ABS
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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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SF trading head named
Laila Kollmorgen has joined Raymond James Financial as head of European structured finance trading. She was previously md and head of European ABS/CDO trading at Cohen & Company and head of secondary ABS trading at BNP Paribas.
....... Job Swaps 29 June 2012
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Subprime auto ABS overheating?
Moody's suggests that the US subprime auto lending market is beginning to resemble its condition in the 1990s, when overheated competition led to poor underwriting that drove up securitisation losses. As in that earlier period, capital is pouring into the sector and the issuance of subprime ABS is booming, the agency observes.
"It is too early to predict whether today's .......
News Round-up 29 June 2012
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Prime auto losses inch up
Following strong performance in the spring, US prime auto loan ABS losses crept up slightly last month, according to Fitch's latest index results for the sector. However, the agency reports that auto ABS performance remains on track with annualised net losses (ANL) standing at 0.18% in May, 61% below 2011's figure.
Prime ANL moved up by 1bp month-over-month (MOM) and .......
News Round-up 29 June 2012
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SF natural hedging examined
The number of European structured finance deals that use swaps to hedge interest rate mismatches may decrease as hedging costs rise and the number of eligible counterparties drops, Fitch suggests. This reduces the counterparty risk but can place more emphasis on credit enhancement if the resulting interest rate risk is not adequately mitigated, for example through natural hedges.
Various techniques .......
News Round-up 27 June 2012
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Bank downgrades hit SF, ABCP
Moody's has downgraded a number of structured finance notes directly exposed to the declining credit quality of certain US and European firms with global capital market operations that the agency downgraded on 21 June. At the same time, the ratings on approximately US$37bn of ABCP have been impacted.
The rating actions affect 110 tranches and 103 structured notes in the .......
News Round-up 26 June 2012
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ECB repo eligibility broadened
The ECB is set to reduce the rating threshold and amend the eligibility requirements for certain ABS, thereby broadening the scope of the measures to increase collateral availability that were introduced on 8 December 2011.
Auto loan, leasing and consumer finance ABS and CMBS that have a second-best rating of at least single-A at issuance and at all times subsequently .......
News Round-up 26 June 2012
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Card charge-off spike reverses
US securitised credit card charge-offs declined by 31bp in May to 4.9% from 5.21% in April, according to Moody's Credit Card Indices. The drop more than reversed an anomalous one-month increase in April (SCI 22 May), says Moody's.
The May decline in the charge-off rate index is consistent with Moody's forecast that the index will continue to fall lower in .......
News Round-up 25 June 2012
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Credit cards boosting US volumes
Year-to-date US consumer ABS volume stands at US$83.5bn, approximately 62% ahead of last year's pace of issuance. The recent flurry of credit card, student loan and equipment transactions (see SCI's ABS database) has shifted the composition of the market: the auto sector's share, for example, fell to 48.4% this month - the first time it has fallen below 50% since .......
News Round-up 22 June 2012
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Picking sides
Challenges and opportunities in search for relative value
Ongoing speculation about the future of Greece has dominated the market's attention, but it is not the only concern weighing on participants' minds. Nevertheless, European ABS still offers great value for those who know where to look.
"We are at a place where trading is gradually reduced. Secondary activity is down in Europe and the US as everybody watches Greece. .......
News Analysis 22 June 2012
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Mixed blessings
Action needed to attract European investors
Some ABS traders in Europe are expecting to use their balance sheets more over the coming months to support clients. While the rise of BWICs is aiding execution for sellers, more needs to be done to attract a broader investor base to the market.
Increasingly heavy use of BWICs has been a mixed blessing for European ABS traders. While the .......
News Analysis 22 June 2012
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Conduits eye flexible execution
ABCP programmes have performed relatively well over the past five years, but issuance has declined significantly due to the global banking and evolving regulatory environments. ABCP outstanding has decreased by more than 70% since the beginning of 2008, according to S&P.
The agency says it has withdrawn more than 200 ABCP ratings globally over that time. During 2011 alone, 22 .......
News Round-up 21 June 2012
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Sovereign-linked downgrades highlighted
S&P reports that rating actions on banks and sovereigns were once again the major factors affecting its European structured finance ratings in 1Q12. Both downgrades and upgrades increased, with most downgrades affecting RMBS transactions.
"We took 1,594 rating actions in the quarter, comprising 1,100 downgrades and 494 upgrades. This represents a significant increase from the previous quarter, which saw 393 .......
News Round-up 19 June 2012
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Korean financial shock warning
Moody's says that Korean household loans have characteristics that make them vulnerable to financial shocks and tail risks arising from the European debt crisis and China's economic slowdown.
"This can lead to a deterioration in loan performance in Korea; in turn, exerting pressure on ABS and RMBS transactions," says Marie Lam, a Moody's vp and senior credit officer.
The agency .......
News Round-up 19 June 2012
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Credit card ABS stress tested
Most US credit card ABS trusts are well positioned to withstand a prolonged economic downturn beyond that experienced in 2008-2009, according to recent stress tests conducted by Fitch. The agency conducted one moderate and two severe stress scenarios across all US rated credit card ABS trusts to illustrate how ratings would perform in hypothetical, adverse macroeconomic environments.
Fitch stressed the .......
News Round-up 19 June 2012
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DPCs eyed as SF counterparties
Demand for higher rated structured finance (SF) counterparties appears to be driving renewed interest in derivative product companies (DPCs). The move has prompted Fitch to issue an exposure draft outlining its latest views on rating such vehicles.
The agency notes that certain legal and structural aspects of DPCs did not perform as expected during the financial crisis, with many DPC .......
News Round-up 19 June 2012
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MBS, rates team expanded
Zachary Pace, Aaron Read and Tai Vu have joined Gleacher & Company Securities' MBS and rates group. The group provides structured finance, research, sales and trading services on RMBS, ABS, US Treasury and government agency securities, CLOs, CDOs and other securities.
Pace and Read join as directors while Vu becomes vp. Pace joins from Bank of America where he was .......
Job Swaps 18 June 2012
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APAC ratings remain stable
Fitch reports that Asia-Pacific (APAC) structured finance (SF) tranches remain largely stable, with 85% of the tranches maintaining their ratings in 2011, unchanged from 2010.
Downgrades outnumbered upgrades for the fourth year in a row and by an eight-to-one margin in 2011. The low number of upgrades last year can be partially attributed to the fact that about 46% of .......
News Round-up 18 June 2012
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PCS Secretariat head named
Ian Bell has been named as the head of the PCS Secretariat, the PCS division responsible for day-to-day administrative and managerial operations (see SCI 12 June). Bell was most recently head of European structured finance at S&P. He has also served as general counsel at S&P and was previously capital markets partner at Clifford Chance.
....... Job Swaps 15 June 2012
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BoE launches extended repo facility
The Bank of England is to commence operations under the extended collateral term repo (ECTR) facility, which was introduced in December 2011. Activation of the facility is intended to mitigate prospective risks to financial stability arising from a market-wide shortage of sterling liquidity by lending to the banking system against a range of collateral, including securitisations and covered bonds.
The .......
News Round-up 15 June 2012
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Diversification benefits
John Wells, chairman at Leadenhall Capital Partners, answers SCI's questions
The Structured Credit Interview 14 June 2012
Q: How and when did Leadenhall Capital Partners become involved in the insurance-linked securities (ILS) market?
A: Leadenhall Capital Partners was established in May 2008, when Luca Albertini and I formed an investment management partnership with Amlin - the first such venture to be backed by a Lloyd's insurer. We were both previously involved with insurance-linked .......