ABS

  • KBRA wins ESMA certification

    ESMA has formally approved the certification in the EU of Kroll Bond Rating Agency (KBRA) under Article 16 of the CRA Regulation. The firm is the first US CRA to be certified following the EC's recognition, on 5 October 2012, of the equivalence of the US legal and supervisory framework to the requirements of the CRA Regulation.

    Currently, 19 CRAs .......

    Job Swaps 21 March 2013

  • Planes pique secondary interest

    Activity in the US secondary ABS market was skewed towards aircraft and student loan paper yesterday. The handful of aircraft bonds talked during the session were pooled in a CDO that is due to be liquidated on Tuesday of next week.

    Among the aircraft paper out for the bid yesterday was a US$2.654m piece of the PALS 2000-1 A1 tranche, .......

    Market Reports 21 March 2013

  • Formula-based ratings approaches critiqued

    S&P has published its response to the Basel Committee's consultative document on revisions to the Basel securitisation framework (SCI passim). The agency believes that the proposals include some positive elements, while also raising a number of significant concerns.

    Among the positive elements is the reduced potential for sharp changes in securitisation capital charges through economic cycles - the so-called 'cliff .......

    News Round-up 20 March 2013

  • Eligible investment guidelines updated

    Moody's has updated its general guidelines for the temporary investment of cash in structured finance transaction accounts, including rating standards for banks holding such accounts. The rating implementation guidance report applies globally to all structured transactions and is expected to result in a limited number of negative rating actions.

    The report provides rating standards for a transaction's eligible investments, depending .......

    News Round-up 20 March 2013

  • Falling default rate for private SLABS

    Moody's expects the annualised private student loan default rate to continue falling year-over-year in 2013, while remaining higher than pre-recession levels.

    "We will continue to see high rates of default because the unemployment rate - the key credit driver of student loan defaults - will remain high at 7%-8%," says Moody's avp-analyst Tracy Rice. "Improving unemployment will help borrowers repay .......

    News Round-up 20 March 2013

  • Solar securitisation working group convened

    The US Department of Energy's National Renewable Energy Laboratory (NREL) has convened a Solar Access to Public Capital (SAPC) working group, with the aim of enabling securitisation of solar PV assets and associated cashflows. SAPC's primary efforts centre on the standardisation of power purchase agreements, leases and other documents relevant to residential and commercial deployment, as well as the development .......

    News Round-up 20 March 2013

  • Canadian ABCP performance still strong

    Performance across Canadian ABCP remains strong, according to Moody's first quarterly report for the sector, which covers 4Q12. The rating agency has also launched a new web page dedicated to Canadian structured finance.

    Of the new transactions added to the Canadian ABCP programmes in the fourth quarter of 2012, 40% were used to finance residential mortgages, 34% financed auto loans .......

    News Round-up 19 March 2013

  • Spanish tariff securitisations downgraded

    Fitch has downgraded five securitisations backed by Spanish electricity tariff deficits from single-A minus to triple-B plus. The downgrades reflect the structural imbalance and the negative trend observed on the overall electricity system cashflows, as well as the uncertainty of the regulatory environment affecting the electricity sector.

    Despite the government's efforts during 2012 to tackle the ongoing tariff deficit problem, .......

    News Round-up 18 March 2013

  • Settlement boosts tobacco ABS

    A 13 March settlement between 17 US states, the District of Columbia and Puerto Rico and several tobacco manufacturers should have a positive impact on cashflows for certain Fitch-rated tobacco settlement ABS transactions, the agency says. The 'stipulated partial settlement award' - initially proposed between these parties in December 2012 - relates to the non-participating manufacturer (NPM) adjustment provisions contained .......

    News Round-up 18 March 2013

  • Varied SF impairments seen in 2012

    Global structured finance (SF) rating and impairment activity varied widely by sector and rating category in 2012, according to Fitch. Downgrades overall remained in line with those seen in 2011; however, the number of active ratings declined year-over-year by close to 20% and this contributed to a higher overall SF downgrade rate of 37% versus 31% in 2011. Upgrades remained .......

