Complete news archive

  • 'Limited' cat bond growth forecast

    Fitch reports that the global catastrophe bond market experienced strong issuance through the first nine months of 2015, despite a modest decline from the record level reported in the prior year. The agency calculates that US$5.5bn of cat bonds were issued during the period, down from US$6.2bn in 2014.

    "Repeat sponsors have replaced maturing issues and taken advantage of current .......

    News Round-up 2 October 2015

  • Risk-weighted assets report released

    The Basel Committee on Banking Supervision has released findings from a hypothetical test portfolio exercise to examine variability in banks' modelling of derivatives. The report focuses on the internal model method (IMM) and advanced credit valuation adjustments (CVA) risk capital charge for OTC derivatives trades.

    The Basel Committee's report analyses the variability of risk-weighted assets outcomes, highlights good practices and .......

    News Round-up 2 October 2015

  • RFC issued on railcar approach

    S&P is requesting comments on its methodology and assumptions for rating North American railcar ABS. The proposed criteria provide more transparency into the agency's approach and the cashflow assumptions used when reviewing transactions backed primarily by lease rental payments from a portfolio of railcars leased to various lessees.

    The criteria would apply to all new and outstanding North American railcar .......

    News Round-up 2 October 2015

  • KRIS models updated

    Kamakura Corp has updated its Kamakura Risk Information Services (KRIS) models. Version 6.0 of the offering includes what the firm describes as a state-of-the-art Jarrow-Chava reduced form model, a modern implementation of the Merton model and a Jarrow-Merton hybrid model in the reduced form model framework. The KRIS version 6.0 models were in development for four years and reflect the .......

    News Round-up 2 October 2015

  • US RMBS cautious

    Caution is prevailing in the US non-agency RMBS secondary market.

    "It's been a very quiet week with only about $800m in for the bid in total so far, which is highly surprising for quarter-end," says one trader. "The low volume is leading people to question whether paper is trading in significant volume privately, but I think it's just players being .......

    SCIWire 1 October 2015

  • New regulations 'unnecessary' for marketplace ABS

    The Structured Finance Industry Group (SFIG) yesterday released its response to the US Treasury's recent Request For Information on the marketplace lending industry. The response covers securitisations of marketplace loans, regulations that are currently in place and what challenges the industry faces in the near future.

    SFIG notes that the marketplace lending industry has the potential to play a major .......

    News Round-up 1 October 2015

  • VW outlook 'negative', agency confirms

    Moody's is the latest rating agency to warn that the US Environmental Protection Agency's findings that Volkswagen used engine management software in its diesel cars to evade emissions standards (SCI 23 September) are credit negative for outstanding auto ABS the company sponsors in the US and Europe. Brand damage could lead to lower recoveries on ABS loan and lease transactions .......

    News Round-up 1 October 2015

  • SCI conference line-up unveiled

    Panellists have been confirmed for SCI's 8th Annual Securitisation Pricing, Trading and Risk Seminar, which is being held on 7 October in New York. The event is being held at Bank of America's offices at 250 Vesey Street (formerly Four World Trade Center).

    The conference programme consists of a series of roundtables and panel debates focusing on issues affecting the .......

    News Round-up 1 October 2015

  • Greek RMBS paying 'on time'

    The capital controls that the Greek government imposed in June have had no impact on the timing of interest payments for Greek RMBS, with all issuers paying noteholders on time, Moody's reports. Themeleion II Mortgage Finance was the first to successfully pay (on 13 July), while Grifonas Finance No. 1 was the last (on 28 August).

    "All Moody's-rated Greek RMBS .......

    News Round-up 1 October 2015

  • FFELP reform to affect payments

    The CFPB, US Department of Education and Department of the Treasury have issued a joint statement on student loan servicing principles to provide a framework to improve servicing practices, promote borrower success and minimise defaults. The CFPB has also released its student loan servicing analysis of public input and recommendations for reform, which has direct implications for FFELP ABS through .......

    News 1 October 2015

  • New fund targets SF investment

    Franklin Templeton Investments has launched the Franklin K2 Long Short Credit Fund, which will invest in a variety of credit strategies. It aims to provide investors with access to a select group of hedge fund managers in a single diversified portfolio, while providing daily liquidity.

