ABS

  • Losses to hit senior NCSLT tranches

    The junior-most outstanding class A tranches in six National Collegiate Student Loan Trust securitisations will incur losses due to low parity ratios and low excess spread, according to a break-even default analysis conducted by Moody's. Three other transactions are already lacking the collateral base necessary to repay the junior-most class A notes.

    Based on the analysis, the lifetime default levels .......

    News Round-up 26 July 2013

  • NJM closes debut cat bond

    Towers Watson Capital Markets has arranged an inaugural private placement catastrophe bond - the US$60m Sullivan Re 2013-1 - for the New Jersey Manufacturers Insurance Group. With a three-year maturity, the transaction contains a single layer of the cedant's risk management programme and will provide per-occurrence indemnity-based reinsurance coverage for the firm's New Jersey and Pennsylvania marketing territories.

    "The ILS .......

    News Round-up 26 July 2013

  • Italian SME default drivers analysed

    Italian SMEs most at risk of defaulting on their securitised secured and unsecured loans are those active in the construction and building sector, says Moody's in a new special comment. The report covers data on Italian SMEs between 2012-2013 and the default drivers that the agency identifies as rating neutral for Italian SME ABS transactions.

    Moody's analysis of default data .......

    News Round-up 25 July 2013

  • Multi-asset credit fund launched

    ING Investment Management International (ING IM) has launched a new fund dubbed ING (L) Renta Fund First Class Yield Opportunities, which seeks to deliver attractive returns by investing in a diversified multi-strategy credit portfolio. The strategy combines the skills of three investment teams: the multi-asset, credit and emerging market debt boutiques.

    Ewout van Schaick (head of multi-asset strategies) and Roel .......

    News Round-up 25 July 2013

  • Call to action

    Securitisation best practice gaining traction in Brazil

    Brazilian ABS issuance volume plummeted to its lowest level since 2004 last year and is yet to return. New rules passed by regulator Comissão de Valores Mobilários (CVM) are being blamed for the sector's decline, but a series of bank scandals have also deterred investors from entering the market.

    Banco Central do Brasil (BCB) has rescued or liquidated seven Brazilian .......

    News Analysis 25 July 2013

  • FBT proposal weighs on Aussie auto ABS

    The Australian government last week proposed changes to the Fringe Benefits Tax (FBT) rules, which would make it more onerous for individuals to claim tax breaks on vehicles purchased under novated leases and salary sacrifice arrangements. The changes will lead to a deterioration of the credit quality of future auto ABS transactions, according to Moody's, due to the reduction in .......

    News Round-up 24 July 2013

  • Dignity tap to finance acquisition

    Funeral services provider Dignity plans to tap its Dignity Finance whole business securitisation. At the same time, the transaction's security group will acquire a new Dignity entity.

    Dignity Finance closed in April 2003 and has already been tapped twice since then -in February 2006 and September 2010 - as permitted by the transaction documents. As on the closing and the .......

    News Round-up 22 July 2013

  • No rating impact from REIT merger

    Spirit Realty Capital and Cole Credit Property Trust II have merged to create a publicly traded triple-net-lease REIT, with the combined company taking on the Spirit Realty name. Moody's has confirmed that the move will not result in the downgrade of the Spirit Master Funding Series 2005-1, Spirit Master Funding II Series 2006-1 and Spirit Master Funding III Series 2007-1 .......

    Job Swaps 22 July 2013

  • Asset manager adds credit PM

    Chris Boas has joined CQS in London as a senior portfolio manager for credit long/short strategies. He was previously at Longwood Credit Partners, which he founded after leaving Citadel Securities (SCI 5 January 2011), and he has also worked at Morgan Stanley.

    .......

    Job Swaps 22 July 2013

  • EC proposal 'credit positive'

    The European Council's proposal to give depositors preference over senior unsecured creditors would be credit positive for EMEA RMBS and ABS, says Moody's in a Credit Insight note. The proposal would increase the likelihood of undisrupted payments to depositors of a defaulting institution, increase potential recoveries on defaulting deposits and potentially mitigate set-off risk.

    Set-off risk could be further reduced .......

    News Round-up 19 July 2013

  • ECB provides ABS collateral boost

    The ECB's governing council has adjusted its risk control framework to tighten covered bond rules in favour of ABS. The changes provide updated haircuts for marketable instruments and an expanded list of collateral which will be accepted under the permanent Eurosystem collateral framework.

