RMBS

  • Dispute framework benefits outlined

    The new independent dispute resolution (IDR) process recently adopted by Fannie Mae and Freddie Mac could be particularly helpful for more quickly resolving representation and warranty (R&W) issues surrounding credit risk transfers (CRT), according to S&P. The agency says the process could expedite the determination of underwriting defects on reference obligations in CRT deals.

    This could result in payments to investors that .......

    News Round-up 25 February 2016

  • Euro ABS/MBS softens

    Weaker wider markets have softened the tone across the European ABS/MBS secondary market.

    Broader market volatility continues to keep liquidity thin and investors for the most part are only appearing as sellers. Consequently, secondary tone weakened again yesterday. Nevertheless, light flows and selective buying from the Street, albeit in very low volume, was enough to keep most secondary spreads unchanged.

    SCIWire 25 February 2016

  • Drifting out

    High-beta spread dislocation continues

    As markets sell off and become increasingly volatile, European high-beta securitised paper has widened considerably. This has been driven by several factors - not least regulation - and has concerning implications for liquidity and the future health of the market.

    Bank of America Merrill Lynch European ABS analysts note that the €888m Driver Espana Three auto ABS, which priced earlier .......

    News Analysis 24 February 2016

  • Euro secondary mixed

    The European securitisation secondary market continues to experience mixed fortunes.

    "Liquidity remains very thin overall," says one trader. "However, there is still demand in the prime area, particularly in Dutch paper and yesterday we also saw some for Italian bonds."

    At the same time, the trader adds: "Sterling sellers have started coming in. There wasn't a big incidence in UK .......

    SCIWire 24 February 2016

  • Resi oil exposure eyed

    The credit performance of oil and gas-focused metropolitan areas has worsened on a relative basis within several major residential securitisation types, Moody's reports. The deterioration correlates with rising unemployment and declines in home prices in those areas and affects legacy RMBS, single-family rental transactions and GSE credit risk transfer transactions.

    "The weakening in credit performance is limited so far, but .......

    News Round-up 23 February 2016

  • Mortgage portfolio sale agreed

    OneSavings Bank subsidiary Rochester Mortgages has entered into a mortgage sale agreement to acquire approximately £396m of UK residential mortgage loans from Deutsche Bank subsidiary DB UK Bank. Completion of the acquisition is conditional upon OneSavings Bank establishing an off-balance sheet securitisation vehicle, which will acquire approximately £374m of the portfolio. The bank will retain approximately £22m of the portfolio .......

    News Round-up 23 February 2016

  • Negative Euribor risks highlighted

    A continued decline of Euribor rates poses a number of risks to euro-denominated Australian RMBS and ABS, says Moody's. Deals that could be impacted are those that have no mitigants in place to withstand a negative interest rate scenario.

    "As Euribor rates move further into negative territory - beyond the buffer provided by the note margins - such deals will need .......

    News Round-up 23 February 2016

  • Euro secondary starts slowly

    It was a slow start to the week for the European securitisation secondary market, but today looks likely to see something of a pick-up.

    "Yesterday was for the most part pretty slow," says one trader. "Primarily there was a just a lot of chatter around Brexit and its broader implications including the potential for people to step away from sterling .......

    SCIWire 23 February 2016

  • UK risk over-represented

    Some €6.5bn of European ABS paper has traded off BWICs in the last nine months, according to JPMorgan figures, implying healthy secondary trading across the region. An analysis undertaken by European securitisation analysts at the bank shows that traded ratios remained above 70% for all bonds offered by sellers, with UK risk significantly over-represented in terms of collateral appearing on .......

    News 22 February 2016

  • Loan-level model introduced

    JPMorgan has developed a new loan-level transition model for GSE residential mortgage loans, which aims to help investors better understand the relative value in credit risk transfer fixed severity and actual loss RMBS. Actual loss deals are expected to look better under the framework.

    The Freddie Mac and Fannie Mae dataset contains loans issued from 1999 through 2014. Both datasets .......

    News Round-up 22 February 2016

  • Euro secondary solid

    The European securitisation secondary market remained solid on Friday despite broader market weakness.

