ABS

  • 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

  • Strong ILS demand to continue

    As investor demand has continued to grow for catastrophe bonds, sponsors have been able to offer deals at considerably lower coupon rates and with increasingly favourable structures that suit individual company requirements, Fitch notes. The agency suggests that continued strong demand for a diversifying set of risks remains the key driver of the ILS market.

    The cat bond sector experienced .......

    News Round-up 3 January 2014

  • CRA examination report issued

    The US SEC has issued its annual staff report on the findings of examinations of the 10 credit rating agencies registered as NRSROs. Among the areas examined are whether each NRSRO conducts business in accordance with its policies, procedures and methodologies, as well as how an NRSRO manages conflicts of interest and whether it maintains effective internal controls.

    The 2013 .......

    News Round-up 2 January 2014

  • HQLA move welcomed

    Further details have emerged on the EBA's updated definition of high quality liquid assets (HQLA) in relation to RMBS (SCI 20 December). Under the clarifications, RMBS bonds with the following criteria will be counted as HQLA for the purposes of the LCR: ratings of at least AA-/Aa3; minimum issue size of €100m-equivalent; maximum time to maturity of five years; and .......

    News Round-up 24 December 2013

  • Euro ABS, MBS outlooks mixed

    After declining this year for the first time since 2008, European ABS volumes are expected to rise again in 2014. European RMBS volumes are anticipated to be broadly steady next year, while the growth seen in investor-placed European CMBS issuance could slow, according to S&P.

    Investor-placed ABS issuance reached about €20bn in 2013, down from €27bn in 2012. That is .......

    News Round-up 24 December 2013

  • ABCP outstandings to decline

    S&P believes that the US ABCP industry will continue to face obstacles to growth in 2014, specifically the complex regulatory environment, the sluggish economy and prolonged low interest rates. US ABCP outstandings reached a peak of US$1.2trn in July 2007, but declined sharply to US$254.1bn, as of 18 December 2013. The agency expects outstandings to modestly decline to US$210bn-US$240bn next .......

    News Round-up 24 December 2013

  • Cherry picking

    Euro relative value trades explored

    The European securitisation market offers a number of relative value opportunities going into 2014. Top picks include CLO 1.0, mezzanine CMBS and peripheral RMBS bonds.

    European ABS relative value is being driven by seemingly irrational investor behaviour and US appetite, according to Peter Nowell, head of ABS trading at BNP Paribas. He cites Dutch RMBS as an example: the sector .......

    News Analysis 24 December 2013

  • Rules of engagement

    Dialogue helps take edge off regulatory requirements

    Regulatory decisions and indecision have set the tone for structured finance around the world since the financial crisis. The European market in particular has been choked by tight guidelines, but there are signs of a softening regulatory stance as the industry continues to engage with regulators and policymakers.

    "The structured finance market is not dead. It has restarted in the .......

    News Analysis 24 December 2013

  • KBC PPA amended

    The Belgian government has amended the Portfolio Protection Agreement (PPA) for KBC's CDO and ABS portfolio and added an incentive for the bank to accelerate reduction of the remaining exposure. Additional clauses have been added to the revised agreement that grant KBC a conditional discount on the outstanding premiums, under certain strict conditions and limited to a set maximum amount.

    News Round-up 23 December 2013

  • Modest rise for Indian ABS delinquencies?

    Fitch reports that a continued deceleration in India's economic growth in 2014 will hurt the payment ability of all commercial vehicle (CV) loan obligors in the country. The agency expects the 90+ days past due rate of all Fitch-rated CV loan ABS transactions to increase in 2014, with the increases more marked in recent vintages. Fitch expects 180+ day delinquencies .......

    News Round-up 23 December 2013

  • Punch downgraded ahead of restructuring

    Moody's has downgraded the ratings of six classes of notes issued by Punch Taverns Finance (Punch A) and three classes of notes issued by Punch Taverns Finance B (Punch B). The Punch A M1 and M2, as well as Punch B B1 and B2 notes remain on review for possible downgrade.

