ABS

  • 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

  • CRA supervisory colleges recommended

    IOSCO has published its final report on supervisory colleges for credit rating agencies, which recommends establishing supervisory colleges for internationally active credit rating agencies (CRAs) and provides preliminary guidelines on how to constitute and operate them. The recommendations are aimed at improving the integrity of CRAs, the organisation says.

    The creation of a CRA college could enhance the effectiveness of .......

    News Round-up 31 July 2013

  • Solid auto ABS performance continues

    US auto loan ABS asset performance continues to be solid, with historically low delinquency rates and loss rates at or near record lows, according to Fitch. This is despite a slight up-tick in loss rates observed last month.

    A number of macro factors are helping to bolster auto ABS performance, including: stable employment levels, the revival in the housing market, .......

    News Round-up 31 July 2013

  • Ratings impact unlikely from interchange cap

    The European Commission's proposed cap on interchange fees for credit card-based payment transactions is unlikely to have a significant ratings impact on UK credit card ABS transactions, Fitch says. The agency notes that given regulatory pressure on interchange fees is mentioned as a risk factor in prospectuses for credit card ABS, it has not given full credit to interchange in .......

    News Round-up 30 July 2013

  • MTM losses weigh on Reg XXX deal

    Fitch has affirmed and subsequently withdrawn the ratings of Ballantyne Re's class A1 (double-C), B1 and B2 (both single-C) notes. The rating rationale is based on the significant mark-to-market losses Ballantyne Re has experienced in its investment portfolio of RMBS and ABS.

    Fitch notes that the Regulation XXX vehicle's liabilities exceed the current book value of its assets by "a .......

    News Round-up 30 July 2013

  • RFC issued on floorplan update

    S&P has requested feedback on proposed changes to the methodology and assumptions it uses to rate global non-diversified auto dealer floorplan (non-diversified ADFP) ABS. The proposed revisions are part of the agency's effort to enhance the comparability of its ratings across all sectors of the fixed income market, it says.

    The proposed criteria consider an ADFP pool to be 'non-diversified' .......

    News Round-up 30 July 2013

  • Nephila names new partner

    Guy Swayne has joined Nephila Capital as a partner, based in Bermuda. He will focus primarily on risk origination, working with established and new counterparties that are seeking protection from natural catastrophe and weather exposures. In addition, he will assist the management team with certain aspects of managing the firm and contribute to shaping the firm's strategic initiatives.

    Swayne has .......

    Job Swaps 30 July 2013

  • Structured products head hired

    Western Asset has recruited Anup Agarwal as head of structured products, based in Pasadena. He has 16 years of industry experience and was most recently with Stark Investments.

    At Stark, Agarwal was head of consumer finance, responsible for managing agency and non-agency MBS, ABS, CMBS and CDOs, as well as an opportunistic mortgage fund. Prior to his four years at .......

    Job Swaps 30 July 2013

  • Secondary infrastructure fund launched

    Aviva Investors has launched the European Secondary Infrastructure Credit Securitisation Vehicle (SV). The SV is the issuer of profit participating notes backed by a portfolio of infrastructure debt.

    The initial issue of €425m has been subscribed to by three European insurance companies, including Aviva France. The investment strategy is to acquire bank loans in the secondary market, complemented by selective .......

    News Round-up 29 July 2013

  • Stranded asset deals due

    New legislation in New York and Hawaii will spur new issuance of bonds backed by utility cost recovery charges (UCRC), Moody's reports. Pending legislation to reorganise the Long Island Power Authority (LIPA) sets a legal framework and standards for the issuance of UCRC bonds to refinance LIPA's outstanding debt at lower interest rates, while a similar securitisation law went into .......

    News Round-up 26 July 2013

  • Losses to hit senior NCSLT tranches

    The junior-most outstanding class A tranches in six National Collegiate Student Loan Trust securitisations will incur losses due to low parity ratios and low excess spread, according to a break-even default analysis conducted by Moody's. Three other transactions are already lacking the collateral base necessary to repay the junior-most class A notes.

    Based on the analysis, the lifetime default levels .......

