ABS

  • Tobacco arbitration decision 'credit positive'

    The decisions reached by an arbitration panel regarding claims by US tobacco manufacturers that 15 states did not diligently enforce certain statutes for calendar year 2003 are credit positive for some tobacco securitisations, according to Moody's. However, the agency notes that while the decisions could be indicative of the decisions for other years beyond 2003, it is possible that future .......

    News Round-up 24 September 2013

  • Portfolio loss metrics introduced

    Fitch has introduced new measures in connection with its expectations for portfolio losses for EMEA structured finance and covered bond programmes. Dubbed portfolio loss metrics, the measures are designed to improve the transparency of the agency's opinions on expected asset pool performance and provide a consistent framework for comparison of asset portfolios and tranches.

    The aim is to provide complementary .......

    News Round-up 24 September 2013

  • Risk management specialist joins REIT

    Two Harbors Investment Corp has appointed Robert Rush as risk management md. He will report to Paul Richardson, who serves as partner and chief risk officer for Pine River Capital Management.

    Rush was previously at UBS in New York, where he worked in risk strategy, RMBS, CMBS and ABS roles as well as serving as head of CDO and esoteric asset .......

    Job Swaps 24 September 2013

  • Reporting required for card ABS

    The ECB is to introduce loan-level reporting requirements for credit card ABS, when these are used as collateral in the Eurosystem's monetary policy operations. The provision of loan-level information for these instruments will be mandatory from 1 April 2014, with a nine-month phasing-in period.

    Under the requirements, loan-level data must be provided at least on a quarterly basis or within .......

    News Round-up 23 September 2013

  • SLABS EOD forecast

    Moody's notes in its latest ABS Spotlight that Access Group's series 2004-2 FFELP securitisation class A2 notes will not pay down in full by their final maturity date of 25 January 2016, a failure that will constitute an EOD. The remaining class A3 through A5 notes should pay down before their final maturity dates, while the class A2s should pay .......

    News Round-up 20 September 2013

  • ABCP issuance drops on RPI offload

    EMEA ABCP issuance fell by 16% to US$72bn in 2Q13, after levelling out in the previous quarter, Moody's reports. The decline was driven almost entirely by the winding down of three single-seller programmes: Atlantis One Funding Corporation, Atlantis Two Funding Corporation and Royal Park Investments (RPI) (SCI 29 April). All three conduits decreased their USCP issuance dramatically as part of .......

    News Round-up 18 September 2013

  • Model integration issues persist

    Principia Partners has released the findings of a survey focusing on ABS, MBS and CDO investors' use of cashflow and waterfall models. The results show that while the growing commoditisation of issuer reporting, collateral performance and loan level data has benefitted the modelling of cashflows, it is not enough to lighten the burden investors carry when building and managing cashflow .......

    News Round-up 18 September 2013

  • Swap risk remedies discussed

    Providing collateral with significant cushion remains an important remedy to counterparty ineligibility in a structured finance cross-currency swap, according to Fitch. The agency adds that only allowing replacement as a remedy with little or no collateral posting beforehand exposes noteholders to extra risks.

    "Without collateral providing ample support, both structured finance and covered bond issuers can accumulate significant exposure to .......

    News Round-up 18 September 2013

  • Fixed-, floating-rate income compared

    US fixed-rate ABS should provide significantly more income than floating-rate bonds, unless the Fed tightens policy sooner or more aggressively than expected, according to Wells Fargo ABS strategists. In addition, fixed-rate bonds may offer better total return potential as they roll down the steeper yield curve.

    The three-year swap rate has risen from about 0.5% at year-end 2012 to just .......

    News Round-up 17 September 2013

  • FADE issuance limit upped

    Fitch has confirmed that Fondo de Titulizacion del Deficit del Sistema Electrico's (FADE) ratings - currently triple-B - will not be affected by the latest modifications included in the programme documents. This follows the Royal Decree 9/2013 approved in July by the Spanish Government.

    The agency has analysed the documents provided by FADE's management company (Titulizacion de Activos SGFT) and .......

    News Round-up 17 September 2013

  • Timeshare delinquencies hit post-2007 lows

    Quarterly US timeshare ABS delinquencies have fallen to the lowest level since 2007, according to Fitch's latest index results for the sector. Total delinquencies for 2Q13 were 3.05%, down from 3.27% in 1Q13 and 3.29% in 2Q12.

