated by auto ABS paper, although a mix of other collateral types also appeared on bid-lists.

    Most of the action was in the auto space, where the AESOP 2012-3A A tranche was talked at 100 handle and covered at 99.34. .......

    Market Reports 29 April 2014

  • Euro performance remains strong

    The credit performance of European structured finance over the financial downturn remains strong. Only 1.5% of notes outstanding in mid-2007 defaulted by end-2013, according to S&P's latest quarterly transition study.

    Consumer transactions have outperformed corporate transactions by a wide margin, with a cumulative default rate since mid-2007 of only 0.05% and a cumulative downgrade rate of 29.1%, compared with 5.01% .......

    News Round-up 28 April 2014

  • PAYE growth 'ABS neutral'

    The rapid growth of the Pay as You Earn (PAYE) plan to cap student loan obligations is neutral for US student loan ABS, says Fitch. The rating agency is uncertain of the chances of the scheme being expanded.

    The plan currently only affects federal direct loan borrowers - of which there are now 1,300,000 owing a total of US$72bn - .......

    News Round-up 25 April 2014
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