    News Round-up 18 March 2013

  • Smart sourcing

    Non-core asset dispositions eyed

    With large US funds increasingly entering the European secondary ABS market in search of yield, European funds are having to be smarter about sourcing assets. Working with a bank seller to restructure residual positions is emerging as one important option.

    The easiest way to source assets in the European secondary ABS market is to be added to BWIC distribution lists, .......

    News Analysis 18 March 2013

  • Capital treatment warning issued

    The Basel Committee's revised proposals on the capital treatment of securitisation exposures (SCI 19 December 2012) could limit the appetite for structured notes among banks, Fitch reports. The agency warns that this could restrict the availability of structured finance as a funding source for the wider economy.

    Fitch also notes that, in its view, the proposals do not reflect historical .......

    News Round-up 15 March 2013

  • Basel MSFA critiqued

    The ASF has submitted a comment letter to the Basel Committee in response to its 18 December consultative document (SCI 19 December 2012). The letter outlines several guiding principles that the association believes should be embodied in any framework for determining capital for securitisation purposes.

    These principles include: promoting understanding by banks of the risks associated with their securitisation exposures; .......

    News Round-up 15 March 2013

  • Securitisation splinter group formed

    The Structured Finance Industry Group (SFIG), a new trade industry advocacy group, has been formed in the US. Its creation comes in the wake of a major division within the ASF, which saw over 20 members resign.

    PNC Capital Markets' Reggie Imamura has been named as chairman of the SFIG board, which will feature a board of directors representing a broad .......

    News 15 March 2013

  • New approach

    Unconstrained absolute return funds in vogue

    New approaches to credit are being explored, as the asset class seeks to remain appealing relative to the equity market. A proliferation of unconstrained absolute return credit funds is consequently expected to emerge.

    The 'great rotation' into equities isn't an immediate threat, considering the nature and composition of the fixed income investor base, according to ECM Asset Management lead portfolio .......

    News Analysis 15 March 2013

  • Stable performance forecast for esoterics

    Moody's expects the performance of asset classes backing US commercial and esoteric ABS to be stable in 2013.

    "With event risk in general declining, most of the kinds of risk we have to watch out for now are idiosyncratic; that is, risks specific to an issuer or asset class," says Michael McDermitt, a Moody's senior credit officer. "This would include, .......

    News Round-up 14 March 2013

  • Peripheral ratings on review

    Moody's has placed on review for downgrade the ratings of 60 classes of notes in 41 RMBS and seven ABS transactions from Spain, Italy and Ireland due to potentially insufficient credit enhancement. The determination of the applicable credit enhancement that drives the rating actions reflects the introduction of additional factors in the agency's analysis to better measure the impact of .......

    News Round-up 14 March 2013

  • Straight-A winding down

    As it enters its senior year, the Straight-A Funding ABCP programme continues to provide liquidity to a market still in need of it, according to Fitch. The vehicle issues ABCP to fund FFELP student loans purchased from lenders between May 2009 and June 2010, but is set to terminate in January 2014.

    "Straight-A married Bush-era legislation with securitisation technology to .......

    News Round-up 14 March 2013

  • Container ABS criteria issued

    Moody's has published a methodology report that details its global approach to rating ABS backed by shipping containers. It reflects the rating agency's analytical approach to ABS deals backed by intermodal containers used primarily in cargo shipping and by the lease payments generated by the containers.

    "In a typical container lease ABS transaction, a special purpose vehicle issues securities and .......

    News Round-up 13 March 2013

  • ED adds central bank economist

    The European DataWarehouse (ED) has appointed José Manuel González-Páramo as chairman. He will oversee the direction of the ED as it seeks to provide full disclosure and transparency for investors in ABS.

    González-Páramo was a member of the ECB's executive board until 2012, with responsibility for market operations and monetary policy implementation. Before that he was a member of the .......

    Job Swaps 13 March 2013

  • Uncommon names in ABS frame

    Following an up-tick in ABS secondary supply last week, healthy BWIC activity continued yesterday. In particular, SCI's PriceABS data shows some rarely seen aircraft and container names out for the bid.

    Having been talked in the low-80s on Thursday last week and then low-80s and low/mid-80s on Friday, the AIRSP 2007-1X G1 aircraft lease tranche traded yesterday. AIRSP .......

    Market Reports 12 March 2013
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