    The ECB has reduced the haircuts applicable to ABS eligible under the permanent and temporary Eurosystem collateral .......

    News Round-up 19 July 2013

  • Sovereign downgrade hits French deals

    Fitch has downgraded three tranches related to three French structured finance transactions. The action follows the downgrade of France's long-term foreign currency issuer default rating (IDR) to double-A plus from triple-A.

    The deals affected by the downgrades are Eole Finance, House of Europe 1 and House of Europe 3. Given their significant exposure to the French sovereign, the affected notes .......

    News Round-up 17 July 2013

  • Sovereign downgrade hits Italian deals

    S&P has lowered its credit ratings on 118 tranches in 91 Italian securitisations. The rating actions follow the agency's 9 July lowering of its unsolicited long-term sovereign credit rating on Italy to triple-B from triple-B plus, due to the effects of further weakening growth on the country's economic structure and resilience, and its impaired monetary transmission mechanism.

    Specifically, S&P has .......

    News Round-up 17 July 2013

  • Auto, aircraft ABS attract attention

    Supply picked up yesterday and the US ABS secondary market saw a good variety of paper out for the bid. ABS BWIC volume increased to US$106m during the session, from only US$18m on Monday, with auto, aircraft and container bonds all circulating.

    The up-tick in volume came even as much of the market's attention was focused on primary issuance. Over .......

    Market Reports 17 July 2013

  • SLABS hit by counterparty downgrades

    S&P has placed on credit watch with negative implications 23 tranches from across a number of student loan ABS transactions. The rating actions follow the recent lowering of its issuer credit ratings on Credit Suisse and Barclays Bank - the swap counterparties for the affected transactions - to single-A from single-A plus.

    Twenty tranches from SLM Student Loan Trust 2002-7, .......

    News Round-up 17 July 2013

  • SLM cashflows suggest downside protection

    In a run-off scenario, expected cashflows from the spun-off businesses of SLM Corp would be sufficient to repay the existing US$17.9bn of senior unsecured debt obligations to be spun off along with the new company, according to Fitch. The agency has undertaken a cashflow analysis of SLM's proposed spin-off, which included three single-factor stress scenarios - higher credit losses on .......

    News Round-up 16 July 2013

  • Storm surge bond debuts

    GC Securities and Goldman Sachs are in the market with what is believed to be the first natural peril catastrophe bond whose trigger is linked solely to storm surge. Dubbed MetroCat Re series 2013-1, the transaction provides parametric coverage for First Mutual Transportation Assurance Co (FMTAC), a subsidiary of the New York Metropolitan Transportation Authority.

    S&P has assigned a preliminary .......

    News Round-up 15 July 2013

  • RBS novation confirmed

    Fitch confirms that there is no rating impact following the novation by RBS NV to RBS plc, ABN AMRO Bank and/or Bank Nederlandse Gemeenten with respect to the roles it covers across any European structured finance transaction. RBS plc notified the agency in May that, as part of the continuing transfers of business activities from RBS NV to RBS plc, .......

    News Round-up 11 July 2013

  • Alternative ABCP liabilities gain traction

    Fitch reports that US ABCP conduit sponsors are developing alternative liability structures to minimise the potential increased costs of liquidity under the proposed Basel 3 liquidity coverage requirements. Sponsors are amending ABCP programme documentation to allow for the issuance of callable, puttable-callable and investor-option extendible notes.

    "ABCP sponsors are essentially creating liabilities that would allow them to reduce the number .......

    News Round-up 11 July 2013

  • Scope for litigation expanding?

    As litigation with respect to loan origination and other issues stemming from the financial crisis begins to ebb, a number of other areas are emerging as potential foci of investor scrutiny and regulatory compliance, according to NewOak Capital. The firm suggests that while some of these matters may appear to be solely the domain of consumer rights and protection, what .......

    News Round-up 10 July 2013

  • Feedback sought on EMEA set-off

    Moody's is seeking feedback on its proposed approach for assessing set-off risk in securitisation and covered bonds transactions in EMEA, as well as on its general approach to assessing set-off risk. The agency is considering several changes to its existing methodology, in particular for Dutch set-off risk.

    Moody's proposed approach is substantially the same as its existing published methodologies, save .......

    News Round-up 10 July 2013
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