ABS

  • Diversification benefits

    John Wells, chairman at Leadenhall Capital Partners, answers SCI's questions

    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 .......

    The Structured Credit Interview 14 June 2012

  • Card charge-offs in unexpected rise

    Fitch's US credit card charge-off index has registered an increase for the first time this year (see also SCI 22 May). It rose by 27bp in April to 5.44%, but the agency still believes the outlook for the sector remains positive.

    Fitch attributes the rise to day count mechanics at Citibank and says that, absent that anomaly, charge-offs would have .......

    News Round-up 14 June 2012

  • Euro auto ABS back to basics

    Signs of a move towards fixed-rate in European auto ABS issuance are encouraging, says Fitch. The agency welcomes the return to structural simplicity, but is uncertain about how investors will respond.

    Fixed-rate notes do not require the hedging of interest rate risk, removing one source of counterparty risk. As well as simplifying transaction structures, the agency believes this is a .......

    News Round-up 14 June 2012

  • SF data challenges surveyed

    Principia Partners has released the findings of its ABS, MBS and CDO Market Pricing Survey. The results reveal the range of methodologies and services investors use to obtain market pricing for structured finance and structured credit securities. However, while there are multiple data sources for investors, many challenges remain when managing the growing universe of information across their structured finance .......

    News Round-up 14 June 2012

  • Asian investment manager formed

    Harvest Alternative Investments Group has formed Harvest Northstone Capital, a structured credit manager focusing on high yielding asset-backed mezzanine investments supported by Asian consumer, SME and corporate assets. Investments will generally be privately sourced and structured.

    The investment team is led by managing partner Gregory Park, who was formerly the head of securitised products Asia for Deutsche Bank. Before that, .......

    Job Swaps 13 June 2012

  • PCS securitisation label launched

    AFME and the European Financial Services Round Table have launched the Prime Collateralised Securities (PCS) initiative. The non-profit project aims to develop a label for high quality securitisations which meet best practice for quality, transparency, simplicity and standardisation.

    The PCS initiative will comprise a two-tier governance structure, with the PCS Association comprising independent non-industry directors and industry professionals and then .......

    News Round-up 12 June 2012

  • Rating agency lowers Greek ratings cap

    S&P has taken various credit rating actions on the Greek RMBS and ABS notes it rates. All ratings are now capped at single-B minus as a result of the agency's updated assessment of Greece's country risk and the implications of the country leaving the eurozone.

    S&P says it previously considered structured finance transactions backed by Greek assets to have a low .......

    News Round-up 12 June 2012

  • Bank hires origination head

    Matthew Cooke has joined Lloyds Bank Wholesale Banking and Markets as md and head of financial institutions origination for asset backed solutions. He is based in London and reports to Robert Plehn, head of asset backed solutions.

    Cooke will lead and coordinate all securitisation and other asset backed funding and risk transfer origination activities for external financial institutions clients. He .......

    Job Swaps 12 June 2012

  • Chinese pilot programme revived

    Further details about the revival - following its suspension in 2008 - of China's Credit Asset Securitisation Pilot Programme have emerged (SCI 4 April). The size of the programme is understood to be RMB50bn.

    Regulators will require trustees involved with the programme to publicly disclose the performance of the underlying asset pools periodically, which will bring more transparency to the .......

    News Round-up 12 June 2012

  • Market risk rule welcomed

    The US Federal Reserve's final market risk capital rule (SCI 8 June) has generally been welcomed for reflecting industry feedback, albeit some concerns remain. Crucially, the final rule modifies the simplified supervisory formula approach (SSFA) by replacing the flexible floor with an adjustment to risk weightings based on delinquencies of the underlying assets.

    "The final rule has addressed certain key .......

    News 11 June 2012

  • Spanish ratings cap lowered

    Fitch has downgraded 234 tranches related to 156 Spanish structured finance (SF) transactions, following the downgrade of Spain's long-term foreign currency issuer default rating to triple-B from single-A. The affected tranches comprise 150 RMBS, 58 structured credit, 23 ABS and three CMBS classes from across 101 RMBS, 40 structured credit, 14 ABS and one CMBS deals. Additionally, the agency has .......

