ABS

  • Interest underpayment corrected

    Comenity Bank has corrected an error in the calculation and distribution of interest to WFNMT 2014-A class A noteholders for the June and July 2014 distribution dates. The calculation of interest should have been based on the actual number of days in the related interest period, but was incorrectly calculated on a 30/360 basis, according to Bank of America Merrill .......

    News Round-up 29 July 2014

  • European alternative

    Stefan Bund, group md and head of asset-based finance at Scope Ratings, answers SCI's questions

    Q: How and when did Scope Ratings become involved in the securitisation market?
    A: Scope Ratings was established in 2002 as a funds analysis house, specialising in the commercial real estate, SME and infrastructure sectors. The company expanded into the credit rating business in 2012 by merging with a smaller German rating agency.

    Scope's move was .......

    Provider Profile 29 July 2014

  • Portuguese sovereign ceiling raised

    Moody's has raised the maximum achievable rating for Portuguese structured finance transactions to A3 from Baa1, following its upgrade of Portugal's government bond rating to Ba1 from Ba2, as well as Portugal's local and foreign currency bond and deposit ceilings to A3 from Baa1. The positive rating action was triggered by the agency's expectation that fiscal consolidation will remain on .......

    News Round-up 28 July 2014

  • Cat bond affirmed on reset

    S&P has affirmed its single-B rating on the series 2013-I class A notes issued by Everglades Re. The move follows the lowering of the catastrophe bond's attachment level to US$4.896bn and the resetting of the probability of attachment to 2.75%. The initial attachment level was US$5.139bn and the probability of attachment at closing was 2.91%, which - per the transaction's .......

    News Round-up 28 July 2014

  • RFC issued on CDQ, DP approach

    Moody's is seeking feedback on its proposed approach to assessing portfolios backed by Italian Cessione del Quinto (CDQ) and Delegazione di Pagamento (DP) consumer loans. The agency does not expect any rating changes for transactions backed by Italian CDQ and DP loans to result from adopting the approach.

    CDQ and DP loans have two main characteristics that separate them from .......

    News Round-up 25 July 2014

  • Call for cardinal credit scale

    A single, numerical public credit scale should serve as a yardstick of the quality of structured credit instruments in the US, not the current ordinal scale, according to a recent paper by Brookings senior fellow Robert Litan and R&R Consulting founding principal Ann Rutledge. Despite credit rating agencies being widely criticised post-crisis for their failure to warn investors of the .......

    News Round-up 25 July 2014

  • Hertz waiver welcomed

    Hertz has received a waiver from ABS bondholders in connection with its potential lease event of default, restoring the structure's revolving functionality (SCI 8 July). The move shows that the securitisation market can be responsive when technical consents are necessary, Citi ABS analysts suggest.

    "The ABS market is not accustomed to processing waivers, amendments and the like, and we had .......

    News Round-up 25 July 2014

  • Lebanese receivables ABS launched

    Bemo Securitisation and FFA Private Bank have closed SS-FUND 3 SIF, a Lebanese revolving trade receivables securitisation. The sponsor CTC has exclusive distribution rights for Samsung electrical home appliances and electronics in Lebanon.

    Backed by a diversified US$8.24m portfolio of trade receivables granted by CTC to mainly dealer clients, the transaction comprises US$5m of class A notes and US$2m of .......

    News Round-up 24 July 2014

  • Innovative SME financing structured

    A group of eight Italian SME water utility companies have, under the auspices of the EIB, completed a structured financing backed by their own mini-bonds. An SPV dubbed Viveracqua Hydrobond 1 subscribed to €150m of mini-bonds on a cross-collateralised basis, before issuing the same amount of ABS notes.

    Credit analysts at RBS note that this marks the first time that .......

    News Round-up 24 July 2014

  • MMF rules adopted

    The US SEC has adopted final amendments to Rule 2a-7 under the Investment Company Act of 1940. The amendments are designed to make money market funds (MMFs) more resilient by increasing the diversification of their portfolios and - given that MMFs are significant investors in ABS - are set to impact the securitisation market.

    The new rules require a floating .......

    News Round-up 24 July 2014

  • Tobacco ABS under pressure?

