ABS

  • Early delinquency indices introduced

    Fitch's outlook on Indian ABS ratings remains stable, despite the prevailing stress in the Indian economy, which has driven deteriorating performance across commercial vehicle (CV) and construction equipment (CE) loans. This is in line with the agency's negative outlook for these asset classes.

    CV loans backing post-2009 vintage transactions reached a weighted average 90+dpd of 2% within 12 months of .......

    News Round-up 22 August 2012

  • Suits expected

    Libor-related litigation analyses prepped

    The impact of Libor rigging on the securitisation market is difficult to quantify, with the scandal representing yet another pause for the industry as it re-emerges post-financial crisis. Certainly, a wave of litigation activity is expected to be triggered in its wake.

    Indeed, preparatory litigation analyses are already being undertaken across all securitised asset classes as a result of the .......

    News Analysis 21 August 2012

  • IRS probe hits tax-exempt SLABS

    The investigation by the US Internal Revenue Service of sponsors of tax-exempt student loan securitisations and the establishment of a tax amnesty programme are credit negative for tax-exempt student loan ABS, according to Moody's.

    The Voluntary Closing Agreement Program (VCAP) provides amnesty to a sponsor from potential tax disputes if the sponsor pays a settlement to the IRS based on .......

    News Round-up 17 August 2012

  • Conflict of interest?

    Rating agency reform proposals scrutinised

    Credit rating agency reform is still being determined on either side of the Atlantic. Concerns that current regulatory proposals will create conflicts of interest and increase the cost of securitisations remain, however.

    The rating agencies' apparent mis-rating of structured finance products was largely confined to subprime RMBS and ABS CDOs, SIVs and a subset of ABCP. Given that recent research .......

    News Analysis 16 August 2012

  • Consolidation loans criticised

    Consolidation loans are credit negative for private student loan securitisations, Moody's notes in its latest Credit Outlook publication. Because prepayments by high-quality borrowers will increase, the amount of excess spread available to cover loan losses of poorer-quality borrowers will decrease, the agency suggests.

    SunTrust Bank has this month begun rolling out a loan product that consolidates a borrower's private student .......

    News Round-up 14 August 2012

  • Asian access

    Gregory Park, managing partner at Harvest Northstone Capital, answers SCI's questions

    Q: How and when did Harvest Northstone Capital become involved in the Asian structured credit market?
    A:     Harvest Northstone Capital is a joint venture between Northstone Peak, the fund I established in 2011, and Harvest Alternative Investment Group. Harvest Alternative Investment is a wholly owned subsidiary of Harvest Fund Management Co, the second largest fund house .......

    The Structured Credit Interview 14 August 2012

  • Korean SF set for mild rise in delinquencies

    High household debt will contribute to a rise in delinquencies and defaults among South Korean securitisation transactions, but the increase will be mild and remain within expectations, according to Fitch. This is reflected in the agency's stable outlook for the ratings performance of Korean structured finance (SF) deals in 2012.

    Unemployment rates and interest rates remain the key drivers of .......

    News Round-up 13 August 2012

  • Counterparty linkage analysed

    Moody's has disclosed that during the last quarter it downgraded most of the 114 European banks and 17 securities firms with global capital markets operations that it placed on review in February. Many of these entities were downgraded below the P-1 short-term rating level, which is a common rating trigger in structured finance transactions.

    The agency has subsequently identified 420 .......

    News Round-up 10 August 2012

  • Chinese trio hit the market

    Shanghai Pudong Road & Bridge Construction Co, Ningbo Urban Construction Investment Holding Co and Nanjing Public Holdings (Group) Co have become the first Chinese local government infrastructure firms to issue asset-backed notes (ABNs) under the country's revived pilot securitisation programme (SCI 12 June). The move follows the release of new guidance by the National Association of Financial Market Institutional Investors .......

    News Round-up 9 August 2012

  • Securitisation partner enlisted

    Kenneth Wright has joined SNR Denton as capital markets partner. He was at Skadden, Arps, Slate, Meagher & Flom and will be based in SNR's New York office, reporting to Stephen Kudenholdt.

    Wright represents issuers, underwriters and dealers and his practice focuses on a range of traditional securitisation asset classes and structures, including trade accounts payable, auto loans and leases, .......

