ABS

  • Credit card issuance set to rise

    DBRS has published the second edition of a Europe-wide index of credit card securitisations. The latest report includes the addition of recent ABS from Carrefour and El Cortes Ingles.

    The report finds that credit card transactions across Europe are experiencing continually decreasing charge-off levels, falling to 3.5% in February 2014 from 4.8% in February 2013. French credit card charge-offs in .......

    News Round-up 6 May 2014

  • Jumbo cat bond priced

    Citi and Bank of America Merrill Lynch have closed the largest-ever catastrophe bond - the US$1.5bn Everglades Re series 2014-1 - for Citizens Property Insurance Corp. The three-year notes cover losses in Florida from hurricanes on an annual aggregate basis.

    Rated single-B by S&P, the transaction priced at 750bp over US money-market fund yields. It is the third issuance from .......

    News Round-up 6 May 2014

  • Equipment ABS credit performance improves

    Credit performance continues to improve for the more recent vintages of equipment loan and lease ABS. The mid-ticket sector tends to have lower cumulative net defaults than small-ticket, largely due to differences in borrower base and collateral.

    The 2011-2013 small-ticket vintages have outperformed 2007-2010, note Bank of America Merrill Lynch analysts. Cumulative net default curves have moved lower with every .......

    News Round-up 2 May 2014

  • Rating withdrawal process outlined

    Moody's has clarified its global process for determining the minimum number of borrowers in the pools underlying securitisations below which excessive exposure to the idiosyncratic credit risk of a few borrowers may prevent it from assigning or maintaining ratings. The report updates a previous version which dealt with only RMBS (SCI 6 November 2013).

    As consumer ABS and RMBS transactions .......

    News Round-up 2 May 2014

  • ABCP conduits remain attractive

    US ABCP conduits remain a significant source of funding for core bank clients and provide a valuable offering for investors, according to Fitch. Collateral credit quality and performance measures remain strong despite declines in outstandings.

    Fitch affirmed 25 US ABCP programmes in late March. Outstandings across those programmes totalled US$106bn.

    Auto and commercial, trade receivables, credit cards and student loans .......

    News Round-up 2 May 2014

  • Greene King bonds boosted

    Greene King has sold 275 non-core tenanted pubs to Hawthorn Leisure for £75.6m. The proceeds are expected to be recycled into the managed estate, a credit positive for the pubco's securitisation

    The pub sales generated EBITDA of £12.4m, implying a disposal multiple of 6.1x, according to Barclays Capital European securitisation analysts. It is unclear whether this multiple was pre- or .......

    News Round-up 1 May 2014

  • Solid performance for auto ABS

    US auto ABS prime and subprime annualised net losses (ANL) respectively sank by 37% and 28% on a monthly basis in March, according to Fitch. The agency notes that strong seasonal patterns kicked in and should position the sector for solid asset performance in the coming months.

    March's loss rates were within range of record lows recorded in the 2012-2013 .......

    News Round-up 30 April 2014

  • Italian ILS first

    GC Securities has closed an innovative European catastrophe bond, sponsored by Assicurazioni Generali. Dubbed Lion I Re, the €190m transaction is the first-ever 144A cat bond to provide indemnity protection against Europe windstorm risks and the first from Italy.

    The bond is rated single-B plus by Fitch and priced with a coupon of 2.25%. About 80% of the exposure is .......

    News Round-up 30 April 2014

  • TRACE expansion delayed

    FINRA is said to be delaying the implementation of ABS price dissemination, with technological changes required for the implementation believed to require additional time. The authority will announce a revised implementation date before 22 August, postponing it from the previous announcement date of 25 April. JPMorgan ABS strategists note that effective dates are typically set at least six months after .......

    News Round-up 30 April 2014

  • Charge-offs hit new lows

    A steady decline in credit card delinquencies coupled with lower bankruptcy rates pushed US credit card ABS charge-offs to new lows in the first quarter, according to Fitch's latest quarterly index for the sector. Average charge-offs fell to 3% for 1Q14 from 3.04% in 4Q13, marking 15 consecutive quarters of improvement, with the level now approximately 25% lower year-over-year.

    "Consumers .......

    News Round-up 29 April 2014

  • 'Credit card' ABS first in China

    A deal generally being seen as the first credit card ABS in China came out last month, although Moody's notes in its latest 'Structured Thinking: Asia Pacific' publication that the transaction is essentially an auto loan ABS. The deal was sponsored by China Merchants Bank.

