ABS

  • Tobacco bond cashflow errors corrected

    Moody's says it will continue to maintain the ratings on the term bonds issued in tobacco settlement revenue securitisations under review with direction uncertain (SCI 23 January). But the agency has disclosed that since it placed the bonds under review, it has corrected certain errors in the cashflow models used in rating them. The corrections have a positive credit effect .......

    News Round-up 16 August 2013

  • FFELP SLABS issuance set to slow

    US student loan ABS new issuance is on track to finish below last year's total issuance of US$30bn, S&P notes. In steep contrast, student loan originations through the Department of Education's (DOE's) Direct Loan programme have continued to grow quickly, further augmenting the total amount of outstanding student loan debt. However, student loans from the Direct Loan programme have not .......

    News Round-up 16 August 2013

  • Longevity risk consultation launched

    The Joint Forum has released a consultative report on the longevity risk transfer (LRT) markets. The paper aims to assist in setting appropriate policies and to help ensure effective supervision of related activities and risk.

    Estimates of the total global amount of annuity- and pension-related longevity risk exposure range from US$15trn to US$25trn. At the same time, pension funds are .......

    News Round-up 15 August 2013

  • Tobacco ABS review completed

    Fitch has completed its annual review of tobacco ABS ratings, accounting for the amount of Master Settlement Agreement (MSA) payment received by each trust in 2013. For 2013, the aggregate MSA payment was 21.56% higher than the amount in 2012, due to the non-participating manufacturer dispute settlement payment made by the tobacco companies to 20 settling states and territories.

    This .......

    News Round-up 15 August 2013

  • Stable performance for timeshare ABS

    S&P reports that the performance of collateral backing transactions in its US timeshare securitisation performance index remained stable in the first half of 2013. Total delinquencies declined overall and monthly defaults remained steady. Excess spread was also stable, but spiked in March after one deal was redeemed.

    Total delinquencies declined from 4.2% in January to 3.92% in June, while monthly .......

    News Round-up 15 August 2013

  • New student loan law to have mixed impact

    President Obama last Friday signed into law the Bipartisan Student Loan Certainty Act of 2013, which pegs the interest rate on new federal student loans to a market rate fixed at loan origination. Moody's expects the new loan rates to have mixed effects on private student loan securitisations because the new rates will be credit positive for undergraduates, but credit .......

    News Round-up 13 August 2013

  • Private cat bond listed

    Kane has launched an independent private catastrophe bond platform called Kane SAC Limited. The inaugural issuance under the programme - the US$9.52m series 1-2013 notes - has been listed on the Bermuda Stock Exchange (BSX), marking the first-ever listing on the stock exchange of a series of notes issued by a segregated accounts company.

    Kane SAC is a Bermuda exempted .......

    News Round-up 13 August 2013

  • Retail card ABS sustainability discussed

    Several news reports have speculated on the future financial stability of various US retailers over the past few months. This could have an impact on credit card securitisation trusts that contain receivables generated by co-branded or private-label cards associated with these retailers, S&P notes.

    Despite its expectation of a continued modest rebound in the US economy, the agency says that .......

    News Round-up 12 August 2013

  • Delamare drives card payment rate jump

    The three-months rolling (3MA) charge-off and delinquency indices remained at the same level reached in the previous quarter, 4.5% and 1.8% respectively, according to Fitch's latest quarterly UK Credit Card Index. The 3MA payment rate index jumped to 20.3%, whereas the 3MA gross yield index decreased to 19.5% over the same period.

    Fitch notes that these metrics are impacted by .......

    News Round-up 9 August 2013

  • Risks ahead for container ABS?

    US shipping container ABS issuance continues to increase, against a backdrop of improving collateral trends. However, Fitch suggests that lingering risks remain.

    New container deals are on pace to equal and possibly even pass the high-water mark seen last year, with six transactions totalling US$1.7bn so far this year. This compares with nine transactions totalling US$2.5bn for all of 2012.

    News Round-up 9 August 2013

  • Diversity seen in secondary ABS

    US ABS secondary trading remained active yesterday, with elevated supply observed in auto paper in particular. A rare bond from a tobacco-related litigation fee securitisation was also out for the bid.

