ABS

  • Euro SF volume tough to call

    European structured finance volume for 2013 remains difficult to call. For example, while S&P expects overall investor-placed issuance to fall over the year, Fitch forecasts a rise of 5%.

    Fitch predicts that public and retained European structured finance issuance this year will be broadly unchanged from 2012, at about €200bn. Of this figure, 40% is expected to be placed with .......

    News Round-up 16 January 2013

  • RRN upgrades on the cards

    S&P believes that, in certain circumstances, the remarketing of reset-rate notes (RRNs) issued in connection with certain US student loan ABS might result in an upgrade of the notes' ratings. If RRNs are remarketed into US dollars, it would terminate the existing swap agreement and thereby eliminate the class' direct exposure to counterparty-related risk.

    RRNs typically have an initial reset .......

    News Round-up 16 January 2013

  • Treasury calls time on TALF

    TALF is being wound down, following the repayment of the programme with interest. Accounting for interest and other gains above principal, repayments to date from the programme total US$173m - with additional payments expected in the future.

    TALF supported the issuance of nearly three million auto loans, more than one million student loans, nearly 900,000 loans to small businesses, 150,000 .......

    News Round-up 16 January 2013

  • Mixed outlook for Japanese SF performance

    Moody's believes that strict underwriting standards in Japan will support the performance of RMBS and ABS receivables in the jurisdiction during 2013. The weak real estate market is expected to have a negative effect on CMBS transactions, however.

    Overall performance of RMBS collateral in new and existing deals will remain stable this year, according to the agency, due to the .......

    News Round-up 15 January 2013

  • Container fundamentals examined

    The fundamentals of container leasing remain strong, according to ABS strategists at Wells Fargo. They note that container lessors should continue to benefit from a tight supply environment while demand increases.

    Spreads on pre-crisis container bonds are consequently expected to tighten inside of 100bp during 1Q13. At the same time, the Wells Fargo strategists believe that the current premium over .......

    News Round-up 14 January 2013

  • Bullish outlook for EM securitisation

    S&P says it is bullish on structured finance in emerging markets going into 2013, though it warns that each country's unique situation warrants careful scrutiny. A rebounding Mexican economy and Brazil's uncertain regulatory environment is expected to anchor Latin American activity, while the focus in EEMEA will be split between Russian and South African domestic activity and cross-border issuance in .......

    News Round-up 14 January 2013

  • Record low for credit card charge-offs

    US credit card ABS finished 2012 strongly. Fitch's latest index results show charge-offs reached another record low as the year ended.

    Prime credit card charge-offs went below 4% for the first time since 2006. They declined 18bp in December to 3.98% as a result of declining bankruptcy filings delinquencies throughout the year.

    Late stage delinquencies increased 3bp to 1.73% although .......

    News Round-up 11 January 2013

  • DPC criteria updated

    Fitch has updated its rating criteria for derivative product companies (DPCs). The agency confirms that it will look to the DPC's stand-alone credit strength, as well as the sponsor's, when rating vehicles engaging in standardised, liquid derivatives.

    Under the criteria, a ratings floor of single-A will apply for continuation DPCs that are well-capitalised and appropriately structured, whereas a ratings floor .......

    News Round-up 8 January 2013

  • Innovative sidecar debuts

    Argo Group International has formed Harambee Re 2013-1, its debut sidecar transaction. Unlike other sidecars, which typically write either reinsurance or retrocession business, the vehicle is believed to be the first to support both a reinsurance and an insurance portfolio.

    Harambee Re provides capacity of approximately 5% of premium income for specific property portfolios that represent two of Argo Group's .......

    News Round-up 8 January 2013

  • ILW pro recruited

    JLT Reinsurance Brokers has appointed Paul Thyer as partner. He becomes a member of the firm's London non-marine treaty team and will focus on property retrocession, property reinsurance and industry loss warranties.

    Thyer was most recently associate director of BMS Re. He has 32 years' experience within the reinsurance industry as a London market retrocession, reinsurance and ILW broker.

    .......

    Job Swaps 8 January 2013

  • Autos, cards lead ABS charge

    US auto and credit card ABS paper was being shown on Friday as the secondary market began to open up. SCI's PriceABS data shows 21 ABS line items from the session.