    News Round-up 26 July 2013

  • NJM closes debut cat bond

    Towers Watson Capital Markets has arranged an inaugural private placement catastrophe bond - the US$60m Sullivan Re 2013-1 - for the New Jersey Manufacturers Insurance Group. With a three-year maturity, the transaction contains a single layer of the cedant's risk management programme and will provide per-occurrence indemnity-based reinsurance coverage for the firm's New Jersey and Pennsylvania marketing territories.

    "The ILS .......

    News Round-up 26 July 2013

  • Italian SME default drivers analysed

    Italian SMEs most at risk of defaulting on their securitised secured and unsecured loans are those active in the construction and building sector, says Moody's in a new special comment. The report covers data on Italian SMEs between 2012-2013 and the default drivers that the agency identifies as rating neutral for Italian SME ABS transactions.

    Moody's analysis of default data .......

    News Round-up 25 July 2013

  • Multi-asset credit fund launched

    ING Investment Management International (ING IM) has launched a new fund dubbed ING (L) Renta Fund First Class Yield Opportunities, which seeks to deliver attractive returns by investing in a diversified multi-strategy credit portfolio. The strategy combines the skills of three investment teams: the multi-asset, credit and emerging market debt boutiques.

    Ewout van Schaick (head of multi-asset strategies) and Roel .......

    News Round-up 25 July 2013

  • Call to action

    Securitisation best practice gaining traction in Brazil

    Brazilian ABS issuance volume plummeted to its lowest level since 2004 last year and is yet to return. New rules passed by regulator Comissão de Valores Mobilários (CVM) are being blamed for the sector's decline, but a series of bank scandals have also deterred investors from entering the market.

    Banco Central do Brasil (BCB) has rescued or liquidated seven Brazilian .......

    News Analysis 25 July 2013

  • FBT proposal weighs on Aussie auto ABS

    The Australian government last week proposed changes to the Fringe Benefits Tax (FBT) rules, which would make it more onerous for individuals to claim tax breaks on vehicles purchased under novated leases and salary sacrifice arrangements. The changes will lead to a deterioration of the credit quality of future auto ABS transactions, according to Moody's, due to the reduction in .......

    News Round-up 24 July 2013

  • Dignity tap to finance acquisition

    Funeral services provider Dignity plans to tap its Dignity Finance whole business securitisation. At the same time, the transaction's security group will acquire a new Dignity entity.

    Dignity Finance closed in April 2003 and has already been tapped twice since then -in February 2006 and September 2010 - as permitted by the transaction documents. As on the closing and the .......

    News Round-up 22 July 2013

  • No rating impact from REIT merger

    Spirit Realty Capital and Cole Credit Property Trust II have merged to create a publicly traded triple-net-lease REIT, with the combined company taking on the Spirit Realty name. Moody's has confirmed that the move will not result in the downgrade of the Spirit Master Funding Series 2005-1, Spirit Master Funding II Series 2006-1 and Spirit Master Funding III Series 2007-1 .......

    Job Swaps 22 July 2013

  • Asset manager adds credit PM

    Chris Boas has joined CQS in London as a senior portfolio manager for credit long/short strategies. He was previously at Longwood Credit Partners, which he founded after leaving Citadel Securities (SCI 5 January 2011), and he has also worked at Morgan Stanley.

    .......

    Job Swaps 22 July 2013

  • EC proposal 'credit positive'

    The European Council's proposal to give depositors preference over senior unsecured creditors would be credit positive for EMEA RMBS and ABS, says Moody's in a Credit Insight note. The proposal would increase the likelihood of undisrupted payments to depositors of a defaulting institution, increase potential recoveries on defaulting deposits and potentially mitigate set-off risk.

    Set-off risk could be further reduced .......

    News Round-up 19 July 2013

  • ECB provides ABS collateral boost

    The ECB's governing council has adjusted its risk control framework to tighten covered bond rules in favour of ABS. The changes provide updated haircuts for marketable instruments and an expanded list of collateral which will be accepted under the permanent Eurosystem collateral framework.

    The ECB has reduced the haircuts applicable to ABS eligible under the permanent and temporary Eurosystem collateral .......

    News Round-up 19 July 2013
×