    Job Swaps 8 August 2012

  • Pick-up seen in secondary ABS

    Activity in the secondary US ABS market has picked up, following light volumes last week, albeit with spread levels remaining firm. Credit card, auto and student loan paper was out for bid yesterday.

    Among the auto ABS circulating during the session, SCI's PriceABS data shows that US$5.28m in face of the AMOT 2011-1 A1 tranche was covered at .......

    News Round-up 7 August 2012

  • Enhanced granularity offered

    Interactive Data Corporation has enhanced the FINRA-Interactive Data structured trading aggregate reports available in Vantage, its web application. With additional layers of granularity, financial institutions can now obtain a more complete view of trading activity related to securitised products, the company says.

    A new agency hybrid ARMS trade reporting summary and more granular trading tables are now available via Vantage. .......

    News Round-up 7 August 2012

  • Junior SIV ratings hit

    S&P has lowered its credit ratings on all of Mazarin Funding's junior senior notes. These rating actions include the correction of an administrative error on the series 2010-21 junior senior notes. At the same time, the agency has affirmed all of the SIV's A-1+ short-term ratings on the commercial paper programmes and repurchase agreement notes and the triple-C minus ratings .......

    News Round-up 6 August 2012

  • Italian sovereign ceiling lowered

    Moody's has downgraded to A2 the ratings of 257 securities across 169 Italian ABS and RMBS. It has also placed on review for downgrade the ratings of 83 Italian ABS and RMBS securities and confirmed the ratings of four Italian RMBS securities.

    The rating downgrades follow Moody's decision to lower the Italian country ceiling to A2, in connection with its .......

    News Round-up 3 August 2012

  • Uncertainty weighs on European structured finance

    The marked divergence seen either side of the Atlantic in structured finance issuance volume trends in 1Q12 continued throughout Q2, according to the latest SCI league tables for bank arrangers in the structured credit and ABS markets.

    The 2Q12 SCI league tables show that sovereign and economic uncertainty are continuing to hold back supply and demand for European paper. Half-year .......

    News Round-up 1 August 2012

  • Auto losses hit new low

    Prime auto annualised net losses (ANL) dropped by 22% in June over May to a new record low of 0.14%, according to Fitch. This was mainly driven by the strong 2010-2012 driving performance as the weaker 2008-2009 transactions have mostly paid off.

    Prime delinquencies were stable in June, with 60+ delinquencies up by just 2bp to 0.40% from 0.38% in .......

    News Round-up 30 July 2012

  • Euro ABS treading water

    The summer was expected to be quiet for European ABS and that is how it has proved so far. The last week has not seen a lot of activity, although that is not down to a lack of potential buyers.

    "There is a lot of buying interest in the market right now, but it is not translating into a lot .......

    Market Reports 26 July 2012

  • Dryrock sheltered by safe harbour

    Barclays Bank Delaware (BBD) has established a new US credit card ABS programme, Dryrock Issuance Trust, which is expected to boost volumes in the sector. Dryrock will also be the first credit card ABS trust to issue under the FDIC's safe harbour rule that was adopted on 27 September 2010.

    The rule provides issuers with more flexibility to amend trust .......

    News Round-up 26 July 2012

  • APRA first-loss rule welcomed

    Moody's has welcomed the Australian Prudential Regulation Authority's (APRA) requirement for banks to deduct from their common equity Tier 1 holdings subordinated tranches of securitisations originated by a third party. The rating agency suggests in a recent Credit Outlook publication that such a conservative measure will support bank stability by ensuring there is adequate capital to cover first-loss positions.

    The .......

    News Round-up 24 July 2012

  • ABS expectations

    Quarterly review and outlook for European consumer/credit card ABS

    We asked Lloyds Bank, the winners of SCI's 2011 arranger award for European consumer/credit card ABS, its views on activity in Q2 and expectations for Q3 in the sector. Below are SCI's questions and the responses from Robert Plehn, md, head of asset backed solutions, Lloyds Bank Wholesale Banking & Markets.

    Over the past quarter, what have been the key .......

    News Analysis 24 July 2012

  • Mezz ABS fund minted

    Prytania Investment Advisors has launched the Galene Fund, an actively managed fund focusing on investment grade structured finance assets. It aims to build a diversified portfolio generating a stable yet attractive return in excess of 450bp over one-month Euribor per annum.

    The fund seeks to exploit the attractive risk-adjusted return of ABS through relative value opportunities, mispriced risks and identification .......

    News Round-up 23 July 2012
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