ABS

  • Auto performance atypical for August

    US auto prime annualised net losses (ANL) crept up by 3% in August over July's level, showing much less of an increase during this historically weaker period, Fitch reports. Also atypical for August, used vehicle values were strong during the month, helping to contain loss severity on defaulted loans.

    Prime 60+ days delinquencies stood at 0.33% in August, unchanged from .......

    News Round-up 27 September 2013

  • Regional banks step up ABS issuance

    Securitisation activity among large US regional banks has picked up significantly over the past few weeks, opening up new funding options for auto assets in particular. Fitch suggests that the revival of auto ABS issuance is partly an effort by these banks to gain some regulatory relief on capital and liquidity requirements.

    Aside from Huntington Bancshares, few large US regional .......

    News Round-up 27 September 2013

  • Euro ABS, RMBS markets 'calm'

    The European ABS and RMBS markets continue to exhibit healthy if unspectacular levels of activity. Primary issuance continues, while secondary market supply has picked up since the summer slow-down.

    One trader reports that this past week has been "calm" in the absence of strong positive or negative drivers. Secondary market activity has been steady.

    "We have certainly seen a bit .......

    Market Reports 27 September 2013

  • Master stroke?

    Aussie regulator considers master trust merits

    Speculation is growing that the Australian Prudential Regulation Authority (APRA) might allow securitisation through master trusts. Such a move could transform the Australian RMBS market and open up new asset classes.

    While common in other markets, master trusts have not taken off in Australia before now. One investor believes that it is post-crisis comparisons with those other markets which are .......

    News Analysis 27 September 2013

  • SFIG continues to build

    SFIG has hired Sonny Abbasi as director for RMBS policy issues and Sairah Burki as director for ABS policy issues. They will both report to executive director Richard Johns.

    Abbasi will focus on GSE reform and efforts to support a return of private capital to the RMBS market. He was previously director of MBS policy at Fannie Mae and has .......

    Job Swaps 26 September 2013

  • Green bank to boost renewables ABS

    The New York State Energy Research and Development Authority (NYSERDA) is seeking to establish a green bank, with a primary mandate to facilitate securitisation for renewable energy technologies. It is anticipated that the bank will offer: warehouse lines for pooling financial assets, such as solar panel leases and power purchase agreements; take first loss positions in renewable energy securitisations; and .......

    News Round-up 26 September 2013

  • Risk retention to impact SLABS advance rates

    Proposed changes to retention rules could reduce issuers' advance rates in securitisation and limit their options to sell the equity stake or move down the risk spectrum in student loan ABS deals, Fitch suggests. State issuers would be exempted from the rules, however.

    If the proposal is accepted in its current form, Fitch says it would expect most FFELP ABS .......

    News Round-up 26 September 2013

  • US supply sees sharp up-tick

    US secondary market activity has picked up significantly across the board, with SCI's PriceABS archive listing over 700 line items for yesterday's session. Bid-lists in each of the ABS, CMBS and RMBS sectors boosted supply.

    While a wide variety of collateral types were out for the bid in the ABS sector, a sizeable list of student loan floaters .......

    Market Reports 25 September 2013

  • Independent credit advisory formed

    Rod Moulton has launched Euro Credit Risk (ECR) with headquarters in London and offices in Milan and Madrid. The firm will offer independent expertise to investors, hedge funds, investment banks, loan providers and other parties holding or acquiring legacy loan portfolios of secured, unsecured or commercial debt.

    Moulton serves as ceo, while George Patellis will serve as chairman. Moulton was .......

    Job Swaps 25 September 2013

  • Tobacco arbitration decision 'credit positive'

    The decisions reached by an arbitration panel regarding claims by US tobacco manufacturers that 15 states did not diligently enforce certain statutes for calendar year 2003 are credit positive for some tobacco securitisations, according to Moody's. However, the agency notes that while the decisions could be indicative of the decisions for other years beyond 2003, it is possible that future .......

    News Round-up 24 September 2013

  • Portfolio loss metrics introduced

    Fitch has introduced new measures in connection with its expectations for portfolio losses for EMEA structured finance and covered bond programmes. Dubbed portfolio loss metrics, the measures are designed to improve the transparency of the agency's opinions on expected asset pool performance and provide a consistent framework for comparison of asset portfolios and tranches.

