RMBS

  • Credit assessment standards proposed

    The EBA, EIOPA and ESMA have jointly published two draft implementing technical standards (ITS) on credit assessments by external credit assessment institutions (ECAIs). The standards are intended to ensure sound credit assessments and thus contribute to financial stability in the EU.

    The standards are part of the EU Single Rulebook for banking and insurance. The supervisory bodies aim to ensure .......

    News Round-up 12 November 2015

  • Euro secondary slow

    As expected, yesterday was a slow day in the European securitisation secondary market and today has begun quietly.

    With the US and parts of Europe out yesterday liquidity thinned further across the secondary market and only patchy trading was seen. Nevertheless, tone remains broadly constructive and spreads were unchanged to slightly tighter into the close.

    Appetite for selected names across .......

    SCIWire 12 November 2015

  • New moniker for investment manager

    Pramerica Investment Management will change its name to PGIM from 4 January 2016. It is also launching PGIM Funds, a UCITS platform serving the UK and Europe.

    The firm's name-change coincides with the expansion of the business around the world and reflects its position as one of the world's largest asset managers, says the firm. Pramerica's businesses operate in 16 .......

    Job Swaps 11 November 2015

  • RMBS comparison tool updated

    Moody's has released an updated RMBS tool which compares the key characteristics of 19 different RMBS markets, including the UK, Spain, Italy, the Netherlands, Japan, Australia and the US. The update introduces a new interactive map to compare key indicators across European markets.  

    The tool now also includes a number of new markets, such as Austria, Canada, Mexico, South Africa, South Korea and Sweden. RMBS markets .......

    News Round-up 11 November 2015

  • Euro secondary stabilises

    The European securitisation secondary market continues to stabilise.

    Yesterday saw another stable if sluggish day across secondary flows. BWICs took the lead and most lists saw reasonable execution.

    Fast and real money continue to look to add in the UK non-conforming space both on- and off-BWIC, though spreads across the sector remain broadly unchanged to very slightly tighter. Prime assets .......

    SCIWire 11 November 2015

  • Freddie auctions more NPLs

    Freddie Mac is marketing its latest NPL offering - US$1.2bn in deeply delinquent loans from the GSE's mortgage investment portfolio. The latest auction is the eighth to be held by Freddie Mac.

    The NPLs are being marketed via seven pools: five geographically diversified standard pool offerings (SPO) and two geographically concentrated extended timeline pool offerings (EXPO). The latter offerings target participation by smaller investors, including non-profits .......

    News Round-up 10 November 2015

  • Pricing source to expand

    Barclays is set to incorporate third-party pool-level prices into the pricing for MBS index generics in its US MBS Index, as part of several changes announced after concluding its annual index review and governance process in October. The firm says its decision reflects the evolving fixed income landscape and stakeholder feedback from a diverse set of global investors who use .......

    News Round-up 10 November 2015

  • Euro secondary stays positive

    Market tone remains broadly positive in the European securitisation secondary market.

    "Tone remains pretty good despite a weaker day yesterday in broader credit markets," says one trader. "Overall, secondary spreads aren't gapping in but continue to grind tighter in many sectors."

    The trader continues: "We saw quite a bit of activity in UK non-conforming yesterday and senior buy-to-let in particular .......

    SCIWire 10 November 2015

  • Invitation chooses to extend

    Invitation Homes has decided to exercise its one-year optional term extension on the single loan backing Invitation Homes 2013-1, a move that Moody's has labelled credit neutral. The deal, which was the first-ever single-family rental securitisation, still has a number of technical conditions to be settled before the extension takes effect.

    The decision to extend the loan resolves the uncertainty surrounding the deal, which led to Kroll Bond Rating .......

    News Round-up 9 November 2015

  • Slovak RMBS rating approach published

    Moody's has published its approach to rating Slovakian RMBS, using its MILAN framework. The rating agency will use this approach in conjunction with existing methodologies to rate both RMBS and covered bonds in Slovakia.

    Moody's issued a request for comment six weeks ago (SCI 23 September) and its rating approach implements the proposals from that RFC. The Slovakian residential real .......