    Franklin Templeton acquired hedge fund solutions provider K2 Advisors in 2012. The new fund aims .......

    News Round-up 1 October 2015

  • Agency proposes new rating type

    S&P has issued a request for comment on its proposed criteria for assigning a new rating type. It would be specific to the financial obligations which structured finance special-purpose entities enter into with banks or other entities on the issuer's credit risk under a contract such as a swap or liquidity facility.

    The new counterparty instrument rating (CIR) would address an .......

    News Round-up 1 October 2015

  • Euro secondary improves

    Tone in the European securitisation secondary market is improving in line with broader market sentiment, but activity remains limited away from VW.

    "Yesterday was very quiet again, but that is typical of quarter-end," says one trader. "However we did start to see bids back in VW ABS and it had stabilised at its wides by the close. This morning it .......

    SCIWire 1 October 2015

  • Derivatives development

    Marketplace lending structured products weighed

    Efforts to create US marketplace loan derivatives are gaining traction, as investors seek hedges for their long positions and increased secondary market liquidity. According to a new SCI research report entitled 'Marketplace lending: disruptors and the new credit paradigm', the development of marketplace lending securitisations and structured products goes hand-in-hand.

    Synthetic Lending Marketplace (SLMX), for one, plans to .......

    News Analysis 1 October 2015

  • US CLOs stay tough

    Times are still tough in the US CLO secondary market.

    "The focus has primarily been on double- and triple-Bs, but even there liquidity has been very thin," says one trader. "In particular, it's been really tough for double-Bs across 2.0, but 1.0s have held up relatively well."

    Nevertheless, the trader adds: "Overall, we're wider across the board in double- and .......

    SCIWire 30 September 2015

  • CMU proposals laid out

    The European Commission has launched its Capital Markets Union action plan to build a single market among EU member states. The proposal provides specific criteria  to differentiate simple, transparent and standardised (STS) securitisation products, while also making amendments to capital requirements regulations.

    The Commission's introduction of a clear set of criteria to identify STS is broken down into two groups. According to the proposal, 'simple .......

    News Round-up 30 September 2015

  • CMBS liquidations move back up

    Trepp reports that US CMBS loan liquidation volume rose back above US$1bn after lower summertime totals in July and August. In total, US$1.02bn across 70 loans were liquidated with losses in September, with the majority of the increase due to a jump in average loan size to US$14.56m from US$11.48m and US$9.44m in August and July respectively.

    Seven loans totalling .......

    News Round-up 30 September 2015

  • VW auto ABS risks outlined

    The current Volkswagen scandal may be felt in auto ABS transactions primarily through its impact on used car values, says Fitch. The agency notes that transactions are exposed to used car values either directly through residual value or indirectly via recovery proceeds from the sale of the car when a borrower or lessee defaults.

    Fitch rates 25 Volkswagen-originated transactions globally, with .......

    News Round-up 30 September 2015

  • First significant Freddie K loss

    A US$5.3m loan securitised in FREMF 2011-K12 has been liquidated at a loss severity of 55%. It is the first Freddie K loan to be liquidated at a significant loss.

    The loan was secured by University Courtyard Apartments and was liquidated at a loss of US$2.92m. Class C notes have been written down from US$90.8m to US$87.9m as a result.

    News 30 September 2015

  • Crowdfunded properties transfer to special

    September remits show that three CMBS 2.0 loans totalling US$71m sponsored by the same borrower - Colony Hills - have been transferred to special servicing. According to Morgan Stanley CMBS strategists, the five properties securing these loans received financing via crowdfunding, which is an untested ownership structure in CMBS.

    The affected loans are the US$25.26m Colony Hills - Sandpiper and .......

    News 30 September 2015

  • Euro secondary drifts

    European securitisation secondary spreads are continuing to drift wider.

    "Yesterday was very quiet and today looks to be the same," says one trader. "Clients are definitely sidelined as market sentiment weakens."

    The trader continues: "There are a number of factors impacting sentiment both internal and external to ABS - there's the broader macro picture obviously, combined with our US equivalent .......

    SCIWire 30 September 2015
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