ABS

  • Caribbean consumer deal prepped

    CFG Holdings is in the market with a consumer ABS backed by a pool of local currency fixed-rate personal loans originated by its subsidiaries in Panama, Aruba, Curaçao and Bonaire. Dubbed CFG Investments 2017-1, the US$222m securitisation features a Cayman Islands SPV as note issuer and a borrower SPE in each jurisdiction.

    The pool comprises 75,805 loans totalling US$247.06m, with .......

    News 25 September 2017

  • Risk transfer round-up - 22 September

    A Barclays significant risk transfer deal planned for mid-September has reportedly been delayed until mid-October. The new transaction follows the issuer's recent third Colonnade Global capital relief trade (SCI 8 September). The bank is also said to be planning corporate and mortgage SRT transactions for 2018.

    .......

    News 22 September 2017

  • EBA releases SRT discussion paper

    The EBA has released its significant risk transfer (SRT) discussion paper, the main elements of which were outlined last month (SCI 18 August), and has launched a public consultation on its contents. The banking watchdog wishes to further harmonise the regulation and supervision of risk transfer through securitisation.

    SRT in securitisations allows originators to achieve regulatory capital relief. The EBA's .......

    News 20 September 2017

  • Smaller lessors lifting aircraft ABS

    Smaller aircraft lessors have increasingly tapped the ABS market over the last 18 months, with established lessors utilising other funding methods. The resulting shift in issuance is being reflected in securitised aircraft collateral pools, potentially leading to increased risks.

    Fitch notes that the rise in new and/or smaller lessors in the aviation ABS market is paired with an increase in .......

    News 18 September 2017

  • 'Substantial' green ABS volumes eyed

    Vehicle and housing loans have the potential to produce substantial flows of large-scale green ABS transactions over the next five years, according to a new SCI research report produced in conjunction with TMF Group and Ygrene Energy Fund. However, the report - entitled 'Impact investing and green ABS: creating a market of the future' - finds that would-be .......

    News Analysis 18 September 2017

  • Job swaps round-up - 8 September

    EMEA

    Tiger Risk UK has hired Michael Wade as a non-executive chair of TigerRisk Capital Markets and Advisory UK. He is also the Crown representative for insurance at the UK cabinet office and advisor to the Chancellor of the Exchequer on issues relating to Insurance Linked Securities (ILS).

    Beechbrook Capital has hired Jon Petty to the role of associate director .......

    Job Swaps 8 September 2017

  • Euro secondary returns

    The European securitisation secondary market is beginning to return to life after the summer.

    August saw the usual seasonal lull in terms of trading volumes in ABS/MBS, but the buying bias remained across the board. Consequently, secondary spreads were flat to slightly tighter month on month.

    CLO volumes saw less of a dip and from time to time, especially around .......

    SCIWire 7 September 2017

  • Further ratings reviewed on margin requirements

    Fitch has placed 38 ABS tranches on rating watch negative, due to the reduced likelihood of counterparty replacement, resulting from new two-way margin posting requirements (SCI passim). The rating agency notes that one of its key considerations is the ability to replace a counterparty following their downgrade below defined trigger levels and a key factor in achieving ratings above that .......

    News 4 September 2017

  • Job swaps round-up - 1 September

    EMEA

    Credit Suisse has hired Constantin Hulst as a CLO structurer to its European CLO origination team in London, reporting to Michael Malek, head of European CLO structuring. Hulst was previously at BNP Paribas, where he was an analyst and structurer in the CLO team.

    North America

    Allianz Global Investors has hired Mona Mahajan as its new US investment strategist. She .......

    Job Swaps 1 September 2017

  • Risk transfer round-up - 1 September

    As expected, August was a quiet month for capital relief trade issuances. But market sources continue to expect activity to significantly pick up in Q4.

    Among the transactions anticipated next quarter are two commercial real estate deals in Germany and a significant risk transfer trade between a British bank and Ares Management. Regarding Q4 activity overall, one source states: "It .......

    News 1 September 2017

  • Hurricane Harvey impact weighed

    While the picture is not yet clear in terms of the total damage inflicted by Hurricane Harvey, it looks set to impact several sectors across securitisation. RMBS and CMBS appear likely to be most affected, along with credit risk transfer transactions and potentially auto ABS.

