ABS

  • CRA 3 concerns highlighted

    A recent Reed Smith memo highlights three areas of concern for the securitisation industry with CRA 3 - rating agency rotation, public disclosure and civil liability (see also SCI 16 August). The European Council has published what may be the final form of the second amendment to the rating agency regulation, confirming that it will assent to it becoming effective .......

    News Round-up 6 December 2012

  • Increased clarity on LLD requirements

    The latest amendments to the ECB's collateral eligibility framework include information on loan level data (LLD) requirements for posted securitisations and the European DataWarehouse (ED). Data will have to be reported to the ED at least on a quarterly basis, no later than one month after the IPD. If data is not provided within one month of the IPD, repo .......

    News Round-up 6 December 2012

  • SCI conference line-up unveiled

    Final panellist line-ups have been announced for SCI's 6th Annual Pricing, Trading & Risk Management Seminar, which is taking place on 7 December in London. The event is being held at Reed Smith's offices at 20 Primrose Street, EC2A 2RS.

    This conference will focus on risk management and pricing/valuation issues, as well as trading and secondary market strategies. The programme .......

    News Round-up 5 December 2012

  • Second infrastructure debt fund launched

    AMP Capital has appointed Patrick Trears as infrastructure debt director in New York and launched a new debt fund in response to increased infrastructure investment demand. The new fund is AMP Capital Infrastructure Debt Fund II (IDF II).

    Trears joins from WestLB and has previously held structured and project finance positions at Hypo Real Estate, Citi Investment Bank and DEPFA .......

    Job Swaps 5 December 2012

  • Fund closed, new one prepped

    Deer Park Road Corp's flagship fund, STS Partners Fund, has closed to new investors. The fund - which focuses on deeply discounted short-duration, high cashflow MBS and other ABS securities - was launched in May 2008 and has since grown to more than US$600m AUM.

    Michael Craig-Scheckman, portfolio manager and owner of the firm, comments: "In order to preserve the .......

    Job Swaps 4 December 2012

  • Improvement seen in Japan consumer credit

    Moody's reports that the overall credit quality of all consumer asset classes in Japan's ABS market has improved. The agency expects the sector to remain stable, even in the face of severe unemployment and a decline in income levels.

    The Japanese ABS default rate is generally stable. The default rates of card cash advances and consumer finance loans, for instance, .......

    News Round-up 29 November 2012

  • Loan-level reporting timelines lengthened

    The ECB has adjusted its timeline for the start of loan-level data reporting requirements as part of the Eurosystem's collateral framework, to allow for the smooth implementation of what it deems as necessary amendments to Guideline ECB/2011/14 at the national level.

    For RMBS and SME transactions, the reporting requirements will now be mandatory as of 3 January 2013. For CMBS, .......

    News Round-up 27 November 2012

  • Disclosure principles published

    IOSCO has published its final 'Principles for Ongoing Disclosure for Asset Backed Securities' report, which is designed to provide guidance to securities regulators that are developing or reviewing their regulatory regimes for ongoing disclosure for ABS. The eleven principles were developed as a complement to IOSCO's 'Disclosure Principles for Public Offerings and Listings of Asset-Backed Securities', which was issued in .......

    News Round-up 27 November 2012

  • Continued resilience for Euro ABCP

    Moody's reports that the European ABCP market has demonstrated resilience, despite uncertainty surrounding regulatory changes and the economic environment. The agency notes that investors and sponsors have increased activity when possible.

    Negative rating trends meant that the downgrades envisaged for European ABCP sponsoring banks in 2011 materialised in 2012, thereby affecting the ratings of their sponsored conduits. As a result .......

    News Round-up 27 November 2012

  • European infrastructure debt group formed

    BlackRock has hired Philippe Benaroya, Chris Wrenn and Gilles Lengaigne to launch a European infrastructure debt investment unit in London. The trio previously worked together at Blackstone/GSO.

    The team will initially focus on the needs of financial investors such as insurance companies served by BlackRock's financial institutions group, helping them review opportunities to invest in investment grade infrastructure debt assets .......

    Job Swaps 26 November 2012

  • Paragon noteholder meetings due

    Noteholder meetings for PARGN 7, 8, 9 and 10 have been scheduled on 13 December, on 14 December for PARGN 11, 12 and 13, and on 18 December for PARGN 14, 15 and PPAF 3. The reason for the meetings is to discuss an extraordinary resolution, as suggested by Moody's, to enhance the structural features of the transactions.

