ABS

  • 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

  • A merry-go-round of reform

    Anu Munshi, managing partner at B&B Structured Finan...

    Anyone trying to keep track of bank regulations should be excused for clutching their head, screaming or both. The dizzying rash of regulations - with their revisions, implementation dates and their interpretation by different regions - is enough to give one a headache.

    Take the credit valuation adjustment (CVA) charge for OTC derivative trades required by Basel 3 as an .......

    Talking Point 13 February 2014

  • Cards lead ABS rebound

    US ABS BWIC volume surged to US$241m yesterday, up from just US$77m the day before. Supply was skewed towards credit card and auto bonds, where offering levels were mostly unchanged.

    SCI's PriceABS data captured a range of names during the session, including CHAIT 2012-A3 A3, which was talked at plus 15 - having been talked last month at .......

    Market Reports 13 February 2014

  • Seasonality affects auto valuations

    There can be significant month-to-month changes in US auto loan ABS prepayment speeds. This degree of seasonality introduces valuation considerations that some investors may not have considered.

    An analysis by Wells Fargo consumer ABS analysts suggests that traders should pay particular attention to the calendar when buying and selling auto loan ABS. They note that short-run changes in prepayment speeds .......

    News 13 February 2014

  • Shadow banking constraints examined

    S&P suggests that a number of factors could constrain the growth of shadow banking in Western Europe. This is despite evidence of a growing need for alternatives to bank financing.

    In the eurozone, the cumulative shrinkage in bank balance sheets between the peak and October 2013 stood at €3.5trn, or 10% of the aggregated balance sheet of eurozone banks. In .......

    News Round-up 12 February 2014

  • Chinese pilot programme assessed

    A well-operated securitisation market could contribute to funding diversification and balance sheet management in China, according to S&P. It could also facilitate economic reforms and further development in the country in the near future.

    The aggregate issuance amount under China's credit asset securitisation pilot programme reached RMB24.13bn between 2012 and September 2013, according to the People's Bank of China. This .......

    News Round-up 12 February 2014

  • Stable outlook for Russian SF

    Moody's outlook for the performance of Russian RMBS and ABS in 2014 is stable. The agency's view is underpinned by robust collateral performance, continued - albeit slower - economic growth and stabilised house prices.

    Moody's expects the performance of Russian RMBS and ABS transactions to remain relatively stable, even though economic indicators have weakened and portfolio composition in recent transactions .......

    News Round-up 12 February 2014

  • Shortfalls expected for Queen Street ILS

    S&P has respectively lowered to double-C from double-B minus and single-B plus its ratings on the US$100m Queen Street II Capital and the US$150m Queen Street III Capital catastrophe bonds. At the same time, the agency removed the ratings from credit watch, where they were placed with negative implications in November (SCI 25 November 2013).

    The notes were issued under .......

    News Round-up 12 February 2014

  • CRA3 consultation underway

    ESMA has published a consultation paper setting out the draft regulatory technical standards (RTS) required for the implementation of the CRA3 regulation. The draft RTS - which complements the existing regulatory framework for credit rating agencies (CRAs) - cover: disclosure requirements on structured finance instruments (SFIs); the European Rating Platform (ERP); and the periodic reporting on fees charged by CRAs.

    News Round-up 11 February 2014

  • RFC issued on CRA code

    IOSCO has published a consultation report on its 'Code of Conduct Fundamentals for Credit Rating Agencies', which proposes significant revisions and updates to the current CRA code. The organisation proposes to revise the code to take into account the fact that CRAs are now supervised by regional and national authorities.

    The goal is to create an updated IOSCO CRA code .......

    News Round-up 11 February 2014

  • Higher recovery rates boost auto ABS

    Moody's expects UK auto ABS to benefit from higher recovery rates on defaulted contracts and reduced numbers of voluntary terminations (VTs). Both these credit-positive elements are a function of higher used car values in 2014, driven by increasing demand for UK vehicles, and the limited supply of newly used cars following lower new car sales in previous years.

    High used .......

