ABS

  • 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

  • Increased depth?

    Large bid-lists positive for Euro secondary liquidity

    Strong demand for a series of recent large bid-lists could signal increased depth in the European secondary ABS market. Liquidity is unlikely to extend to mezzanine positions, however.

    A series of large bid-lists, said to be from the legacy portfolio of a UK bank, captured the attention of the market earlier this month. The relatively large size of individual positions .......

    News Analysis 23 May 2012

  • Citibank spike skews card charge-offs

    US securitised credit card charge-offs rose by 27bp in April to 5.21% from 4.92% the month previously, according to Moody's Credit Card Indices. A significant increase in the charge-off rate of the Citibank trust caused the rise. The increase for Citibank will reverse course in the coming months and Moody's expects the charge-off rate index to resume falling over the .......

    News Round-up 22 May 2012

  • SLABS appeal

    Student loans attractive as uncertainty clears

    The US student loan ABS sector has its fair share of uncertainties to contend with, but the recent conclusion of S&P's FFELP review removes one of them. While political interference is harder to predict and becoming more of an issue, private paper is looking increasingly attractive.

    S&P placed FFELP ABS transactions on negative watch in June last year. Ignoring municipal .......

    News Analysis 21 May 2012

  • Container ABS appetite surging

    The container ABS sector has had an active second quarter. So far, four new deals have hit the market, while secondary trading in pre-crisis, floating-rate transactions picked up during the first two weeks of May.

    Year to date, pre-financial crisis container spreads have tightened by more than 100bp. Spreads on post-crisis deals, meanwhile, have compressed by 50bp-75bp.

    This quarter's new .......

    News Round-up 18 May 2012

  • UK card ABS stress tested

    Fitch says UK credit card master trusts remain resilient against a hypothetical severe economic deterioration in three stress tests the agency has conducted. The resilience is driven by the level of credit enhancement and improved performance of most trusts to pre-financial crisis levels.

    The three scenarios demonstrate the immediate stress required to see multi-category downgrades of Fitch's UK credit card .......

    News Round-up 18 May 2012

  • PPL appoints permanent treasurer

    Mark Wilten, who has been serving as interim treasurer at PPL Corporation since April, will take on the position permanently next month. He is currently treasurer at Nissan North America and Nissan Motor Acceptance Corporation.

    Wilten's previous roles include European securitisation associate director at Deutsche Bank, principal finance and asset securitisation executive director at WestLB and securitisation executive director at .......

    Job Swaps 18 May 2012

  • Strong take-up for Sabadell tender

    Banco Sabadell has announced the results of its 41-bond tender offer. Investors appear to have participated strongly, driven largely by eurozone concerns.

    The tender consisted of 21 RMBS, six ABS and 14 CLOs across both Banco Sabadell's own transactions and also from Caja de Ahorros del Mediterráneo transactions. The bank indicated it would consider purchasing up to €200m of its .......

    News Round-up 16 May 2012
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