ABS

  • 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

  • Euro card index rolled out

    DBRS has introduced 'Beyond the Plastic', a new Europe-wide index and periodical covering credit card ABS. The report analyses charge-off rates, delinquency rollover rates, yields, excess spread and other metrics to provide insight of performance beyond securitisation ratings.

    "With an increase of credit card issuance from continental Europe, it makes sense to capture the complete picture for a truly accurate .......

    News Round-up 19 December 2013

  • Innovative trade finance ABS debuts

    Citi and Santander have closed the inaugural ABS issuance from Trade MAPS, a global multi-bank asset participation programme aimed at enhancing trade banks' ability to support global trade flows and grow their trade finance portfolios. The programme is intended to address a number of challenges facing the banking industry, including capital management, liquidity, increased credit constraints and Basel 3 capital .......

    News Round-up 18 December 2013

  • Euro retention rules finalised

    The European Banking Authority has published final draft regulatory technical standards (RTS) on securitisation retention rules and related requirements, as well as its final draft implementing technical standards (ITS) on the convergence of supervisory practices relating to additional risk weights in the case of non-compliance with the retention rules. The rules aim to provide greater clarity and transparency for market .......

    News Round-up 18 December 2013

  • Italian lease ABS, SME CLO outlooks differ

    Weaker structural features in Italian lease ABS compared with Italian SME CLOs mean that Fitch's 2014 rating outlook for the two sectors is different, despite both being exposed to Italian SME asset performance. Most outstanding Italian ABS leasing transactions were structured so the portfolio could be replenished during the initial revolving period and that the mezzanine tranches could be repaid .......

    News Round-up 17 December 2013

  • Tax lien RFC issued

    Moody's is seeking comments on a new methodology that covers its approach to rating tax lien ABS. If the proposed methodology is adopted, the agency does not expect any rating changes to currently outstanding US tax lien-backed transactions.

    "Tax lien securitisations are backed by liens on properties arising out of delinquent property taxes, assessments, sewer rents, sewer surcharges, water rents .......

    News Round-up 17 December 2013

  • Diversification boost

    Euro periphery to mitigate negative net issuance?

    The European securitisation market is set to end 2013 on a positive footing, boosted by a growing diversity of new issuance. However, while the re-marketing of retained transactions is expected to further augment the peripheral paper on offer next year, negative net issuance remains a concern.

    Placed European ABS issuance volume is expected to reach about €64bn this year, 16% .......

    News Analysis 17 December 2013

  • Stable outlook for LatAm SF

    Fitch foresees stability across Latin American structured finance sectors in 2014. On average, asset portfolios are expected to perform within base-case assumptions, reflecting stable economic conditions within each of the major Latin American countries.

    The ongoing positive dynamics of the Brazilian oil industry support Fitch's stable outlook for offshore vessel contract monetisation transactions in the cross-border market. Stable unemployment, despite .......

    News Round-up 16 December 2013

  • CRA debuts SF approach

    Scope has published its first methodology guidelines for rating and monitoring structured finance products. The guidelines lay down the key principals that the rating agency intends to apply to all types of structured finance instruments and present how key criteria are integrated in the rating process.

    Scope believes that the analysis of qualitative factors, based on objective components, plays a .......

    News Round-up 16 December 2013

  • Autos fuel ABS activity

    European ABS secondary activity was dominated by auto tranches yesterday. SCI's PriceABS data shows a strong range of auto names out for the bid, as well as a couple of credit card tranches, with the majority covered at or around par.

    Among these was the BILK 3 A1 tranche, which was covered at 100.171. The tranche was covered .......

    Market Reports 13 December 2013

  • SAC Re sale agreed

    Hamilton Insurance Group has entered into a definitive agreement to acquire SAC Capital Advisor's hedge fund-style reinsurer SAC Re. The transaction is expected to close prior to 31 December, subject to Bermuda Monetary Authority approval and other closing conditions.

    The investor group buying SAC Re includes former Marsh & McLennan president and ceo Brian Duperreault, Two Sigma Investments, Capital Z .......