    News Round-up 11 February 2014

  • WACC guidance weighs on water ratings

    S&P notes that new regulatory guidance could bring rating stress for UK water utilities. Water sector regulator Ofwat recently offered new lower guidance on allowed weighted-average cost of capital (WACC) for the 2015-2020 regulatory period, which is expected to impact utilities' business plans by eroding cashflows. Some companies may therefore rework their plans to include mitigating measures.

    To encourage competition .......

    News Round-up 10 February 2014

  • Stable outlook for Canadian SF

    S&P expects Canadian consumer ABS credit ratings to remain stable in 2014, despite the likelihood of moderate deterioration in underlying collateral performance. The agency believes that new issuers will balance the lack of upcoming maturities from existing ABS issuers, with total issuance volume remaining at around C$11.5bn - split among credit card ABS (C$6bn), auto and equipment ABS (C$2bn), CMBS .......

    News Round-up 10 February 2014

  • UK debt firms to combine

    Cabot Credit Management (CCM) has agreed to acquire Marlin Financial Group for £295m. The acquisition combines CCM's consumer debt expertise with Marlin's specialised debt buying capabilities.

    Combining the firms' core strengths, CCM and Marlin will expand their ability to grow revenues across a range of debt types. The combined company also expects to create further operational efficiencies by applying industry .......

    Job Swaps 10 February 2014

  • RFC issued on Canadian ABCP

    The Canadian Securities Administrators (CSA) has published for comment proposed amendments relating to the short-term debt prospectus exemption in its 'National Instrument 45-106 Prospectus and Registration Exemptions' rule. The proposals include: a new prospectus exemption designed to address the prospectus-exempt distribution of short-term securitised products, primarily ABCP; and amendments to the short-term debt prospectus exemption to address the prospectus-exempt distribution .......

    News Round-up 7 February 2014

  • ABS supply picks up

    US ABS BWIC volume picked up yesterday to around US$184m, with supply mainly driven by auto names. However, SCI's PriceABS data also captured a variety of aircraft, credit card, equipment and student loan tranches out for the bid.

    Much of the supply came from auto tranches such as AMCAR 2012-4 D, which was talked in the 90 area. .......

    Market Reports 5 February 2014

  • Captive autos outperform in Europe

    European captive auto loan ABS collateral strongly outperforms non-captive collateral, according to DBRS. Four years after origination, average captive auto ABS arrears over 60 days are at 1%, compared to 5.6% for non-captive transactions.

    The difference in performance is due to factors such as region, vintage, loan seasoning, underwriting and structure. Captive issuers also have a strong advantage at the .......

    News Round-up 5 February 2014

  • Aircastle redemption offers upside

    In a move that surprised the market, Aircastle is set to prepay the senior notes of the ACST 2006-1 aircraft ABS on 18 February. The ACST 2007-1 G1 securities rallied as a result, rising from the low- to mid-90s to the mid- to high-90s.

    The deal was callable at any time by the issuer. Since it had not been refinanced .......

    News Round-up 4 February 2014

  • Strong fundamentals seen in equipment ABS

    Lessons learned from the last two broader economic recessions leave US equipment ABS well-positioned to weather future economic downturns, Fitch says. This is in stark contrast to the elevated delinquency and loss levels that small-ticket equipment ABS suffered during the 2000/2001 recession.

    Fitch's analysis shows that equipment ABS weathered the most recent downturn reasonably well. Part of the reason for .......

    News Round-up 4 February 2014

  • South African SF to remain 'resilient'

    Fitch predicts that the performance of assets backing South African structured finance will be resilient in 2014 amid a stalling domestic economy. The agency consequently expects the South African structured finance transactions it rates to perform within base-case assumptions.

    Borrowers continue to benefit from a low interest rate environment, which has helped offset lacklustre growth in the country and aid .......

    News Round-up 4 February 2014

  • Sukuk industry poised for growth

    Long-term prospects for the sukuk industry remain promising, according to S&P. The agency notes that regulators continue to build and strengthen their frameworks to minimise barriers in the market and deepen liquidity.

    "After a slowdown in 2013, with sukuk volumes declining by 13%, we anticipate that the sukuk industry will expand again in 2014 - partly driven by corporate and .......

    News Round-up 4 February 2014
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