ABS

  • 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

  • Italian sovereign-linked ratings hit

    Moody's has downgraded the ratings of 11 tranches in seven Italian ABS, due to their direct linkage to the ratings of the Italian sovereign and sub-sovereigns. The move follows the downgrade of Italy to Baa2 from A3 on 13 July and subsequent downgrades of 23 sub-sovereign entities on 16 July.

    The Italian government and several of the downgraded Italian regions .......

    News Round-up 23 July 2012

  • AESOP modelling error corrected

    Moody's has upgraded Avis Budget Rental Car Funding series 2010-6 variable funding notes to Aa2 from A1, following a correction to its rental car ABS model. The correction has no impact on any other outstanding classes or series of other rental car ABS, however.

    During the course of an internal review, Moody's discovered that the model erroneously applied a haircut .......

    News Round-up 23 July 2012

  • PCS Secretariat makes appointment

    Mark Lewis has become md at the PCS Secretariat in London. He was previously global head of structured capital markets at UniCredit.

    Lewis spent a decade at UniCredit working across Europe, the US, Asia and Australia. He will now work under Ian Bell, who was named Secretariat head last month.

    .......

    Job Swaps 20 July 2012

  • Credit card settlement could hurt ABS

    Credit card ABS could be negatively affected by a recent agreement between credit card companies and merchants which accept card payments, according to Fitch. The agreement saw card companies agree to pay US$6.05bn to merchants and cut the fees merchants pay on credit card transactions for eight months.

    The agreement also allows merchants to introduce surcharges for paying by credit .......

    News Round-up 18 July 2012

  • Tobacco tranches on rating watch

    Fitch has updated its US tobacco settlement ABS criteria and placed 150 of the 230 tobacco tranches it rates onto rating watch negative. The agency expects to resolve these watches within a month, with most downgrades expected to be one or two notches.

    The new criteria updates Fitch's base case assumption for the annual change in the master settlement agreement .......

    News Round-up 17 July 2012

  • APAC upgrades outnumber downgrades

    Fitch reports that APAC structured finance upgrades outnumbered downgrades in 2Q12 for the first time in two years. There were 24 upgrades, four downgrades and 267 affirmations during the quarter.

    The upgrades were predominantly driven by stronger-than-expected asset performance and increased available credit enhancement in Australia and India. The limited downgrades in the quarter were mostly to distressed tranches of .......

    News Round-up 12 July 2012

  • CLO specialist joins law firm

    Perry Sayles has joined McDermott Will & Emery in New York. He becomes financial institutions partner.

    Sayles has broad experience of derivatives, securitisation and structured products transactions as well as traditional corporate finance, project finance and acquisition finance. He specialises in CLOs and CDOs.

    .......

    Job Swaps 12 July 2012

  • Testing time

    The sophistication of ABS pricing and valuation vendors and...

    The securitisation market's understanding of fair value has improved dramatically since the financial crisis, driven by increased transparency and ever-more sophisticated vendor solutions. However, progress still needs to be made in some areas, including standardisation of reporting and availability of loan-level data.

    The ABS market generally has become more diversified since the financial crisis, according to Anthony Belcher, director EMEA .......

    News Analysis 11 July 2012

  • Dodd-Frank provisions reviewed

    SIFMA public policy and advocacy evp Kenneth Bentsen yesterday testified before the House Financial Services Subcommittee on Capital Markets and Government Sponsored Enterprises regarding the impact of the Dodd-Frank Act. Specifically, he focused on the implementation of the Volcker Rule, credit risk retention, Title VII and Section 165(e) single counterparty credit limits.

    "It is essential that US regulatory agencies, in .......

    News Round-up 11 July 2012

  • ED private placement completed

    European DataWarehouse (ED) has successfully completed a private placement with 15 key investors, consisting largely of global banks and institutions. The placement was coordinated by Perella Weinberg Partners.

    Proceeds from the placement will be used to finalise the build-out of ED, as well as to provide the business with ongoing working capital. Completion of the platform, which will include an .......

