ABS

  • 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

  • Sovereign downgrade hits French deals

    Fitch has downgraded three tranches related to three French structured finance transactions. The action follows the downgrade of France's long-term foreign currency issuer default rating (IDR) to double-A plus from triple-A.

    The deals affected by the downgrades are Eole Finance, House of Europe 1 and House of Europe 3. Given their significant exposure to the French sovereign, the affected notes .......

    News Round-up 17 July 2013

  • Sovereign downgrade hits Italian deals

    S&P has lowered its credit ratings on 118 tranches in 91 Italian securitisations. The rating actions follow the agency's 9 July lowering of its unsolicited long-term sovereign credit rating on Italy to triple-B from triple-B plus, due to the effects of further weakening growth on the country's economic structure and resilience, and its impaired monetary transmission mechanism.

    Specifically, S&P has .......

    News Round-up 17 July 2013

  • Auto, aircraft ABS attract attention

    Supply picked up yesterday and the US ABS secondary market saw a good variety of paper out for the bid. ABS BWIC volume increased to US$106m during the session, from only US$18m on Monday, with auto, aircraft and container bonds all circulating.

    The up-tick in volume came even as much of the market's attention was focused on primary issuance. Over .......

    Market Reports 17 July 2013

  • SLABS hit by counterparty downgrades

    S&P has placed on credit watch with negative implications 23 tranches from across a number of student loan ABS transactions. The rating actions follow the recent lowering of its issuer credit ratings on Credit Suisse and Barclays Bank - the swap counterparties for the affected transactions - to single-A from single-A plus.

    Twenty tranches from SLM Student Loan Trust 2002-7, .......

    News Round-up 17 July 2013

  • SLM cashflows suggest downside protection

    In a run-off scenario, expected cashflows from the spun-off businesses of SLM Corp would be sufficient to repay the existing US$17.9bn of senior unsecured debt obligations to be spun off along with the new company, according to Fitch. The agency has undertaken a cashflow analysis of SLM's proposed spin-off, which included three single-factor stress scenarios - higher credit losses on .......

    News Round-up 16 July 2013

  • Storm surge bond debuts

    GC Securities and Goldman Sachs are in the market with what is believed to be the first natural peril catastrophe bond whose trigger is linked solely to storm surge. Dubbed MetroCat Re series 2013-1, the transaction provides parametric coverage for First Mutual Transportation Assurance Co (FMTAC), a subsidiary of the New York Metropolitan Transportation Authority.

    S&P has assigned a preliminary .......

    News Round-up 15 July 2013

  • RBS novation confirmed

    Fitch confirms that there is no rating impact following the novation by RBS NV to RBS plc, ABN AMRO Bank and/or Bank Nederlandse Gemeenten with respect to the roles it covers across any European structured finance transaction. RBS plc notified the agency in May that, as part of the continuing transfers of business activities from RBS NV to RBS plc, .......

    News Round-up 11 July 2013

  • Alternative ABCP liabilities gain traction

    Fitch reports that US ABCP conduit sponsors are developing alternative liability structures to minimise the potential increased costs of liquidity under the proposed Basel 3 liquidity coverage requirements. Sponsors are amending ABCP programme documentation to allow for the issuance of callable, puttable-callable and investor-option extendible notes.

    "ABCP sponsors are essentially creating liabilities that would allow them to reduce the number .......

    News Round-up 11 July 2013

  • Scope for litigation expanding?

    As litigation with respect to loan origination and other issues stemming from the financial crisis begins to ebb, a number of other areas are emerging as potential foci of investor scrutiny and regulatory compliance, according to NewOak Capital. The firm suggests that while some of these matters may appear to be solely the domain of consumer rights and protection, what .......

    News Round-up 10 July 2013

  • Feedback sought on EMEA set-off

    Moody's is seeking feedback on its proposed approach for assessing set-off risk in securitisation and covered bonds transactions in EMEA, as well as on its general approach to assessing set-off risk. The agency is considering several changes to its existing methodology, in particular for Dutch set-off risk.

    Moody's proposed approach is substantially the same as its existing published methodologies, save .......