    CMBS 2.0 transactions are set to be most affected, with Morgan Stanley estimating that 241 .......

    News 1 September 2017

  • Libor transition provisions eyed

    Despite the UK FCA's recent announcement that it plans to phase Libor out by 2021 (SCI 31 July), the move is far from an outright ban and the benchmark could live on past the deadline. However, without any agreement as yet about a successor rate, uncertainty prevails over how the estimated US$150trn bonds with exposure to Libor will be affected.

    News Analysis 25 August 2017

  • Ukrainian NPL sales gain traction

    DebtX is set to facilitate the largest Ukrainian NPL portfolio sale next month, signalling a growing shift in sentiment by international investors in the country's NPL market. The US$240m commercial loan pool is secured by assets that are representative of the market as a whole, including resorts, supermarkets, agricultural operations and logistics.

    "The government has been testing the market with .......

    News Analysis 25 August 2017

  • NPL auction model highlighted

    Online platform Debitos welcomes the European Commission's public consultation on the development of a secondary market for non-performing loans (SCI 11 July). The platform's auction process offers a potential model for dealing with Europe's NPL overhang by narrowing the bid/ask gap.

    Debitos founder and md Timur Peters sees the consultation as a confirmation of his business concept. "It's about the .......

    News Analysis 23 August 2017

  • Bond Connect debuts auto ABS

    Ford Automotive Finance (China) (FAFC) has launched the first securitisation utilising Bond Connect, which allows offshore investors to participate in China's inter-bank bond market. The RMB3.77bn Fuyuan 2017-2 auto loan ABS is also noteworthy for being rated by two domestic and two international rating agencies.

    A China Foreign Exchange Trade System/HKEX joint venture, the Bond Connect platform was established last .......

    News 23 August 2017

  • IBR driving collateral convergence

    FFELP student loan ABS collateral performance has converged in recent years due to the growing use of income-based repayments (IBR). Wells Fargo structured products analysts suggest that this convergence should spur investors to reassess their "old school" prepayment pricing assumptions.

    Principal paydowns are more similar than different, despite the various prepayment rates among FFELP SLABS collateral, according to a recent .......

    News 22 August 2017

  • Risk transfer framework outlined

    Outlines of the main elements of the EBA's risk transfer discussion paper - due to be released next month - have been revealed. The recommendations will focus on the main structural features of risk transfer transactions and may at a later stage result in regulatory changes. It remains unclear whether the consultation will result in final technical advice, however.

    The .......

    News 18 August 2017

  • Air Berlin insolvency affects aircraft ABS

    Air Berlin filed for insolvency yesterday. While intervention from the German state should keep the airline operational for at least the next three months, there are a dozen aircraft ABS deals exposed to Air Berlin and temporary cashflow disruptions are anticipated.

    Air Berlin's insolvency filing follows the refusal of Etihad to provide further financial support to the airline. Etihad is .......

    News 16 August 2017

  • Exeter breach an 'atypical' event

    EART 2015-2 senior bondholders received no principal payment this month, after the auto ABS deal's cumulative net loss (CNL) trigger was cured. Although this appears to be an atypical event, it nevertheless highlights the importance of understanding structural characteristics in order to price risks more efficiently.

    Weaker-than-expected credit performance led to a failure of EART 2015-2's CNL trigger in February. .......

    News 16 August 2017

  • Chinese NPL collections surveyed

    Collections for most Chinese non-performing loan securitisations have outpaced originators' initial projections, as of June 2017, according to a Moody's analysis of trustee report data. The study suggests that while originators of unsecured consumer NPL deals are the most optimistic about collections, the expense ratio for these transactions is the highest.

    For the purposes of the analysis, Moody's classified 15 .......

    News 15 August 2017

  • Refi SLABS seeing product, borrower expansion

    Refinanced student loan ABS (SLABS) has grown to become a defined sector within student lending, making up a third of total US SLABS volume. With this growth, lenders are expanding across a range of measures - including loan and borrower type - and new competitors continue to enter the space.

    The broader SLABS sector has been a high point of .......

    News Analysis 10 August 2017
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