    The proposed .......

    News Round-up 22 November 2012

  • MBIA-wrapped deals hit

    Moody's has downgraded the ratings of 179 classes of US structured finance securities wrapped by MBIA Insurance Corp, following the monoline's downgrade to Caa2 (SCI 20 November). Approximately US$9.33bn of securities - backed by first- or second-lien US residential mortgages, private student loans, RMBS, CMBS and ABS - are affected. The agency notes that its ratings on structured finance securities .......

    News Round-up 22 November 2012

  • Euro ABS holding steady

    The first transaction with a Prime Collateralised Securities stamp (SCI 15 November) priced yesterday, with little fanfare. The deal comes amid a variety of new issuance and strong secondary market activity.

    "There has been a bit of variety among European ABS issuance recently and that is good to see. Generally deals seem to be well received, but I would say .......

    Market Reports 22 November 2012

  • Strong values supporting auto performance

    Strong wholesale vehicle values drove yet another decline in US auto ABS losses in October, according to Fitch's latest index results for the sector. Prime cumulative net losses recorded the lowest level to date at 0.3%, a 6% improvement month-over-month (MOM) from September. This is a 50% decline year-over-year (YOY), as borrower credit quality of newer ABS has improved through .......

    News Round-up 21 November 2012

  • Card charge-offs continue to improve

    Securitised credit card charge-offs, as measured by Moody's Credit Card Index charge-off rate, decreased to 4.07% in October from 4.11% a month earlier. The improvement extends the steady decline since charge-offs peaked in 1Q10.

    The delinquency rate index decreased in October to 2.37% and remains 5bp above its August level, which marked an all-time low for the indices, while the .......

    News Round-up 21 November 2012

  • Ex-Citi CDO structurer hired

    StormHarbour Securities has hired Brian Stoker as md in New York. He will be responsible for CLO structuring and fixed income sales.

    Stoker has previously served as financial and business services group head at HBS Angel Investing Club, research analyst at Carson Capital and vp at Merrill Lynch, where he structured CLOs and traded RMBS, ABS and CDOs. He also .......

    Job Swaps 21 November 2012

  • Annington tap possible

    Terra Firma is set to acquire Annington Homes from Nomura for £1bn of new equity, as well as new debt and the assumption of the existing debt. The new owner is also reportedly considering issuing a £500m PIK note subordinated to the securitised debt.

    The proposed terms include a five-year non-call period, which credit analysts at RBS suggest means that .......

    News Round-up 20 November 2012

  • Pubco's bonds look attractive

    Enterprise Inns' full-year results show improved like-for-like net income and decreased debt net of cash. The group has purchased and cancelled £65m of the fixed rate Unique securitisation notes, but Spirit bonds may still offer superior value.

    Enterprise's like-for-like net income is down by 1.2% for the year, marking a material improvement on last year when it was down 4.3%. .......

    News 20 November 2012

  • Electricity tariff ratings at risk

    Moody's is to maintain on review for downgrade the A3 ratings of the ABS transactions backed by Spanish securitised electricity tariff deficits that the rating agency currently positions above the sovereign's rating. This reflects uncertainty surrounding the details of the country's proposed energy reform bill, which is expected to pass by year-end.

    Moody's is seeking to clarify whether the nature .......

    News Round-up 16 November 2012

  • ALS equity transferred

    AerCap Ireland, the servicer on Aircraft Lease Securitisation (ALS), has sold its equity interest in the transaction to a subsidiary of Guggenheim Partners as part of a portfolio management strategy. Under the agreement, AerCap will continue to service and manage the aircraft portfolio.

    The portfolio comprises 50 aircraft valued at approximately US$1bn, leased to 26 different airlines. "We believe that .......

    News Round-up 16 November 2012

  • Peripheral rating actions explained

    Moody's expects that Dutch, German and UK ABS and RMBS will come under minimal further pressure following recent actions on bank ratings and current proposed changes to the agency's structured finance methodologies. However, the likely impact of both factors on RMBS and ABS in Spain, Portugal, Italy and Ireland will range from moderate to significant.

    Moody's anticipates that less than .......

    News Round-up 15 November 2012
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