    News Round-up 10 July 2013

  • RFC issued on CRA3 implementation

    ESMA has published a discussion paper dealing with the implementation of the CRA3 Regulation, which entered into force last month (SCI 19 June). ESMA is required to draft regulatory technical standards (RTS) regarding: disclosure requirements on structured finance instruments (SFIs); the European Rating Platform (ERP); and the periodic reporting on fees charged by rating agencies.

    The SFI draft RTS will .......

    News Round-up 10 July 2013

  • Insolvencies weigh on leasing ABS

    An increase in German corporate insolvencies in 1H13 is expected to result in a moderate increase in default rates in commercial leasing ABS transactions, according to Fitch, although the agency does not anticipate any impact on current ratings. The first-half increase is consistent with its deal-by-deal base-case default assumptions and so observed default rates should remain below those assumed in .......

    News Round-up 9 July 2013

  • Venture debt ABS closes

    Specialty finance company Horizon Technology Finance Corporation has completed its debut securitisation. The US$90m Horizon Funding Trust 2013-1, backed by venture capital debt, is rated A2 by Moody's and was arranged by Guggenheim Securities.

    The notes bear a fixed interest rate of 3% and have a stated maturity date of 15 May 2018. The transaction has enabled Horizon to both .......

    News Round-up 8 July 2013

  • Dutch bank adds senior analyst

    Ruben van Leeuwen has joined Rabobank as senior ABS analyst. He joins from ABN Amro and will provide sell-side research with a focus on Dutch RMBS and covered bonds.

    At ABN Amro he was a fixed income strategist, portfolio manager and senior US economist. His various roles included covering Dutch and global credit markets and the development of fixed income .......

    Job Swaps 8 July 2013

  • Flexible cat bond debuts

    An unusual catastrophe bond, sponsored by AIG, is expected to close next week. Dubbed Tradewynd Re 2013, the transaction features a variable attachment point, designed to provide the sponsor with risk management flexibility.

    The US$125m five-year single-tranche of notes is rated single-B plus by S&P and is expected to pay 825bp over the US money market fund yield. Aon Benfield and .......

    News Round-up 5 July 2013

  • Negative outlook for UK WBS

    Fitch says that the outlook for UK whole business securitisations (WBS) remains predominantly negative, largely due to weak economic conditions and the consequent pressures on consumer and government spending. In particular, the main UK WBS sectors - pubs and care homes/hospitals - are expected to continue to struggle in the latter stages of 2013.

    The UK government's surprise move to .......

    News Round-up 4 July 2013

  • Europe reacts to unusual RMBS, ABS deals

    It has been an interesting couple of weeks in European RMBS and ABS, with noteworthy primary issuances in each sector grabbing investors' attention. A quiet end to this week is expected as the US marks Independence Day, although activity in the secondary markets has been relatively strong up to this point.

    "European RMBS spreads definitely widened out on the back .......

    Market Reports 4 July 2013

  • Improving economy bolsters SLABS performance

    Outstanding student loans approached nearly US$1trn at the end of last year, becoming the second largest source of US consumer debt after mortgage loans. Nevertheless, student loan ABS performance is primed for a brighter outlook due to the improving economy.

    "Student loan ABS performance is highly correlated with the economy when it comes time for students to begin paying their .......

    News Round-up 3 July 2013

  • Chinese securitisation 'underdeveloped'

    Fitch believes that the Chinese securitisation market is underdeveloped, reflected in the small programme size of the third round of the credit asset securitisation (CAS) pilot programme launched in May 2012 at RMB50bn (US$8.2bn). The programme limit - accounting for less than 0.1% of the commercial banking system's assets in the country - is insufficient to fulfil the needs of .......

    News Round-up 3 July 2013

  • Minimal impact expected from FDSL hike

    As of 1 July, interest rates on federal direct subsidised loans (FDSL) for US college students will double to 6.8%. Although the increase is being portrayed as harmful to students who would be driven further into debt, Moody's expects the overall effect on student loan securitisations to be minimal.

    The agency notes in its latest Credit Outlook publication that the .......

    News Round-up 2 July 2013
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