ABS

  • Tohoku-related distribution disclosed

    CATCo Investment Management has announced that a distribution of 2.887c will be payable to ordinary shareholders of the CATCo Reinsurance Opportunities fund on 24 January. The payment relates to the Master Fund's exposure to the Tohoku earthquake in Japan, following an agreement with a reinsurance counterparty.

    CATCo had two reinsurance counterparties with potential exposure to the event and took a .......

    News Round-up 17 January 2014

  • ILS exposures, sponsors expanding

    S&P rated US$5.16bn of catastrophe bonds last year, a slight increase on 2012's total of US$4.8bn. The number of cat bonds the agency rated in 2013 (approximately 68% of all cat bonds issued last year) was the second highest ever, surpassed only by the total US$6.1bn it rated in 2007.

    Last year, cat bonds were issued by five new sponsors: .......

    News Round-up 17 January 2014

  • MiFID 2 rules agreed

    An agreement in principle has been reached by the European Parliament and the European Council on MiFID 2 rules. The rules are designed to close the loopholes in the existing legislation and include proposals to regulate high-frequency trading.

    The new rules will apply to investment firms, market operators and services providing post-trade transparency information in the EU. They are set .......

    News Round-up 17 January 2014

  • New SLM conduit minted

    Sallie Mae has closed a new US$8bn ABCP facility that matures in January 2016. The facility replaces a US$5.5bn conduit that is set to expire in January 2015, with the remainder available for federally guaranteed loan acquisition or refinancing. Deutsche Bank ABS analysts suggest that Sallie Mae could use the facility to call outstanding FFELP student loan ABS that are .......

    News Round-up 17 January 2014

  • Equity upside benefit in Punch proposal

    Punch's restructuring proposal (SCI 15 January) includes a number of modifications from December, including increased PIK coupons on junior notes. Barclays Capital analysts believe the proposal for Punch A represents a transfer of upside in the recovery of the Punch group from the junior bondholders to Punch equity as a result of the principal write-off in the class B, C .......

    News Round-up 16 January 2014

  • Master ABS structures examined

    French auto originators have over the past 12 months made increasing use of master ABS structures, which provide for the possibility of additional note issuances out of an existing structure. Moody's notes in its latest Credit Insight publication that the use of such structures has credit positives and negatives for French ABS transactions because while these structures provide some protective .......

    News Round-up 15 January 2014

  • Punch restructuring proposal published

    Punch has released the full terms of its restructuring proposal, which represents the culmination of 14 months of stakeholder engagement. The restructuring is conditional upon the approval of the Punch A and Punch B securitisation noteholders, as well as certain other securitisation creditors. Consent solicitation documents relating to each securitisation and a notice of noteholder meetings to be held on .......

    News Round-up 15 January 2014

  • Autos boost ABS supply

    US ABS BWIC volume rose markedly yesterday to US$219m. Offering levels were down slightly for auto loan bonds, which dominated supply, with several tranches debuting in SCI's PriceABS data.

    Among the auto ABS tranches out for the bid that had not previously been picked up by PriceABS was HUNT 2012-1 B, which traded during the session. Also circulating .......

    Market Reports 15 January 2014

  • Basel 3 agenda creeps forward

    The Basel Committee's oversight body, the Group of Governors and Heads of Supervision (GHOS), has endorsed a number of important steps in the completion of the Basel 3 agenda. Although the move entails a dilution of some of the proposed rules, the debate on appropriate capital levels on a risk-weighted and a non-risk based approach is expected to continue.

    First, .......

    News Round-up 15 January 2014

  • Bright spots

    Mixed fortunes in structured finance recruitment

    Certain areas of the structured finance recruitment sector are growing, but large parts remain muted. European activity is all but moribund, while the picture in the US is mixed.

    The US securitised markets show several areas of growth, not least in CLOs. While the CMBS and RMBS sectors are mixed, the ABS market is anticipated to become even quieter going .......

    News Analysis 15 January 2014

  • Further repo impact from tapering

    Tapering and financial regulation will impact the US tri-party repo market again in 2014, says Fitch. The tri-party repo market dropped US$257bn in 2013 and all eyes are now on interest rates and how banks adjust to the Basel 3 leverage ratio.

