ABS

  • SPVs implementing FATCA remedies

    SPVs incorporated outside the US are likely to take the necessary steps required to ensure that they do not incur losses related to FATCA, Moody's suggests. In cases where SPVs do not take remedial action, the agency says it will assess the negative impact of such losses on the ratings of the relevant notes.

    FATCA will impose a withholding tax .......

    News Round-up 25 February 2014

  • TRACE reprieve for CDOs, CMBS

    FINRA will exclude CDOs, CBOs, CLOs and non-agency CMBS from its proposal to expand TRACE's coverage of securitised products (SCI 5 November 2013). The move comes after SIFMA submitted a comment letter on the proposal to the SEC (SCI 9 January).

    Specifically, CDOs, CBOs, CLOs and non-agency CMBS will not be classified as 'asset-backed securities' (as defined in proposed FINRA .......

    News Round-up 25 February 2014

  • Data transparency offered

    Moody's Analytics has launched a new Structured Finance Portal that is designed to provide enhanced content, increased data transparency and innovative analytics. Initially focusing on CLOs, the service aims to deliver greater operational efficiency by removing the manual process typically associated with normalising and aggregating data.

    "With our new Structured Finance Portal, users will have a clear view into the .......

    News Round-up 24 February 2014

  • Canadian ABS to remain robust

    DBRS notes in its annual review of Canada's structured finance market that the combined effect of conservative underwriting, modifications to mortgage lending rules and improving economic conditions provided a solid foundation for securitised portfolios in 2013. For the second year in a row, the market saw combined term ABS and ABCP issuance of over C$26bn.

    Underlining the strong asset performance .......

    News Round-up 21 February 2014

  • All about autos for US ABS

    US ABS secondary supply was mainly concentrated in auto loan bonds yesterday. BWIC volume was slightly lower than the previous session at US$134m, with SCI's PriceABS data showing a number of successful covers.

    The 2012 and 2013 vintages were prevalent among the auto names out for the bid. For example, the FORDL 2012-B A3 tranche was covered at .......

    Market Reports 21 February 2014

  • Further CRA improvements required

    ESMA has published its Annual Report 2013 on credit rating agencies (CRAs) in the EU. The report also outlines the authority's supervisory work plan for this year.

    The report notes that CRAs continue to progress in how they comply with the CRA regulation, including improved internal transparency and disclosure to the market on credit rating activities, as well as empowerment .......

    News Round-up 21 February 2014

  • Tobacco settlement methodology updated

    Moody's has updated its methodology for rating tobacco settlement revenue securitisations, affecting around US$19bn of ABS bonds. The rating agency has upgraded 55 tranches, downgraded seven tranches, confirmed 73 tranches that were placed on review last year and affirmed a further three tranches.

    Moody's has amended its cashflow modelling assumptions related to the non-participating manufacturer (NPM) adjustment provisions of the .......

    News Round-up 21 February 2014

  • Asset finance team beefs up

    Carey Hansford has joined Aldermore Bank's asset finance team as structured products business development manager. She is based in Bristol, UK.

    Hansford previously worked at GE Capital and at Black & White Organisation Company. She held several roles at GE, including funding manager and UK capital markets servicing leader.

    .......

    Job Swaps 21 February 2014

  • Advisory adds risk specialist

    Sheila Stamps has joined CIT Group's board of directors and will serve as a member of the firm's risk management and regulatory compliance committees. She was previously at Dreambuilder Investments and has also worked at the New York State Common Retirement Fund, FleetBoston Financial, Bank One Corporation and First Chicago Corporation, with experience in European and US ABS.

    .......

    Job Swaps 20 February 2014

  • Reg AB 2 recommendations filed

    SFIG says it has filed a letter with the US SEC recommending revisions to the loan-level disclosure schedule proposed under Regulation AB 2. The association's RMBS Loan-Level Disclosure Subcommittee held a series of meetings from late-2013 through January 2014 to discuss improvements to Schedule L, with the goal of proposing enhancements that could be adopted by the SEC in the .......

    News Round-up 20 February 2014

  • ILS index adds dollar hedge

    Eurekahedge and ILS Advisers have released a US dollar hedged version of their benchmark Eurekahedge ILS Advisers Index. The index was incepted in December 2005 and has returned 71.27% through January 2014.

