ABS

  • Credit card criteria updated

    Moody's has updated its global methodology for rating credit card and revolving consumer loan ABS, following an earlier RFC on the proposal (SCI 29 April). The new approach more explicitly incorporates the credit quality of the sponsor into the agency's rating analysis and also reflects other modifications to assumptions about credit card portfolio performance under stress.

    "Credit cards and revolving .......

    News Round-up 17 September 2014

  • Value add

    Rajat Rohailla, executive director at Molton Street Capital, answers SCI's questions

    Q: How and when did Molton Street become involved in the structured finance markets?
    A:     We are a young firm, but all of our backgrounds are in trading, securitisation and risk management. We have been focused on structured finance since our inception and the firm brings together deep structured credit experience.

    Personally, I qualified as a .......

    The Structured Credit Interview 17 September 2014

  • Eclectic euro list circulating

    The market's continuing appetite for all things European seemingly irrespective of deal type could meet its match tomorrow with a large eclectic BWIC list currently circulating. The 40 line €185m list due for trade at 14:00 London time includes ABS, CDOs (including ABS CDOs, CBOs and Trups CDOs), CFOs, SME CLOs, CMBS and RMBS.

    Talk appears to be thin on .......

    SCIWire 16 September 2014

  • Negative correlation offers diversification

    US consumer ABS spreads are wider and more volatile in the post-crisis period. However, a recent Wells Fargo study of the distribution of correlation coefficients indicates a less correlated and more diversified market than in the past.

    ABS strategists at the bank calculated correlation coefficients for a variety of ABS sector pairs. For the 2004-2007 period, 90% of the correlation .......

    News 16 September 2014

  • Corporate trust vet recruited

    Global Loan Agency Services has added another staffer to its roster, following the recruitment of Stuart Draper last month (SCI 29 August). Louise Moore joins the firm as a relationship manager, with over twenty years' debt capital market and corporate trust experience. She has held senior posts with Law Debenture, Deutsche Bank and Bank of New York Mellon in the .......

    Job Swaps 16 September 2014

  • Stable performance predicted for ARS

    US student loan auction rate securities (ARS) appear to be entering a period of relative calm, following a volatile few years. Fitch expects this to translate into more stable performance across the segment.

    Many student loan ARS credit ratings were negatively affected by increased interest expenses, due to the failure of the auction market in early-2008. In some cases, downgrades .......

    News Round-up 16 September 2014

  • Punch exchange notes provisionally rated

    Moody's has assigned provisional ratings to four classes of notes to be issued by Punch Taverns Finance in line with the proposed restructuring of the securitisation. The issuance comprises £111.01m super senior hedge notes (rated Baa1), £67.5m A1(V) notes (Baa3), £45.79m A2(V) notes (Baa3) and £300m M3 notes (B2).

    The issuance of the class A1(V) and A2(V) notes will follow .......

    News Round-up 15 September 2014

  • Euro mezz takes centre stage

    ECB president Draghi's comment on Friday that the ABSPP would be more effective if it were to include mezzanine paper has drawn market focus to that section of the capital structure.

    On Friday and into this morning investor demand has centred on mezz paper in European ABS, CMBS and RMBS, notably Dutch prime. Consequently, spreads have moved tighter across all .......

    SCIWire 15 September 2014

  • Markel hires bring ILS experience

    Markel Global Reinsurance has hired Erik Manning, Jamie Welsby and John Duda. All three will be based in Bermuda and bolster the managed catastrophe and retrocessional insurance team.

    Manning joins as md and was previously md at Guy Carpenter. He has also worked at Deutsche Bank, ABN Amro and RK Carvill.

    Welsby also joins as md and was most recently .......

    Job Swaps 12 September 2014

  • Punch hit by restructuring uncertainty

    S&P has maintained its double-B minus (with negative implications) ratings on the Punch Taverns Finance A class A1(R) and A2(R) notes, while lowering the ratings on the class M1, M2(N), B1, B2, B3, C(R) and D1 notes (credit watch negative). The agency has also lowered to triple-C (credit watch negative) from single-B plus its ratings on the Punch Taverns Finance .......