    The US tri-party repo market as a whole declined to US$1.61trn at end-2013. Agency RMBS repo fell by .......

    News Round-up 14 January 2014

  • Green bond principles supported

    A consortium of investment banks has announced their support for a set of green bond principles developed to serve as voluntary guidelines on the recommended process for the development and issuance of green bonds. The principles encourage transparency, disclosure and integrity in the development of the green bond market, which will use both direct project exposure and securitisation.

    A green .......

    News Round-up 14 January 2014

  • ABCP to feel regulatory squeeze

    Global ABCP credit quality should be stable in 2014, says Moody's. Regulatory uncertainty remains a challenge on both sides of the Atlantic, with European sponsoring banks feeling the squeeze first.

    The credit quality of US ABCP should remain stable this year. Bank credit quality has improved and the continued economic and financial recovery is expected to support steady asset performance.

    News Round-up 14 January 2014

    Premium Content

  • French consumer lending change 'negative'

    French consumer lenders are now offering credit to borrowers on temporary employment contracts who were not previously eligible for loans. This loosening of underwriting criteria is credit negative, says Moody's, because it allows personal loans to be granted to borrowers who carry a higher risk of credit default.

    However, lenders are adding conservative terms and conditions to the loans, which .......

    News Round-up 14 January 2014

  • Foundation for continued growth?

    The US CLO and CMBS sectors saw impressive issuance in 2013, as the recovery in the asset classes continued apace. European volumes, meanwhile, reflect the growing diversity of jurisdictions on offer across the region's ABS market.

    Last year proved to be impressive for US CMBS 3.0 issuance, with conduit volumes totalling US$53.1bn, a 65% increase from US$32.2bn in 2012. US single-borrower/single-asset .......

    News 14 January 2014

  • China risk retention update 'credit positive'

    The People's Bank of China and the China Banking Regulatory Commission last month jointly updated the 5% risk retention rule on Chinese securitisations. The update expands the types of notes that are part of a securitised transaction that originators must retain beyond just the equity tranches to include potentially 5% or more of all tranches, according to Moody's latest Credit .......

    News Round-up 13 January 2014

  • Auto recoveries set to fall

    Average recoveries on defaulted auto loans in both prime and non-prime ABS pools will fall over the next 12 months and start to stabilise at the beginning of 2015, according to Moody's. Based on an analysis of Manheim Index data, the agency expects recoveries on defaulted auto loan ABS to decline to 50%-60% in the prime segment and to 40%-50% .......

    News Round-up 13 January 2014

  • Italian SME review released

    Fitch has published its latest SME market review, focusing on the Italian SME securitisation sector. The majority (99.9%) of enterprises active in the Italian economy are SMEs, accounting for 81% of the workforce. Yet SMEs in the country face an unfavourable business environment: the 2013 World Bank Doing Business survey ranked Italy 30 out 31 OECD countries in the ease .......

    News Round-up 10 January 2014

  • RFC issued on life settlement criteria

    AM Best has requested comments on its draft life settlement securitisation criteria report. The report reflects changes and refinements the agency made to an earlier draft, released in September, after receiving comments and having discussions with market participants.

    The changes and refinements to the initial draft criteria report include: an assumption that the excess mortality ratings produced by medical underwriters .......

    News Round-up 10 January 2014

  • Card performance hits 'historic' levels

    Fitch reports that most of its prime credit card ABS indices touched historic levels in 2013. The Fitch Prime 60+ Day Delinquency and Charge-off Indices may be approaching their troughs, however.

    Fitch's Prime 60+ Day Delinquency Index increased by 2bp in December to 1.27%, albeit 60+ day delinquencies remain relatively low compared to one year ago when they were 1.73%. .......

    News Round-up 9 January 2014

  • AlphaCat sidecar formed

    Validus Holdings has joined with other investors in capitalising its AlphaCat 2014 collateralised sidecar, which fully deployed its capital for the 1 January 2014 renewal season. The vehicle was funded with US$160m of equity capital, with third-party investors contributing US$138m and the balance provided by Validus. AlphaCat Managers will underwrite business for AlphaCat 2014, for which it will be paid .......

    News Round-up 9 January 2014
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