    News Round-up 9 November 2015

  • Mexican RMBS approach published

    Moody's has published its transitioned approach for rating Mexican RMBS using its MILAN framework. The agency recently proposed the change from its previous rating approach in a request for comment to the market (SCI 18 September).

    Under the MILAN framework, Moody's begins with a portfolio analysis of the securitised collateral pool. The results of this analysis are the portfolio's expected losses .......

    News Round-up 9 November 2015

  • Euro secondary quiet

    The European securitisation secondary market closed last week quietly and looks set to start today in the same vein.

    Secondary volumes dropped again on Friday as the primary market drew investor attention and secondary spreads for the most part were unchanged despite continued broader market positivity. A few sectors did however see some uptick in prices - notably CMBS and .......

    SCIWire 9 November 2015

  • Amherst welcomes mortgage team

    Standish Mellon Asset Management has strengthened ties with subsidiary Amherst Capital Management by moving its mortgage team over to the firm. The team will remain in Boston and continue to utilise the same investment processes for Standish clients.

    However, it will gain access to Amherst Capital's real estate data set and analytical tools to provide additional advantages to its work .......

    Job Swaps 6 November 2015

  • Broker-dealer adds RMBS trio

    Nathan Hale Capital has made three hires to strengthen its institutional agency RMBS team. The new additions are Scott Mooney, John Fenwick and DJ Dal Pizzol.

    Mooney has more than 15 years of experience in trading agency RMBS. He was most recently director of mortgage-backed trading at Société Générale in New York and has also worked at BNP Paribas and .......

    Job Swaps 6 November 2015

  • Euro secondary firms up

    Tone in the European securitisation secondary market continues to firm up.

    Despite the large number of BWICs yesterday, pricing levels held up across the majority of sectors and the majority of bonds in for the bid traded in line with expectations. CMBS, peripherals and UK non-conforming continue to improve, while UK and Dutch prime remain solid. Auto ABS were the .......

    SCIWire 6 November 2015

  • US RMBS distracted

    Macro concerns are distracting the US non-agency RMBS secondary market.

    "The market has been fairly busy this week, but continued rate volatility is proving a distraction," says one trader. "Swap spreads are tighter - currently negative to US Treasuries; we have non-farm payrolls tomorrow; and the Fed still has a chance to do something this month. That's all keeping people .......

    SCIWire 5 November 2015

  • AOFM auctions put on hold

    The AOFM has cancelled its previously planned RMBS auctions for November and December. The decision follows the government agency's failure to sell any assets in its fifth auction last month (SCI 22 October).

    The AOFM has not committed to any further scheduled sales as of now, but states that auctions will be on hold until at least February 2016. If the government agency .......

    News Round-up 5 November 2015

  • Low losses for Japanese apartments

    Credit losses on Japanese apartment loans will remain low for Moody's-rated banks because they tend to attract strong borrowers, says the rating agency. This is despite the strong growth in the construction of new rental housing.

    The average annualised default rate in the past 10 years for securitised apartment loans has been only 0.07%, with a loss given default rate .......

    News Round-up 5 November 2015

  • Euro secondary improves

    Yesterday saw further improvement in the European securitisation secondary market, but it is still yet to take off.

    "We've got what we wanted at last - stability in broader markets - but our space isn't picking up massively," says one trader. "Tone is generally better and we are seeing a pick-up in high beta paper in particular."

    The trader continues: "CMBS .......

    SCIWire 5 November 2015

  • Grey area

    Granite casting shadow on European sentiment

    UKAR's sale of the Granite portfolio remains the hot topic in the European RMBS market, with uncertainty over its resolution affecting sentiment. Resecuritisation is a viable option for the eventual buyer, but how much paper will remain in the market post-sale is uncertain.

    A variety of potential bidders for the portfolio have been touted, with speculation dating back to earlier .......

    News Analysis 4 November 2015

  • Mortgage fund inks first investment

    UK Mortgages Limited (UKML), TwentyFour Asset Management's listed closed-ended fund, has signed its first transaction. Under the agreement, the fund will invest in profit participating notes (PPNs) issued by a dedicated acquisition company (Corporate Funding), which will purchase £310m UK buy-to-let mortgages from The Coventry Building Society Group.

    The pool comprises 1,743 recently originated mortgages, with an average balance of .......

    Job Swaps 4 November 2015
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