    CMB's credit card operation originated the receivables, but there are a couple of very different .......

    News Round-up 29 April 2014

  • RFC issued on credit card ABS

    Moody's is requesting feedback from market participants on proposed changes to its approach to rating securitisations backed by credit card receivables and revolving consumer loans across all jurisdictions. The proposal modifies assumptions about credit card portfolio performance under stress and more explicitly incorporates the credit quality of the sponsor into the agency's rating analysis.

    The proposed changes will address key .......

    News Round-up 29 April 2014

  • APRA to simplify securitisation approach

    The Australian Prudential Regulation Authority (APRA) has released for consultation a discussion paper on its proposals to simplify the prudential framework for securitisation for authorised deposit-taking institutions (ADIs). The authority says that the prudential framework for securitisation needs to be "clear and simple for stakeholders to understand".

    APRA's proposals take into account the lessons learned from the financial crisis and .......

    News Round-up 29 April 2014

  • US ABS supply inches higher

    US ABS BWIC volume was subdued yesterday, just creeping above US$50m. SCI's PriceABS data shows supply dominated by auto ABS paper, although a mix of other collateral types also appeared on bid-lists.

    Most of the action was in the auto space, where the AESOP 2012-3A A tranche was talked at 100 handle and covered at 99.34. .......

    Market Reports 29 April 2014

  • Euro performance remains strong

    The credit performance of European structured finance over the financial downturn remains strong. Only 1.5% of notes outstanding in mid-2007 defaulted by end-2013, according to S&P's latest quarterly transition study.

    Consumer transactions have outperformed corporate transactions by a wide margin, with a cumulative default rate since mid-2007 of only 0.05% and a cumulative downgrade rate of 29.1%, compared with 5.01% .......

    News Round-up 28 April 2014

  • PAYE growth 'ABS neutral'

    The rapid growth of the Pay as You Earn (PAYE) plan to cap student loan obligations is neutral for US student loan ABS, says Fitch. The rating agency is uncertain of the chances of the scheme being expanded.

    The plan currently only affects federal direct loan borrowers - of which there are now 1,300,000 owing a total of US$72bn - .......

    News Round-up 25 April 2014

  • CSA urged to revisit ABCP proposals

    SFIG's Latin America and Canada Committee has submitted a comment letter to the Canadian Securities Administrators (CSA) in response to its request for comments on the proposed amendments to 'National Instrument 45-106 Prospectus and Registration Exemptions'. The proposed amendments would require short-term securitised products to comply with a number of new conditions and disclosure requirements, including extensive disclosure of ABCP .......

    News Round-up 24 April 2014

  • Student loan business acquired

    CIT Group has entered into three separate loan sale agreements with Nelnet, through which Nelnet will acquire the firm's student lending business. Pursuant to the agreements, CIT will sell to Nelnet certain subsidiaries that hold its residual interests in securitisation trusts with approximately US$2.6bn of student loans and the related student loan asset-backed debt. A further US$950m of student loan .......

    News Round-up 23 April 2014

  • SME platform debuts

    BNP Paribas, BPCE, Crédit Agricole, HSBC and SG have established Euro Secured Notes Issuer (ESNI). Billed as a new form of securitisation, the programme is secured by bank loans to SMEs meeting the eligibility criteria for Eurosystem refinancing operations.

    ESNI is open to all European banks and issued its first Euro Secured Notes (ESN) on 11 April for an outstanding .......

    News Round-up 23 April 2014

  • Solar securitisation standards adopted

    Mercatus has formally adopted the solar access to public capital (SAPC) working group standard contract documents for both residential and commercial solar. The investment platform has been heavily involved in SAPC's efforts to define risk and credit parameters.

    The SAPC working group was convened last year to enable securitisation of solar PV assets and associated cashflows (SCI 20 March 2013). .......

    News Round-up 22 April 2014

  • Criteria tweak for FFELP SLABS

    Fitch has published an exposure draft with respect to its criteria for rating US FFELP student loan ABS. The main proposal upon which feedback is sought is the appropriation of standard default rate assumptions.

    The exposure draft discloses the standard default rate assumptions Fitch uses for cashflow modelling when issuer-specific data is not available. These assumptions are based on 22 .......

    News Round-up 22 April 2014
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