ABS

  • Student paper surfaces as ABS picks up

    Bank card bonds may have accounted for the bulk of secondary ABS supply on Monday, but a busier session yesterday saw more variety out for the bid. Much of the available paper comprised student loan assets, but SCI's PriceABS data also shows timeshare, container and whole-business ABS tranches circulating.

    "Secondary trading flows have increased from the prior session. .......

    Market Reports 3 April 2013

  • New fund formed

    Deer Park Road Corp has confirmed the launch of its new ABS fund (SCI 4 December 2012), dubbed Burgess Creek Fund. The new fund will focus on bonds with steady monthly cashflow and high-yield characteristics, along with capital appreciation potential. The firm says that a number of investors have already expressed a strong interest in the strategy.

    .......

    News Round-up 3 April 2013

  • Negative rating transitions 'less pervasive'

    Credit quality for global structured finance securities fell for the sixth consecutive year in 2012, again led by US RMBS, S&P reports. But downgrades were less pervasive and, with marginally improving global economic prospects and easing risks, the agency expects 2013 to mark a turning point for more stable credit performance.

    Going forward, S&P anticipates overall downgrade and default rates .......

    News Round-up 2 April 2013

  • FFELP SLABS criteria enhanced

    Fitch has published a new criteria report, which supersedes its previous criteria report on rating US FFELP student loan ABS. The major enhancements are a shortened duration of basis spike for monthly reset Libor notes under a AAA/AA scenario and updated basis stresses based on market data, as of December 2012.

    When developing basis stresses, Fitch takes into consideration the .......

    News Round-up 2 April 2013

  • Airline merger ABS impact 'minimal'

    The US$11bn merger of American Airlines' parent AMR Corporation with US Airways Group should have a minimal impact on the co-branded credit card ABS issued by their related institutions, says Fitch. The agency notes there may be decreased card utilisation or performance deterioration in the related receivables that may be driven by shifts in consumer behaviour as a result of .......

    News Round-up 28 March 2013

  • ABCP programmes affirmed

    Fitch's annual US ABCP review has resulted in 25 programmes being affirmed. The review, based on December 2012 issuer information, covered approximately US$124bn in outstandings.

    The affirmations are all based on a review of the conduits' portfolio compositions and the vehicles' credit and structural protections, such as transaction-specific and programme-wide credit and liquidity support. Fitch mainly analysed exposures to - .......

    News Round-up 28 March 2013

  • Card delinquencies 1bp off all-time low

    The US credit card delinquency rate ticked down 3bp in February to 2.29%, just a single basis point higher than its all-time low (SCI 28 January). Moody's Credit Card Index shows securitised credit card charge-offs increased to 3.93%, 5bp higher than January's post-crisis low.

    There was a new all-time low for early-stage delinquencies, which are defined as 30 to 59 .......

    News Round-up 27 March 2013

  • Second CRA takes MBIA action

    Moody's has placed on review for downgrade the ratings of 148 classes of US structured finance securities wrapped by MBIA Insurance Corporation and its affiliated insurance companies. The securities impacted include certain RMBS, ABS and CDOs.

    S&P recently lowered ratings on a raft of RMBS insured by MBIA (SCI 18 March) and Moody's placed the ratings of MBIA Corp itself .......

    News Round-up 27 March 2013

  • Cat bond pro moves on

    Bill Keogh has joined insurance broker TigerRisk Partners in Stamford, Connecticut, reporting to Jayant Khadlikar. He becomes a member of TigerRisk's decision support team and will help clients find capital solutions to mitigate catastrophe risk.

    Until recently Keogh was president at EQECAT. He spent over a decade at RMS, where he rose to global ceo and he began his career .......

    Job Swaps 27 March 2013

  • Railcar ABS methodology released

    Moody's has published a methodology report covering its global approach to rating ABS collateralised by railcars. Given that this type of securitisation has so far been executed in the US only, most of the analysis is based on the US experience.

    The leases are typically operating leases, as opposed to financing leases. "In railcar leasing ABS, the transaction sponsor typically .......

    News Round-up 22 March 2013

  • Auto performance exceeds expectations

    Asset performance came in stronger for US prime auto ABS, while subprime auto loans reversed a seven-month trend of rising losses, according to Fitch's latest index results for the sector.

    Prime and subprime 60+ day delinquencies came in lower in February by 4.7% and 2.4% month-over-month (MOM) respectively. Prime annualised net losses (ANL) dropped by 4.8% MOM, while subprime ANL .......

    News Round-up 22 March 2013

  • Call for holistic policy response

    The Global Financial Markets Association (GFMA) has added to the discussion around the Basel Committee's proposed revisions to its securitisation framework (SCI passim) by suggesting that the starting assumptions of the consultative document are too narrowly drawn. The group notes that securitisations have generally performed well since the financial crisis and calls for a balanced, prudently calibrated and holistic policy .......

    News Round-up 21 March 2013

  • Stifel snaps up fixed income group

    Stifel Financial is set to acquire Knight Capital's US institutional fixed income sales and trading business. Stifel will also hire Knight's European institutional fixed income sales and trading team.

    The combined teams have around 100 sales and trading professionals covering high-yield and investment-grade corporate bonds, ABS and RMBS. The acquisition of the US business and hiring of the European team .......

    Job Swaps 21 March 2013

  • 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
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