    A list of short WAL senior 2011-2012 vintage bonds provided the bulk of supply in the auto space during the session. Among the tranches appearing for the first time .......

    Market Reports 9 August 2013

  • Partner rejoins Aussie firm

    Clayton Utz has appointed Sonia Goumenis as a partner in its Sydney securitisation practice. She has over 12 years' experience in securitisation transactions, acting for a range of participants and covering a broad swath of asset classes.

    Goumenis began her career at Clayton Utz as a graduate, becoming a partner in January 2008. She returns to the firm from Allen .......

    Job Swaps 8 August 2013

  • Reset boosts cat bond's rating

    S&P has raised its rating on Munich Re's Queen Street V Re to double-B minus from single-B plus. The move follows the release of a reset report detailing the new attachment and exhaustion points for the catastrophe bond.

    For US hurricanes, the updated attachment point is 110,944 (up from 104,000) and the updated exhaustion point is 143,863 (from 136,000), as .......

    News Round-up 7 August 2013

  • Auto ABS underwriting eyed

    US prime auto ABS continue to be originated at a strong clip. But unique elements are being introduced into the market that may give some investors pause, according to Fitch.

    The agency notes that underwriting is slowly declining for prime auto ABS deals. While weighted average pool FICO scores remain strong, an incremental increase in the composition of the lowest .......

    News Round-up 7 August 2013

  • Securitisation chief named

    Mark Pain has joined Santander Consumer Finance UK as head of securitisation, responsible for its ongoing auto ABS programme. Before a year's stint as a consultant, he worked in a variety of front office roles with the US and European principal finance business of Investec Bank. His role included credit analysis and cashflow modelling of granular cashflow transactions, including RMBS, .......

    Job Swaps 7 August 2013

  • Timeshare relative value touted

    Investors seeking incremental yield in ABS typically move down in credit or expand into non-benchmark sectors. Another potential source of incremental yield can be found in structural inefficiencies that create cheaper-than-expected cashflows and good relative value opportunities.

    Exploiting differences between assumed and realised prepayment speeds - especially in new issue deals - is one way of achieving this outcome, according .......

    News Round-up 6 August 2013

  • Drop in bankruptcies buoys consumer ABS

    US personal bankruptcy filings are poised to drop for a third consecutive year in 2013 and may in fact fall to a level seen only twice before in the last two decades, according to Fitch. Personal bankruptcy filings totalled 532,290 at the end of 1H13, 13.7% lower than a year earlier (616,911).

    Fitch senior director Steven Stubbs attributes the sizeable .......

    News Round-up 6 August 2013

  • Currency swap criteria updated

    Fitch has updated its criteria for rating currency swap obligations of an SPV in structured finance transactions and covered bond programmes. The updated criteria are not expected to result in rating actions.

    The key driver for the rating of swap obligations is the rating of the related reference notes. SPV obligations to swap counterparty and noteholders should and usually rank .......

    News Round-up 6 August 2013

  • Asset manager beefs up

    Douglas Charleston joined TwentyFour Asset Management last month as a portfolio manager. He has seven years of ABS structuring and fund management experience, most recently at Lloyds.

    Another recent addition to the team is Luca Beldi, who has been recruited as an analyst. He is a Masters graduate in economics from the University of Milan.

    In addition, the firm's heads .......

    Job Swaps 6 August 2013

  • Abenomics strategy outlined

    The impact of the Japanese government's revitalisation strategy on consumer loan ABS in the country is credit positive, according to Moody's Structured Thinking Asia Pacific report. Disclosed on 14 June as part of the 'Abenomics' initiative, the government will promote smooth job transitions for workers - in particular, irregular employees - through subsidies and support programmes under the strategy. The .......

    News Round-up 5 August 2013

  • Counterparty conundrums

    Investors, issuers adapting to swap-related dilemmas

    Given the difficulty of replacing counterparties and expense of posting collateral for cashflow securitisations, high volumes of swap-related rating agency confirmations look set to continue, potentially eroding investor protections in their wake. At the same time, investor acceptance of AA/A rated senior paper is growing, together with appetite for deals without embedded derivatives risk.

    Peter Nowell, head of ABS trading .......

    News Analysis 2 August 2013
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