ABS

  • 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

  • FINRA urged to revisit TRACE proposal

    SIFMA has submitted a comment letter to the SEC on FINRA's proposed rule change relating to TRACE reporting and dissemination of transactions in additional ABS (SCI 5 November 2013). The association requests that FINRA not implement this proposal and instead engage in further discussion with the industry as to how best to preserve ABS market liquidity and re-propose this proposal .......

    News Round-up 9 January 2014

  • Indian trade reporting mandated

    As part of its efforts to improve transparency in the Indian securitisation market, the Securities and Exchange Board of India (SEBI) has issued a circular requiring reporting and clearing of trades to be implemented by 1 April. Reporting platforms will provide data to include issuer name, ISIN number, face value, maturity date, current coupon, last price reported, last amount reported .......

    News Round-up 8 January 2014

  • European NPLs and the advantages of securitisation

    Dennis Buckley, director at Credit Mediation Limited, discus...

    Estimates from reports compiled by PwC and EY put the current volume of non-performing loans (NPLs) made by banks within the EU at between €1.2trn and €1.5trn, with these levels expected to rise further in the next few years. The market has seen a number of high-profile sales of large NPL portfolios, the most recent being Lloyds' sale of its .......

    Talking Point 7 January 2014

  • ABS bid-lists reappearing

    Auto and credit card bonds dominated supply in the US ABS secondary market yesterday, as BWIC volume begins to pick up following the seasonal break. SCI's PriceABS data also shows a number of timeshare ABS tranches out for the bid, with bid-list volumes totalling just over US$100m for the session.

    The auto ABS bonds circulating yesterday included the .......

    Market Reports 7 January 2014

  • SLM servicing disruptions eyed

    As Sallie Mae transitions certain assets and functions under its reorganisation (SCI 30 May 2013), both newly created entities - SLM BankCo and NewCo - could see some short-term servicing disruptions. Indeed, Sallie Mae disclosed during its third-quarter earnings call that an increase in delinquency from the previous quarter was caused by the transition of the company's private credit portfolio .......

    News 6 January 2014

  • Quota share sidecar launched

    SCOR has placed a fully collateralised sidecar, Atlas X Reinsurance, which will provide the firm with an additional three-year capacity of US$55.5m from a new panel of investors. Atlas X - an Irish-domiciled special purpose reinsurance vehicle - and SCOR Global P&C have entered into a quota share retrocession agreement, under which Atlas X will reinsure a proportional share of .......

    News Round-up 6 January 2014

  • Solvency revisions still strict

    EIOPA has recalibrated the proposed Solvency 2 spread risk charges for securitisations to increase differentiation between ABS asset classes (SCI 20 December 2013). However, securitisation remains heavily penalised under the current proposals, with the capital charges potentially making it more efficient to invest in the underlying assets than in a securitised bond.

    While proposed capital charges for some bonds are .......

    News 3 January 2014
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