    "Secondary market activity has picked up as the week comes to a close, while the primary market remains quiet. An afternoon list containing blocks of senior auto and credit .......

    Market Reports 7 January 2013

  • Continued credit card ABS improvement

    US securitised credit card charge-offs decreased from 4.07% in October to a six-year low of 3.90% in November, according to Moody's latest index report. The improvement extends the steady decline since charge-offs peaked in 2010 and the charge-off rate index is now expected to remain between 3.5% and 4.5% over 2013.

    The delinquency rate index remained unchanged in November at 2.37% .......

    News Round-up 4 January 2013

  • Further prime, subprime auto divergence

    US prime auto ABS continued to perform strongly at the end of 2012, but the latest index results from Fitch show that subprime loans again took a step back. The agency expects stable asset performance for prime auto ABS this year, with a continuing positive rating outlook.

    Prime auto ABS had the strongest year-to-date, with losses dropping to record lows .......

    News Round-up 4 January 2013

  • Italy, Spain ABS reviews complete

    Moody's has revised key collateral assumptions in 29 Italian and Spanish ABS transactions backed by consumer and auto loans. New loss assumptions generally have no rating impact, although certain transactions have been downgraded.

    The rating revisions follow the agency's review of the Italian and Spanish auto and consumer loan sectors and were primarily driven by collateral performance deterioration as a .......

    News Round-up 24 December 2012

  • PAYE repayment plan welcomed

    Fitch believes that the 'Pay as You Earn' income-based student loan repayment plan could have a positive impact on FFELP ABS portfolios. The programme is designed to modify Federal direct loans and may reduce the financial pressure on some student loan borrowers that may also carry FFELP loans.

    "We believe it is possible that the new programme could help some .......

    News Round-up 21 December 2012

  • SLABS outlook remains negative

    The outlook for US student loan ABS remains negative, says Moody's. That is the case for both private loan and FFELP securitisations.

    Moody's says securitisations of private student loans will contain loans of slightly stronger credit quality in 2013 than they did in 2012. Collateral performance of outstanding securitisations will improve modestly but still be weak because of the wider .......

    News Round-up 21 December 2012

  • Stress tests underline ratings resilience

    Fitch says that stress tests it conducted across a range of structured finance asset classes globally shows that its ratings would be resilient in the face of further stress. The tests suggest that the extent of macroeconomic stress that would be required to result in severe multiple category downgrades to its triple-A ratings is very remote. In many instances, the .......

    News Round-up 19 December 2012

  • Spanish SME assumptions revised

    Moody's has revised its key collateral assumptions in 94 Spanish SME ABS. In most cases, the new loss assumptions have had no rating impact due to sufficient credit enhancement levels. However, the agency has taken individual rating actions on a small number of transactions with insufficient credit enhancement.

    These revisions follow Moody's review of the entire Spanish SME and small .......

    News Round-up 19 December 2012

  • Securitisation framework revisions proposed

    The Basel Committee has published a consultative paper entitled 'Revisions to the Basel Securitisation Framework'. The Committee says its objectives are: to make capital requirements more prudent and risk-sensitive; to mitigate mechanistic reliance on external credit ratings; and to reduce current cliff effects in capital requirements.

    There are three major elements to the proposed revised framework. First, two possible hierarchies .......

    News Round-up 19 December 2012

  • Italian ABS assumptions revised

    Moody's has revised key collateral assumptions in 41 Italian ABS transactions backed by leases and loans to SMEs. The new loss assumptions generally have no rating impact, but the agency has taken individual rating actions on a small number of transactions with insufficient credit enhancement.

    The rating revisions follow Moody's review of the entire Italian lease and SME ABS sectors .......

    News Round-up 19 December 2012

  • Asian attraction

    Yield available, although challenges remain

    The structured finance markets in Asia face significant constraining factors in 2013. A preference for covered bonds will limit RMBS issuance on the mainland, while deal volume in Japan and Australia is expected to be flat to lower, with demand continuing to outstrip supply.

    Gregory Park, managing partner at Northstone Peak, notes that the structured finance market in Asia remains .......

    News Analysis 19 December 2012
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