    The aim is to provide complementary .......

    News Round-up 24 September 2013

  • Risk management specialist joins REIT

    Two Harbors Investment Corp has appointed Robert Rush as risk management md. He will report to Paul Richardson, who serves as partner and chief risk officer for Pine River Capital Management.

    Rush was previously at UBS in New York, where he worked in risk strategy, RMBS, CMBS and ABS roles as well as serving as head of CDO and esoteric asset .......

    Job Swaps 24 September 2013

  • Reporting required for card ABS

    The ECB is to introduce loan-level reporting requirements for credit card ABS, when these are used as collateral in the Eurosystem's monetary policy operations. The provision of loan-level information for these instruments will be mandatory from 1 April 2014, with a nine-month phasing-in period.

    Under the requirements, loan-level data must be provided at least on a quarterly basis or within .......

    News Round-up 23 September 2013

  • SLABS EOD forecast

    Moody's notes in its latest ABS Spotlight that Access Group's series 2004-2 FFELP securitisation class A2 notes will not pay down in full by their final maturity date of 25 January 2016, a failure that will constitute an EOD. The remaining class A3 through A5 notes should pay down before their final maturity dates, while the class A2s should pay .......

    News Round-up 20 September 2013

  • ABCP issuance drops on RPI offload

    EMEA ABCP issuance fell by 16% to US$72bn in 2Q13, after levelling out in the previous quarter, Moody's reports. The decline was driven almost entirely by the winding down of three single-seller programmes: Atlantis One Funding Corporation, Atlantis Two Funding Corporation and Royal Park Investments (RPI) (SCI 29 April). All three conduits decreased their USCP issuance dramatically as part of .......

    News Round-up 18 September 2013

  • Model integration issues persist

    Principia Partners has released the findings of a survey focusing on ABS, MBS and CDO investors' use of cashflow and waterfall models. The results show that while the growing commoditisation of issuer reporting, collateral performance and loan level data has benefitted the modelling of cashflows, it is not enough to lighten the burden investors carry when building and managing cashflow .......

    News Round-up 18 September 2013

  • Swap risk remedies discussed

    Providing collateral with significant cushion remains an important remedy to counterparty ineligibility in a structured finance cross-currency swap, according to Fitch. The agency adds that only allowing replacement as a remedy with little or no collateral posting beforehand exposes noteholders to extra risks.

    "Without collateral providing ample support, both structured finance and covered bond issuers can accumulate significant exposure to .......

    News Round-up 18 September 2013

  • Fixed-, floating-rate income compared

    US fixed-rate ABS should provide significantly more income than floating-rate bonds, unless the Fed tightens policy sooner or more aggressively than expected, according to Wells Fargo ABS strategists. In addition, fixed-rate bonds may offer better total return potential as they roll down the steeper yield curve.

    The three-year swap rate has risen from about 0.5% at year-end 2012 to just .......

    News Round-up 17 September 2013

  • FADE issuance limit upped

    Fitch has confirmed that Fondo de Titulizacion del Deficit del Sistema Electrico's (FADE) ratings - currently triple-B - will not be affected by the latest modifications included in the programme documents. This follows the Royal Decree 9/2013 approved in July by the Spanish Government.

    The agency has analysed the documents provided by FADE's management company (Titulizacion de Activos SGFT) and .......

    News Round-up 17 September 2013

  • Timeshare delinquencies hit post-2007 lows

    Quarterly US timeshare ABS delinquencies have fallen to the lowest level since 2007, according to Fitch's latest index results for the sector. Total delinquencies for 2Q13 were 3.05%, down from 3.27% in 1Q13 and 3.29% in 2Q12.

    Defaults for 2Q13 remained consistent with 1Q13, finishing at 0.72%. However, they are down from the 0.82% observed at the same time last .......

    News Round-up 17 September 2013

  • Private student loan defaults drop

    Moody's reports that its private student loan default rate index dropped to 3.6% in 2Q13, the first time it has dipped below 4% since 2007. The agency expects the index to continue falling year over year in 2013, but remain above pre-recession rates.

    "The default rate index will continue to fall in 2013, but will remain higher than average pre-recession .......

    News Round-up 16 September 2013
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