    News Round-up 11 June 2012

  • Russian DPR programme minted

    ZAO Raiffeisenbank (RBRU) has established a new diversified payment rights (DPR) securitisation programme in Russia. The first issuance under the programme - dubbed ROOF Russia DPR Finance Company - comprise US$125m series 2012-A and series 2012-B notes, which have been assigned single-A minus ratings by Fitch.

    The notes are backed by the collections generated from future and existing US dollar- .......

    News Round-up 11 June 2012

  • SLABS trusts hit

    Fitch has taken various actions on 10 FFELP student loan ABS trusts that are currently on rating watch negative. The actions include both downgrades and affirmations.

    The trusts were reviewed due to the prominence of a unique multiplier function and its usual determination based on lowest rating assigned to the notes by any rating agency (see also SCI 28 September .......

    News Round-up 11 June 2012

  • Investor perceptions surveyed

    JPMorgan has surveyed changes in investor perception of the consumer ABS market since September 2011. The results confirm that benchmark ABS asset classes - such as the auto loan and credit card sectors - enjoy the highest participation rates, while the more esoteric and riskier asset classes are less liquid.

    Banks generally invest in less esoteric and more triple-A rated .......

    News Round-up 7 June 2012

  • Greek country ceiling lowered

    Moody's has downgraded to Caa2 the ratings of the most senior securities in nine Greek structured finance (SF) transactions and to Caa3 the ratings of subordinated securities in six transactions. Moody's also placed all the Caa2 andCaa3 ratings of Greek SF securities under review for further downgrade.

    The rating actions follow Moody's lowering of its Greek country ceiling to Caa2 .......

    News Round-up 6 June 2012

  • Dealing with data

    The operational challenges facing investors in an increasingly data-rich world

    For years, structured credit and ABS investors have struggled to get access to comprehensive data for the assets in their portfolios. Now, driven by regulatory initiatives in Europe, the UK and US, there is far greater transparency of data on securitisations.

    However, the job is far from complete. There are still gaps in the data set and, more importantly, investors .......

    Talking Point 6 June 2012

  • FUEL exchange triggered

    Moody's recent upgrade of Ford Credit to investment grade has triggered the exchange of the Ford Upgrade Exchange-Linked (FUEL) ABS notes for the firm's senior unsecured debt. The US$1.5bn series 2011-1 and US$1bn series 2011-2 auto loan ABS were structured to mandatorily exchange upon Ford achieving an investment grade rating from two rating agencies during the transactions' five-year revolving period .......

    News Round-up 28 May 2012

  • Slow summer for Euro ABS

    It has been a fairly quiet couple of weeks for European ABS, but liquidity could suffer further as the summer progresses. Unfolding events in Greece and the implementation of the ECB's loan-level data initiative are both expected to put a dampener on activity.

    "The ABS market has been pretty quiet for a bit and there is not a huge amount .......

    Market Reports 24 May 2012

  • Redenomination risk analysed

    Redenomination risk should be factored into bond valuations for Greece, Ireland and Portugal at the very least, according to European asset-backed analysts at RBS. They outline in recent research a number of potential consequences of any eurozone break-up and redenomination.

    First, the RBS analysts note that the immediate consequence of redenomination would be that mortgages - which are local contracts .......

    News 24 May 2012

  • Sovereign ceiling kicks in

    FGA Capital has announced the first publicly marketed post-crisis Italian auto ABS - A-BEST 7. The transaction has caused a stir because the most senior class in the capital structure is rated double-A plus due to the Italian sovereign ratings ceiling (see also SCI 7 February).

    "It will be interesting to see investor reaction to the deal, as it is the .......

    News Round-up 23 May 2012

  • Pricing service adds CMBS

    Markit has added US CMBS to its evaluated bond pricing service. CMBS prices will be supplied by Trepp.

    With the addition of CMBS, Markit now offers access to independent prices across the whole universe of US structured finance securities. The move comes as the changing regulatory and accounting environment - along with the intense focus on transparency - have increased .......

    News Round-up 23 May 2012
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