    The Eurekahedge ILS Advisers Index is an equally-weighted index that tracks the performance of 32 hedge funds that explicitly allocate to insurance-linked investments and have at least 70% .......

    News Round-up 20 February 2014

  • Supply squeeze

    Spread compression to drive non-core issuance

    A supply squeeze in European ABS is driving spread compression across asset classes and between senior and junior tranches. Against this backdrop, non-senior and non-core issuance is expected to pick up.

    Rob Ford, ABS portfolio manager at TwentyFour Asset Management, questions whether there is room for European ABS spreads to move any tighter at the top end of the market. .......

    News Analysis 19 February 2014

  • Call prospects up in container ABS

    Calls are expected to be the primary area of focus in 2014 for container ABS investors. Wells Fargo structured product strategists note that many 2012 deals are callable beginning in 2Q14 and, based on current approximate yield levels, these call prospects are quite cuspy.

    Seven container ABS were called in 4Q13: three 1.0 deals (GESEA 2004-1 and 2005-1 and TCF .......

    News Round-up 18 February 2014

  • MSHDA case to set precedent?

    The Lehman bankruptcy court in December applied the US Bankruptcy Code's safe harbour for swaps in determining that the provisions of a swap agreement Lehman was a party to with the Michigan State Housing Development Authority (MSHDA), which addressed the calculation of settlement amounts upon termination of the swap, when liquidation provisions fall within the safe harbour. Moody's notes that .......

    News Round-up 18 February 2014

  • CMBS commutations announced

    MBIA Insurance Corp has disclosed that it commuted policies insuring approximately US$3bn of CMBS exposure, in which the reference CMBS were originally rated single-A, for a cost in excess of the third-quarter statutory loss reserve. The monoline says it now has approximately US$760m of CMBS exposure remaining, in which the reference obligations were originally rated triple-B, of which approximately US$391m .......

    News Round-up 17 February 2014

  • New Russian SPVs highlighted

    The official text of Federal Law No. 379-FZ 'On Amendments to Certain Legislative Acts of the Russian Federation' was published on 23 December 2013 (SCI passim). A recent Liniya Prava client memo outlines the highlights of the legislation as it pertains to securitisation.

    The law provides for the securitisation of non-mortgage assets and creates a legal framework for project finance .......

    News Round-up 14 February 2014

  • Stable outlook for Canadian ABS

    Moody's is maintaining its stable outlook for Canadian ABS and RMBS in 2014 because of the improving Canadian economy, which should support already strong collateral performance. Assets backing Canadian ABS and RMBS are predominantly consumer receivables, whose performance correlates to economic conditions.

    "Rising Canadian GDP and employment bode well for the performance of securitised collateral," says Richard Hunt, a Moody's .......

    News Round-up 14 February 2014

  • Solar platform enhanced

    Solar energy firm Mercatus has released its second-generation platform to accelerate securitisations of residential and commercial portfolios. Mercatus 2.0 includes new and enhanced features, such as portfolio analysis and automated ratings for both the residential and commercial segments. It also features enhanced tools to help investors make more informed decisions when allocating budgets and resources with enhanced data and analytics .......

    News Round-up 14 February 2014

  • Best practices

    Noteholder communications, technology and clearing systems discussed

    Participants in SCI's latest corporate trust roundtable met in December to discuss post-closing best practices and noteholder communications. Technology and documentation challenges, as well as improvements to the clearing systems were among the topics covered. (The full SCI Corporate Trust Roundtable discussion can be downloaded here.)

    Corinne Smith, SCI: Investor concern over securitisation noteholder communications is increasing. I .......

    News Analysis 13 February 2014

  • Op risk proposal to be revised

    S&P is making a number of changes to its proposed methodology for assessing operational risk in structured finance transactions, based on responses it received to its RFC (SCI 5 October 2011). The changes include additional operational risk factors, revised risk considerations for key transaction parties based on the substance of their roles and additional transparency regarding circumstances where, because of .......

    News Round-up 13 February 2014

  • Diversified aircraft ABS prepped

    Goldman Sachs is in the market with Castlelake Aircraft Securitization Trust 2014-1. The US$515.57m transaction is believed to be the first aircraft securitisation to feature turboprop collateral.

    The deal is supported by a pool of 79 aircraft initially leased to 26 lessees located in 17 countries, representing approximately 58% of sponsor Castlelake's managed aircraft fleet by number of aircraft. The .......

    News Round-up 13 February 2014
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