ABS

  • FATCA implications examined

    The forthcoming US Foreign Account Tax Compliance Act (FATCA) could have wide-ranging implications for global structured finance transactions, Fitch says. In particular, the FATCA status of SPVs and counterparties handling payments will be a key issue. Under current plans, withholding tax would apply on relevant interest payments from January 2014 and relevant principal payments from January 2015.

    The Act is .......

    News Round-up 31 August 2012

  • Indian CV ABS stress tested

    Fitch says that Indian commercial vehicle (CV) loan ABS are resilient, even under a severe slowdown in the Indian economy. The agency has subjected its ratings on CV loan ABS to moderate and severe stress to assess their impact on asset performance.

    The stress factors against which the ratings were analysed are a slow-down in industrial production, which leads to .......

    News Round-up 29 August 2012

  • SLABS issuance defies market changes

    US student loan ABS issuance has increased this year and ratings performance has remained stable, despite significant changes in the sector, according to S&P.

    The changes have centred on shifts in how government-guaranteed student loans are funded, which has put a sizable dent in government-backed student loan ABS issuance. Despite this setback, Sallie Mae, a handful of municipal issuers and .......

    News Round-up 28 August 2012

  • ABS bucks quiet secondary trend

    After a run of elevated supply, secondary trading in the US tailed off at the end of last week and remained comparatively quiet on Monday. RMBS volumes, in particular, are muted as investors digest remittance reports. Activity in the ABS sector has ticked up, however.

    SCI's PriceABS BWIC data shows fewer RMBS line items than usual for yesterday's .......

    Market Reports 28 August 2012

  • SLABS paper trades in secondary

    Secondary market supply remained strongly elevated yesterday, with 480 line items represented in SCI's PriceABS BWIC data. Student loan ABS paper, in particular, was circulating and attracting interest at tight levels.

    The SLMA 2011-A A2 tranche was covered in the N+150/160 range, coming tight from its talk earlier in the day of N+170/180. Fellow Sallie Mae private student .......

    Market Reports 24 August 2012

  • Euro rating transitions examined

    By mid-2012, only 1.11% of European structured finance notes outstanding in mid-2007 had defaulted, according to S&P. Meanwhile, the 12-month rolling default rate edged only slightly higher to 0.5%.

    Even amid the deteriorating European economy, worsening collateral performance and the application of some updates to S&P's ratings criteria, the rise in the 12-month rolling downgrade rate slowed to only 30.8%. .......

    News Round-up 24 August 2012

  • Prime auto ABS stress tested

    The majority of outstanding triple-A rated US prime auto loan ABS notes are comfortably able to withstand a hypothetical recession and material declines in used vehicle recovery rates, according to recent stress tests conducted by Fitch.

    Under the moderate scenario, the agency would expect all triple-A rated notes to remain rated investment grade. Nearly three-quarters of these ratings are expected .......

    News Round-up 23 August 2012

  • Polish auto ABS marketing

    A rare Polish auto loan ABS has hit the market. Dubbed GNB Auto Plan, the transaction is originated by Getin Noble Bank and securitises approximately 33,800 standardised loans, of which 52% is secured by new cars and the remainder by used cars up to five years old.

    The loans were mainly originated via Getin Noble Bank's external car dealer network, .......

    News Round-up 23 August 2012

  • Technical bump for charge-offs

    US securitised credit card charge-offs increased to 4.56% in July from 4.27% in June, according to Moody's Credit Card Indices. One-time technical factors explain the rise, the agency says, and the charge-off rate index is expected to resume its downward trajectory next month.

    The 29bp rise in the charge-off rate index was the result of increases Moody's had expected from .......

    News Round-up 23 August 2012

  • Tobacco review completed

    Fitch has completed the review of its tobacco portfolio accounting for the amount of Master Settlement Agreement (MSA) payment received by each securitisation trust in 2012. For 2012, the aggregate MSA payment was 1.97% higher than the amount in 2011.

    The agency last month published updated tobacco settlement ABS criteria (SCI 17 July), which included a change in the base-case .......

    News Round-up 23 August 2012

  • MountainView expands, forms alliance

    MountainView Capital Holdings has acquired Clayton IPS, the independent pricing service of Clayton Holdings. It has also appointed Andrew Platt to its executive team as head of business development.

    The newly-acquired IPS unit provides fixed income managers and investors with third-party pricing for securities such as ABS, RMBS and CMBS. The team also values residential whole loans, CDS, secured corporate .......

    Job Swaps 23 August 2012

  • Euro issuance constraints highlighted

    Weak economies, cheap central bank funding and regulatory uncertainty look set to constrain European securitisation issuance for the foreseeable future, according to S&P. The agency reports that investor-placed securitisation issuance in the region totalled €44bn in the first seven months of 2012 - down by about 10% from the same period in 2011.

    "We believe European securitisation issuance could end .......

    News Round-up 22 August 2012

  • Country credit deterioration RFC issued

    Moody's is inviting market participants to comment on proposed adjustments to its modelling assumptions designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. The proposal would extend the sovereign ceiling concept to the entire capital structure and provide a mechanism to amend loss distribution when mezzanine and subordinate tranches are impacted.

    Moody's .......

    News Round-up 22 August 2012

  • 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
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