    News Round-up 9 July 2012

  • Loan-level data implementation scheduled

    The ECB has released a timeframe for the implementation of loan-level data reporting for ABS. Provision of loan-by-loan information for RMBS will be mandatory as of 1 December 2012, with SME ABS and CMBS reporting to be implemented by 1 January 2013 and consumer finance, leasing and auto loan ABS reporting by 1 January 2014.

    Loan-level data is to be .......

    News Round-up 9 July 2012

  • Turkish transactions hit

    Moody's has downgraded the ratings of 31 tranches in four Turkish future receivables transactions, while upgrading eight tranches in one transaction and confirming the ratings of 18 tranches in another three. At the same time, the agency has taken action on the underlying ratings of 30 tranches wrapped by financial guarantors in seven transactions. The ratings of nine tranches remain .......

    News Round-up 6 July 2012

  • Modelling pro founds credit advisory

    Thomas Aubrey, who previously ran Fitch Solutions, has founded Credit Capital Advisory. The firm was established to act as a channel for credit professionals that believe a new approach to credit modelling is required if credit risk management is to be improved and capital is to be preserved.

    Prior to joining Fitch in 2007, Aubrey managed the Datastream, economics and .......

    Job Swaps 5 July 2012

  • Student loan deals downgraded

    The correction of an input error along with poor performance of private student loans has prompted Moody's to downgrade 26 classes of bonds issued by Vermont Student Assistance Corporation. The underlying collateral consists of student loans originated under the Federal Family Education Loan Program (FFELP), which are guaranteed by the US government for a minimum of 97% of defaulted principal .......

    News Round-up 3 July 2012

  • Spanish deals hit

    Moody's has downgraded to A3(sf) the ratings of 583 securities across 328 structured finance transactions, including ABS, RMBS and CDOs. Moody's has also placed or maintained on review for downgrade the ratings of most Spanish ABS, RMBS and CDOs.

    There are three drivers for themost recent downgrades. The first relates to Moody's decision on 26 June to lower the Spanish country .......

    News Round-up 3 July 2012

  • RFC issued on two rating proposals

    Moody's is seeking market participants' comments on two proposals affecting how it assesses structured finance transactions globally. The first proposal supplements Moody's existing framework for de-linking swap counterparty risks by outlining an approach to assessing credit linkage to swap counterparties. The second proposal provides specific guidelines on how the choice of banks and eligible investment for the temporary use of .......

    News Round-up 3 July 2012

  • New deal boosts Russian ABS market

    In what is seen as a breakthrough for the Russian securitisation market, ZAO Raiffeisen Bank - the Russian subsidiary of Raiffeisen Bank International (RBI) - has completed a Diversified Payment Rights (DPR) securitisation secured by pledges of ZAO Raiffeisenbank's current and future US dollar and euro receivables.

    The European Bank for Reconstruction and Development (EBRD) provided US$50m of funding while .......

    News Round-up 3 July 2012

  • CMA acquired

    S&P Capital IQ has acquired Credit Market Analysis (CMA) from CME Group, as part of the agreement to establish the S&P Dow Jones Indices joint venture (SCI 2 July). The purchase of CMA - along with the recently announced acquisitions of R2 Financial Technologies (SCI 13 February) and QuantHouse - provides S&P Capital IQ with the components necessary to offer .......

    Job Swaps 3 July 2012

  • Equipment criteria unveiled

    Kroll Bond Rating Agency (KBRA) has released its methodology for rating US equipment lease and loan ABS. The rating agency's analytic approach for rating these transactions incorporates the originator and servicer's operational and financial strength, the quality and expected performance of the underlying assets, and an analysis of the transaction's structure.

    KBRA's rating assignments on equipment leasing ABS are based .......

    News Round-up 2 July 2012

  • Investment pro appointed

    Stefano Loreti has joined Haymarket Financial as a partner and head of structured credit investing. He previously spent six years as senior portfolio manager at Cairn Capital in London, responsible for the management of over US$20bn in global ABS and CDO securities. Loreti has more than 15 years of experience in managing and analysing a wide range of structured credit .......

    Job Swaps 2 July 2012
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