    News Round-up 12 September 2014

  • ABSPP challenges outlined

    The ECB will likely allocate national targets for ABS purchases based on its capital key percentages, Citi European securitisation analysts suggest. They anticipate that the central bank may have to buy bonds at off-market prices to ensure the success of its purchase programme.

    Basing national targets on capital key percentages is in line with the approach the ECB used in .......

    News 11 September 2014

  • Euro ABS/MBS softer

    European ABS and RMBS markets opened softer this morning following the direction seen into the close last night and, in turn, broader credit trends. CMBS spreads are still unchanged, but the tights seen over the past week look set to be tested in all three deal sectors over the next two days as BWIC supply is on the increase and .......

    SCIWire 10 September 2014

  • ABS strategies outperform

    Hedge funds returned an average of 1.4% in August, with average gross market exposure across the industry lower in the month than any point in the last two years, according to eVestment. Credit strategies posted their second consecutive negative month in August, declining by 0.03%, for the first time since the height of the European sovereign debt crisis in 2011.

    News Round-up 10 September 2014

  • ABS secondary supply up

    US ABS bid-list volume was up from the prior session to reach around US$270m yesterday. Much of the supply came from student loan and credit card bonds, but a significant amount of aircraft ABS paper was also circulating.

    SCI's PriceABS data picked up a number of names from the session, including the student loan ABS EDUFP 2006-1A A2 .......

    Market Reports 10 September 2014

  • Floating interest

    A collection of senior FFELP auction rate bonds being offered on BWIC today at 12:00 New York time is generating some interest in the US ABS market thanks to the relative rarity of the line items involved.

    The BWIC consists of floating rate student loan ABS from three trusts. From the Education Loan Asset-Backed Trust there is a total of .......

    SCIWire 9 September 2014

  • Euro ABS eases

    Activity in the European ABS market has eased today, following another active day yesterday where spreads tightened still further by the close.

    "We saw good two-way flows again yesterday with trading late into the day, but it's a bit quieter today," says one trader. "Yesterday's flows were a continuation of the flurry of activity post-ECB and were mostly hedge fund .......

    SCIWire 9 September 2014

  • KBRA bolsters ratings analysis

    KBRA Analytics has invested in Weiss Residential Research (WRR), with the aim of providing end-users with abundant, creditworthy information. WRR's proprietary technology optimises housing market decisions, having calculated property-specific price indexes for over 45 million homes. The increased resolution of the WRR indexes is designed to provide earlier indications of market changes.

    "Kroll Bond Ratings' partnership with Weiss Residential Research .......

    Job Swaps 9 September 2014

  • Finacity beefs up with SF hire

    Finacity Corporation has expanded its global client coverage with the engagement of David Viney. A former md at RBS, Barclays, Bank of America and Mizuho, he has extensive experience in the securitisation of both consumer and trade receivable assets and has held senior management positions in Europe, the US and the Middle East. His appointment will augment Finacity's global capabilities .......

    Job Swaps 9 September 2014

  • Aussie dollar deals up for grabs

    A 12 line BWIC containing primarily Australian dollar-denominated RMBS tranches is circulating for trade at 08:30 London time tomorrow.

    There are ten Australian RMBS on the list: A$14m CRGT 2007-1 A3, A$81m LT 1 A, A$284m MEDL 2006-1G A2, US$27m PROGS 2007-1GA 1A, A$14m PROGS 2007-1GX 2A, A$158m PUMA P11 BA, A$50m SMHL 2009-2 A, A$12m SMHLG 2007-1 A3, A$41m .......

    SCIWire 8 September 2014

  • SLABS volume continues to shrink

    The size of the US student loan ABS subsector continues to shrink as the broader universe expands to record highs, says Fitch. As of 2Q14, outstanding student loans totalled US$1.1trn, of which less than 25% was securitised and funded through the ABS market.

    Student loan ABS issuance has fallen significantly in recent years, to US$14bn in 2011 from US$67bn in .......

    News Round-up 8 September 2014

  • BWIC information offered

    JPMorgan plans to provide BWIC trading volume information to clients via its DataQuery application, with the aim of providing more transparency on ABS secondary activity. The data will be available on aggregate and multiple asset class levels, capturing all of the bid-lists seen by the bank's ABS trading desk.

    The data is grouped across the major consumer ABS sectors, with .......

    News Round-up 8 September 2014
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