ABS

  • Three cat bonds close

    Three catastrophe bonds closed last week. All saw strong investor interest and finished larger than initial size projections.

    Allianz's Blue Danube (SCI 13 March) saw its two tranches reach US$120m each. The class A notes priced at 600bp over the permitted investment yield (six-month Libor minus 32bp) and the class Bs at 1075bp over.

    The series 2012-1 class A and .......

    News 10 April 2012

  • Rehab SLABS liquidity risk warning

    Fitch believes that the increase in rehabilitated student loans in some recent FFELP ABS transactions heightens near-term liquidity risk, despite the US government guarantee on these loans.

    Rehabilitated student loans are those in which the borrower defaults but subsequently makes nine on-time payments during 10 consecutive months. In these situations, the collection costs - up to 18.5% of the outstanding .......

    News Round-up 10 April 2012

  • Florida cat bond marketing

    Goldman Sachs is marketing a US$200m catastrophe bond on behalf of Citizens Property Insurance - Everglades Re. The single tranche hurricane deal has been assigned a preliminary rating of single-B plus by S&P.

    Everglades Re covers ultimate net losses of Citizens from hurricanes in the state of Florida on a per-occurrence basis. Ultimate net loss does not include extra-contractual obligations .......

    News Round-up 5 April 2012

  • FFELP SLABS criteria tweaked

    Fitch has updated its FFELP student loan ABS criteria. While largely unchanged from the perspective of rating methodology and analytical approach, the updates incorporate several enhancements to the agency's credit analysis.

    These include: the revision of basis stress assumptions due to the special allowance payment (SAP) index change; highlighting the US sovereign rating as one of the key rating drivers; .......

    News Round-up 4 April 2012

  • FFELP SLABS review hits

    Moody's has placed on review for possible downgrade the ratings of 189 tranches in 24 US FFELP student loan ABS from eight issuers, following the publication of its new methodology for the sector (SCI 20 January). At the same time, five subordinate tranches in five transactions were placed on review for possible upgrade. Approximately US$7.5bn of securities are affected as .......

    News Round-up 3 April 2012

  • Canadian card ABS criteria issued

    S&P has published its methodology and assumptions for analysing credit risk associated with credit card ABS in Canada, effective immediately. At this time, no outstanding ratings are expected to be affected by the new criteria.

    There are many similarities between the Canadian and US credit card markets and securitisation structures, S&P notes. Accordingly, the agency will apply the same criteria .......

    News Round-up 28 March 2012

  • Mexican equipment ABS criteria finalised

    S&P has published its methodology and assumptions for rating Mexican equipment lease ABS, effective immediately. At this time, no outstanding ratings are expected to be affected by the new criteria.

    Equipment lease ABS in Mexico are similar to those in the US, S&P notes. Accordingly, when analysing such transactions, the agency will apply its US criteria with a few adjustments .......

    News Round-up 27 March 2012

  • Private SLABS at risk

    The New York Fed recently reported that as many as 27% of all US student loan borrowers are more than 30 days past due, with recent estimates suggesting that US$900bn-US$1trn of student loans are outstanding. Fitch believes that the recent increase in past-due and defaulted student loans presents a risk to investors in private student loan ABS, but not those .......

    News Round-up 23 March 2012

  • ILS specialists switch firms

    Willkie Farr & Gallagher has hired a team of 12 insurance transactional and regulatory lawyers. The team joins from Dewey & LeBoeuf and will continue its ILS work from Willkie's New York, London and Washington DC offices.

    The team is led by Alexander Dye, Michael Groll, Robert Rachofsky and John Schwolsky. It represents insurance companies, investment banks, sponsors and other .......

    Job Swaps 22 March 2012

  • Card charge-offs hold steady

    US credit card charge-offs held steady in February, as the charge-off rate index fell 1bp below its January level to 4.97%, according to Moody's Credit Card Indices. The agency expects the charge-off rate to start falling in the coming quarter and end 2012 at about 4%.

    The delinquency rate index also declined, by 7bp to 2.86%, setting yet another all-time .......

    News Round-up 22 March 2012

  • Auto ABS losses hit new low

    US prime auto ABS losses dropped to a new record low last month, according to Fitch's latest index results for the sector.

    Prime annualised net losses (ANL) dropped by 28% in February to 0.38%, down from 0.53% in January and 57.8% better year-over-year (YOY). This compares to the prior low of 0.41% in June 2011.