    The merger between Reynolds American and Lorillard could impact future payments to the Master Settlement Agreement (MSA) and put pressure on tobacco ABS pools, Fitch says. While Reynolds' share of the market will increase, the divestments to smaller tobacco manufacturers could increase the market share for manufacturers that do not pay into the MSA. The acquisitions by Imperial Tobacco do .......

    News Round-up 23 July 2014

  • Subprime auto caution 'warranted'

    Credit metrics in recently issued 2013 and year-to-date 2014 subprime retail auto loan ABS have continued to deteriorate and concern persists over whether the sector is overheating. S&P believes that subprime auto lending has not yet reached its boiling point, but says that caution is warranted.

    Based on an examination of the range of auto lending activity across the prime .......

    News Round-up 23 July 2014

  • Seasonal blip for card charge-offs

    US credit card ABS quarterly charge-offs rose for the first time in over three years, increasing by 7bp to 3.07% from 3%, according to Fitch's latest quarterly index for the sector. However, the agency suggests that the move is likely to an aberration.

    "Credit card ABS delinquencies have been easing for the last three months, so the increase in losses ......

    News Round-up 23 July 2014

    Premium Content

  • Punch paves way for restructuring

    Punch A and Punch B noteholders voted overwhelmingly in favour of Punch Taverns' covenant waiver requests at meetings convened on 18 July. All 16 meetings were quorate and the waivers will now expire on 19 November. It is a condition of the waivers that certain milestones are met, including that a restructuring to implement the stakeholder group proposal is launched .......

    News Round-up 22 July 2014

  • ILS ratings affirmed

    S&P has affirmed its ratings on four natural-peril catastrophe bonds that had annual resets of the probability of attachment. The affected transactions are Caelus Re 2013, MetroCat Re series 2013-I (class A notes), Mona Lisa Re series 2013-2 (class A) and Tradewynd Re series 2013-I (class 1).

    In each case the probability of attachment was reset to a percentage consistent .......

    News Round-up 22 July 2014

  • IDEA student loan programme mooted

    US Senators Mark Warner and Marco Rubio last week introduced a student loan bill, called 'The Dynamic Repayment Act of 2014', which is designed to overhaul the current government student lending system. Under the bill, DLP loans would be replaced with new income dependent education assistance (IDEA) loans, whose repayments would be based on a borrower's annual income during each .......

    News Round-up 22 July 2014

  • Interest rate hedges evolving

    A deeper examination of interest rate risk in structured finance deals is key when analysing structures that try to hedge this risk with interest rate caps, note rate caps or issuance of fixed rate notes, Fitch says. These increasingly popular structural features protect deals where the SPV pays a fixed or a capped rate on the notes in return for .......

    News Round-up 21 July 2014

  • Depreciation could impact auto losses

    Depreciation rates on used vehicles are approaching levels not seen since the recession. However, a report by Black Book and Fitch says depreciation could soon lead to marginally higher losses for US auto ABS.

    Black Book notes that new and used vehicle markets are seeing positive growth, with depreciation increasing as a result. New vehicle sales next year are expected .......

    News Round-up 18 July 2014

  • Italian repurchases mask performance

    The number of loans repurchased by originators in Italian lease and SME ABS transactions accounts for between 10% and 20% of securitised pools in a third of the transactions Moody's rates. The agency believes actual default levels may therefore be higher than reported.

    Repurchases might be credit positive in the short term as cash injections benefit noteholders, but they mean .......

    News Round-up 18 July 2014

  • US card indices to break records

    Prime US credit card ABS collateral performance metrics are set to break records in the next reporting period, says Fitch. Improving employment rates and strong credits underlying trusts are creating powerful support for the asset class.

    The agency expects its charge-off index to decline to a new low, while the prime 60-plus day delinquency index is also expected to reach .......

    News Round-up 18 July 2014

  • Canadian card performance improves

    The charge-off rate in S&P's Canadian credit card quality index decreased to 3.5% in May, down 4% year-over-year. The 30-plus day delinquency rate also decreased to reach 2.2%, while the payment rate, yield and excess spread rose to 40.9%, 23% and 15.7%, respectively.

    The rating agency partly attributes the performance improvement to the removal of Gloucester Credit Card Trust from .......

    News Round-up 18 July 2014
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