ABS

  • 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

  • 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

  • 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

  • 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

  • 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    The agency says it has withdrawn more than 200 ABCP ratings globally over that time.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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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

  • 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
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