    Used vehicle values have been .......

    News Round-up 19 March 2012

  • Typhoon cat bond launches

    A new Japanese wind and storm catastrophe bond is being marketed by Swiss Re Capital Markets - Akibare II.

    Swiss Re will be the counterparty to the risk transfer contract but the US$90m single-tranche deal will ultimately provide protection to the reinsured - Mitsui Sumitomo Insurance. The deal will be exposed to typhoons and tropical storms in Japan between March .......

    News Round-up 13 March 2012

  • ILS team, funds acquired

    LGT Group is buying Clariden Leu's ILS business. A team of 10 specialists and the Clariden Leu (CH) Cat Bond Fund, Clariden Leu (Lie) Cat Bond Fund, Clariden Leu (Lux) - Cat Bond Fund and Clariden Leu (Gue) ILS Plus Fund will be transferred to LGT Capital Management as part of the deal.

    The acquisition increases LGT Capital Management's AUM .......

    Job Swaps 13 March 2012

  • Allianz cat bond marketing

    Swiss Re and GC Securities are marketing a catastrophe bond from a new Allianz programme - Blue Danube.

    The as yet unsized series 2012-1 class A and B notes will be exposed to US, Caribbean and Mexico hurricane risk; and US and Canada earthquake risk between 3 April 2012 and 2 April 2015. S&P has given the deal's notes preliminary .......

    News Round-up 13 March 2012

  • Willis appoints Europe md

    Andrea Bellone has joined the European team of Willis Capital Markets & Advisory as md. He is based in London and reports to Michiel Bakker, head of WCMA Europe.

    Bellone is now responsible for WCMA clients in continental Europe, with a particular emphasis on Italy. He joins from Leadenhall Capital Partners and has 18 years of experience in insurance and .......

    Job Swaps 12 March 2012

  • East Lane Re V upsizes

    The fifth catastrophe bond from Chubb's East Lane programme has closed with its junior tranche upsized. East Lane Re V's series 2012 class A and class B notes initially targeted US$75m and US$50m (SCI 22 February 2012), but the class Bs ended up at US$75m

    The four-year deal priced at 900bp over Treasury money market funds for the class A .......

    News Round-up 12 March 2012

  • German set-off risk warning

    A series of higher regional court decisions regarding loan handling fees for German consumer loans could expose securitisations to additional set-off risk. Fitch says it will review the potential impact on existing ratings on a transaction-by-transaction basis.

    The court rulings invalidate administration fees that were charged to set up a loan. The risk to German ABS transactions is that borrowers .......

    News Round-up 8 March 2012

  • Capex concerns

    UK water companies to return to securitisation

    The UK Environment Agency has put the South East of England on drought status, with reservoir levels in the region already 20% lower than normal. To help fund additional capital expenditure - both to mitigate the impact of the drought and to manage long-term operating costs - a number of water companies are expected to tap the securitisation market this .......

    News Analysis 7 March 2012

  • Trading vet resurfaces

    Alan Packman has joined Knight Capital Group as head of structured credit trading. Packman was most recently at UBS Investment Bank, where he was head of CDO trading for Europe.

    The trader has considerable experience across structured finance and has previously worked at Aladdin Capital Management, Hoare Capital Markets, Dresdner Kleinwort, Lloyds TSB and WestLB trading ABS, MBS, CDOs and .......

    Job Swaps 6 March 2012

  • Mystic Re III closes

    Liberty Mutual's Mystic Re III (SCI 14 February 2012) has closed providing US multi-peril cover totalling US$275m. The two tranche deal is based on the ultimate net losses of the ceding insurer from US hurricanes and earthquakes, including fire following, on a per-occurrence basis.

    Mystic Re III's US$100m series 2012-1 class A notes priced at 900bp over Treasury money market .......

    News Round-up 5 March 2012

  • Cards from abroad

    US investors hungry for UK credit card ABS

    Barclays last week priced its latest UK credit card ABS, with the largest tranche denominated in US dollars. US accounts are increasingly looking to invest in UK credit card paper for several reasons and that interest is expected to continue.

    Barclays' Gracechurch Card Programme Funding 2012-1 - whose US$450m 2.93-year class A1 notes printed at 70bp over one-month Libor - .......

    News Analysis 5 March 2012
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