    Job Swaps 13 December 2013

  • ILS growth 'causing concern'

    EIOPA says in its 2H13 Financial Stability Report that the strong flow of new capital into insurance-linked securities is "causing some concerns" and needs to be monitored. The authority notes that inflows into the sector originate mostly from fixed income investors that are searching for yield, but don't necessarily have the modelling capabilities and experience to fully analyse the underlying .......

    News Round-up 13 December 2013

  • RFC on tobacco ABS approach

    Moody's is seeking comments on proposed changes to its rating approach for tobacco settlement revenue securitisations. Specifically, the agency is proposing to change its cashflow modelling assumptions for the non-participating manufacturer (NPM) adjustment provisions.

    "We're proposing these changes in response to the December 2012 settlement of the NPM adjustment disputes for 2003 through 2012 by 22 states and territories, and .......

    News Round-up 13 December 2013

  • Volcker to spur full conduit support

    The Volcker Rule's treatment of ABCP conduits will motivate conduit sponsors to employ full unconditional liquidity coverage and remove an important regulatory risk from the sector, Fitch says. To be exempt from the covered fund definition under the rules, outstanding ABCP must be fully supported and liquidity commitments must be available to fund for the full face amount of all .......

    News Round-up 13 December 2013

  • Stable outlook for German commercial ABS

    The fall in German corporate insolvencies in 2013 to a 14-year low will lead to decreasing default rates in German commercial ABS transactions, according to Fitch, supporting its stable ratings outlook for the sector in 2014. The decrease in corporate insolvencies is consistent with the agency's expectation of a benign economic environment in Germany, which is incorporated into its deal-by-deal .......

    News Round-up 12 December 2013

  • Capital rule changes introduced

    The US Fed has issued a final rule that makes technical changes to its market risk capital rule to align it with the Basel 3 revised capital framework adopted earlier this year. Technical changes to the rule reflect modifications by the OECD regarding country risk classifications.

    The final rule also clarifies criteria for determining whether underlying assets are delinquent for .......

    News Round-up 12 December 2013

  • CLO supply expectations polled

    With a head-count of 180, last week's SCI 7th Annual Seminar saw a 38% increase in attendance on the previous year's conference. Sponsored by Banca IMI and Reed Smith, the seminar focused on credit market dislocation and alternative ways of optimising CLO and ABS returns. Presentations from the event can be downloaded here.

    In a poll conducted after .......

    News Round-up 12 December 2013

  • Negative outlook for WBS

    Fitch says its outlook for UK pub and healthcare whole business securitisations is predominantly negative for 2014. This is driven by a fragile UK economic recovery, public spending austerity and regulatory pressures.

    "Continuing decline in average real income, combined with public spending cuts mainly affecting healthcare funding as well as various regulatory pressures are all holding back the outlook of .......

    News Round-up 11 December 2013

  • Call to limit RWEM disclosure

    DBRS has issued a comment letter regarding the proposal to incorporate existing Rule 17g-7 under the Securities Exchange Act of 1934 into new rule 17g-7(a)(1)(ii)(N). Current Rule 17g-7 requires each NRSRO to include in any report accompanying an ABS credit rating a description of all the representations, warranties and enforcement mechanisms (RWEMs) available to investors, regardless of what those RWEMs .......

    News Round-up 11 December 2013

  • Volcker Rule concerns linger

    The US Fed, the FDIC, the OCC, the CFTC and the SEC have issued final rules to implement section 619 of the Dodd-Frank Act, known as the Volcker Rule. While changes from the original proposal have broadly been welcomed by the securitisation industry, some lingering concerns remain.

    The final rules prohibit insured depository institutions and companies affiliated with insured depository .......

    News 11 December 2013

  • CFPB oversight to spur servicer consolidation?

    The seven largest student loan servicers have the capacity to weather the increased operating costs brought on by Consumer Financial Protection Bureau (CFPB) oversight, according to Fitch. The CFPB oversight applies to non-bank servicers of more than one million accounts.

    The seven largest servicers of federal loan programmes are overseen by the US Department of Education. The CFPB's supervision will .......

    News Round-up 10 December 2013
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