    Volumes remained generally low as the week closed out, but tone remained firm and most spreads ended the session unchanged. Off-BWIC activity once again revolved around prime assets and eligible peripherals. Meanwhile, BWICs generated a flurry of activity in the afternoon and the bulk of line items .......

    SCIWire 22 February 2016

  • Russian bankruptcy law gauged

    A new Russian bankruptcy law that came into effect in October 2015 will only impact a limited number of ABS and RMBS in the country, Moody's reports. The law introduces a legal mechanism for individual debt restructuring and encourages lenders to devise repayment plans rather than sell the assets in the event of a borrower's bankruptcy.

    Moody's notes that the new law .......

    News Round-up 19 February 2016

  • Euro secondary fades

    Levels and activity are fading in the European securitisation secondary market as the broader market rally runs out of steam.

    Activity remained patchy across the board yesterday, with prime assets once again leading the way, albeit in lower volumes than in previous sessions. Meanwhile, the appetite for Portuguese paper of recent days has faded somewhat and kept spreads slightly off .......

    SCIWire 19 February 2016

  • SFR operating expenses up

    Net operating expenses for most single-family rental (SFR) securitisations issued in 2013 and 2014 are slightly above underwritten assumptions, which Moody's describes as slightly credit negative for the affected transactions. Exceptions to this trend are the Invitation Homes (IH) and Silver Bay deals.

    The first six months of operating cashflows for 2013 and 2014 SFR transactions suggest that non-contractual costs .......

    News Round-up 18 February 2016

  • Euro ABS/MBS split

    There continues to be a strong split in where activity is taking place in the European ABS/MBS secondary market.

    "Tone over the past few days has been much more positive in line with the macro trend," says one trader. "However, there is still a marked divergence over where activity is centred."

    The trader continues: "Most focus continues to surround prime .......

    SCIWire 18 February 2016

  • MAGEL tender offer unveiled

    Banco Comercial Português has launched separate tender offers for the respective €930m and €1.41bn class A notes of Magellan Mortgages No. 2 and No. 3. The bank says the purpose of the offers is to proactively manage its outstanding liabilities and capital base.

    The prices BCP will pay for validly tendered RMBS bonds will be determined pursuant to an unmodified .......

    News Round-up 17 February 2016

  • SF pro switches law firm

    Colleen McDonald has moved to Sheppard, Mullin, Richter & Hampton as partner, following the same role at Reed Smith. Working in the firm's finance and bankruptcy practice group in San Francisco, she will focus on securitisation, structured finance, commercial finance transactions and complex financial products.

    McDonald advises financial institutions regarding the acquisition and sale of assets primarily involving newly originated, .......

    Job Swaps 17 February 2016

  • Euro secondary improves

    Tone in many European securitisation secondary market sectors continues to improve in line with broader markets.

    "Yesterday, tone was bit better overall in our space as credit in general continued to improve," says one trader. "But the biggest story was Portugal."

    The trader continues: "The tender announcement from BCP for MAGEL 2  and 3 combined with rising sovereign bonds and .......

    SCIWire 17 February 2016

  • Euro secondary stalemate

    With the US absent and continuing improvements in broader markets, it was stalemate in the European securitisation secondary market yesterday.

    "Market tone is generally OK," says one trader. "But with the US holiday not a lot went on yesterday."

    However, he adds: "We did see a couple of BWICs come out in the afternoon and all but one 1.0 CMBS .......

    SCIWire 16 February 2016

  • FNMA aims for liquidity

    Fannie Mae has priced its latest credit risk sharing transaction under the Connecticut Avenue Securities series. To promote additional liquidity, the GSE for the first time sought a credit rating for the M2 bonds in a CAS transaction. It is also for the first time selling a portion of the first loss position, further reducing taxpayer exposure to credit losses.

    News Round-up 15 February 2016

  • P2P lender poaches ABS pro

    Dipesh Mehta has joined Funding Circle as a director in its capital markets team following a period of consulting for the P2P lender. In this role, he focuses on secured lending and serving institutional clients.  

    Mehta previously worked as an analyst in European ABS research strategy for Barclays. His core sector coverage was on consumer ABS, with a primary focus .......

    Job Swaps 15 February 2016
×