    The rating action was prompted by the progress update .......

    News Round-up 23 December 2013

  • Budget to pressurise SLABS servicers

    Fitch expects the budget agreement that passed in US Congress last week to pressurise FFELP guarantors and smaller student loan servicers, as well as add incremental risk to student loan ABS pools. The US$1.01trn budget removes approximately half of the sequestration cuts and reduces government payments to FFELP guarantors and non-for-profit servicers servicing federal direct loan programmes. It also decreases .......

    News Round-up 23 December 2013

  • RBA reporting templates finalised

    The Reserve Bank of Australia (RBA) has finalised its reporting requirements for CMBS and other ABS, as well as measures to strengthen borrower privacy under the RMBS reporting arrangements, following a consultation on proposed new eligibility criteria (SCI 3 October). The implementation date for the new reporting requirements for CMBS and other ABS is 30 June 2015.

    From this date, .......

    News Round-up 23 December 2013

  • Rising sun

    Solar ABS market generating momentum

    Recent solar securitisation deals in both the UK and US bode well for the future of the asset class. However, achieving scalability is just one of the challenges in making the move from an esoteric asset class to a mainstream ABS product.

    Independent Debt Capital Markets recently placed TRFC 2013-1 with six investors in the UK (SCI 20 December). But .......

    News Analysis 23 December 2013

  • Auto ABS delinquencies steady

    Prime auto loan ABS delinquencies and losses were steady in November as consumers continue to pay down their auto debt, according to Fitch's latest index results for the sector. Positive economic factors, coupled with stable used vehicle values are supporting auto loan ABS performance - a trend that the agency expects to continue into early 2014.

    Both prime and subprime .......

    News Round-up 20 December 2013

  • Canada poised for issuance up-tick

    With a sound economy, solid financial institutions and strong regulatory regime, new securitisations in Canada are poised for higher activity headed into next year, Fitch suggests. Although issuance is unlikely to reach levels seen during peak years, the agency expects increased activity across several asset classes.

    Among them is CMBS, where activity - while modest - has improved in recent .......

    News Round-up 20 December 2013

  • Second loan-level phase prepped

    LCM Partners has won a tender from the ECB to provide advisory services on the second phase of the ABS Loan Level Initiative, an ECB initiative that has the primary goal of restoring investor confidence in the European ABS market. LCM has been working with the central bank since 2009 and will continue to provide advisory services on this programme, .......

    News Round-up 20 December 2013

  • EIOPA eyes 'granular' treatment of ABS

    EIOPA has released its technical report on standard formula design and calibration for certain long-term investments. The report's key proposal is to introduce a more granular treatment of securitisations.

    Instead of the currently proposed uniform 7% spread risk charge for triple-A rated securitisations, EIOPA recommends decreasing the charges for less risky issues to 4.3% while increasing them for riskier ones .......

    News Round-up 20 December 2013

  • New recruit expands Euro reach

    Cantor Fitzgerald Europe has grown its structured credit sales and trading team by appointing Juergen Haferkorn as md in London. He will focus on ABS and help to expand Cantor's reach in German-speaking countries. Haferkorn has previously worked at MBIA and BAWAG.

    .......

    Job Swaps 20 December 2013

  • Italian segregation law 'credit positive'

    The Italian government last week approved amendments to Law 130/1999 that improve the segregation of transaction funds and, in the case of a debtor default, limit potential claw-backs of prepayments. Moody's suggests in its latest Credit Outlook publication that these measures are credit positive for Italian securitisations and covered bond programmes because they will reduce certain risks associated with servicer .......

    News Round-up 19 December 2013

  • Second securitisation consultation launched

    The Basel Committee has issued a second consultative paper on revisions to its securitisation framework. The paper comprises a detailed set of proposals, including draft standards text, for a comprehensive revision of the treatment of securitisation within the risk-based capital framework.

    In developing these proposals, the Committee says it has carefully taken into account the comments received on the first .......

    News Round-up 19 December 2013
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