    Defaults for 2Q13 remained consistent with 1Q13, finishing at 0.72%. However, they are down from the 0.82% observed at the same time last .......

    News Round-up 17 September 2013

  • Private student loan defaults drop

    Moody's reports that its private student loan default rate index dropped to 3.6% in 2Q13, the first time it has dipped below 4% since 2007. The agency expects the index to continue falling year over year in 2013, but remain above pre-recession rates.

    "The default rate index will continue to fall in 2013, but will remain higher than average pre-recession .......

    News Round-up 16 September 2013

  • New law set to unlock Russian ABS

    The Russian government is reviewing a proposed legislative change that would allow banks to securitise a broad range of assets, including SME loans, consumer loans, credit cards and auto loans. Moody's notes in its latest Credit Insight publication that the move is credit positive for Russian originators, as it will: allow the domestic issuance of Russian-law governed non-mortgage ABS; facilitate .......

    News Round-up 13 September 2013

  • NCR proposals 'credit positive'

    The French government is proposing to create a National Credit Registry (NCR) that captures individual consumer loan indebtedness. Moody's notes in its latest Credit Insight publication that the creation of such a registry is credit positive for most French auto ABS, consumer ABS and RMBS, as it will improve the ability of lenders to assess borrower affordability.

    The agency suggests .......

    News Round-up 13 September 2013

  • Punch restructuring progressing?

    Punch Taverns has disclosed that it is continuing its engagement with stakeholders, which now includes the ABI special committee of noteholders and its advisers. Barclays Capital European securitisation analysts suggest that this means class A bondholders could be actively involved and thus restructuring negotiations are likely being held on a more constructive basis (SCI passim).

    "We continue to take a .......

    News Round-up 13 September 2013

  • Insurance private debt strategy offered

    Twelve Capital has launched an insurance private debt strategy, which aims to provide small and medium-sized insurers with an additional source of regulatory capital while generating attractive risk-adjusted returns for the firm's investor base. This will take the form of bilateral loans or private placement bonds, benefitting from Twelve Capital's existing expertise in collateralised reinsurance and insurance fixed income. As .......

    News Round-up 13 September 2013

  • Trade finance leader brought in

    JPMorgan has appointed Kah Chye Tan as md and global head of trade finance securitisation, based in London. It is a new role at the firm which will see Tan work directly with the global trade and markets teams.

    Tan was previously at Barclays, where he was corporate banking vice chairman, having earlier served as global head of trade and .......

    Job Swaps 13 September 2013

  • Mix of paper in busy ABS session

    A US$110m bid-list of dealer floorplan bonds boosted auto ABS secondary supply yesterday. Credit card and utility ABS paper was also represented, as BWIC volume for the sector reached US$285m.

    SCI's PriceABS data shows that the majority of the auto names were from 2012 and 2013 issuances. An exception to that was the HERTZ 2010-1A A2 tranche, which .......

    Market Reports 12 September 2013

  • FFELP SLABS value touted

    FFELP student loan ABS spreads have generally lagged the tightening witnessed in other US consumer ABS sectors since early July and remain substantially wider than they were a year previously. Wells Fargo structured product analysts suggest that the asset class offers good relative value for its wider spreads and income potential, especially given one-month Libor is likely to stay low.

    News Round-up 12 September 2013

  • Reset notes to be redenominated

    GCO Education Loan Funding Master Trust II has executed a fifth supplemental indenture, which will permit the series 2006-2 reset rate notes to be remarketed on the initial reset date (10 September) in US dollars in a principal amount not to exceed US$249.51m, with an interest rate not to exceed 65bp over one-month Libor. The notes are currently denominated in .......

    News Round-up 11 September 2013

  • Iberian tariff deficit plans compared

    Portugal's plans to eliminate its electricity tariff deficit (TD) are more credible than Spain's, Fitch suggests. The agency says that Portugal's plans benefit from a deadline for TD elimination, a detailed agenda and supervision process, and regulatory independence. These elements are either absent from or less well developed in Spain's roadmap, it adds.

    Outstanding TDs in Portugal were 45% of .......

    News Round-up 10 September 2013
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