RMBS

  • WaMu appeal approved

    An appeal by the FDIC of the June ruling in the WaMu rep and warranty trial (SCI 4 June) was approved last week. Proposed schedule changes are due to be submitted by both parties this week, which may shed more light on the timing of the subsequent process.

    Bank of America Merrill Lynch RMBS analysts note that for reference purposes, .......

    Job Swaps 30 September 2015

  • Fund liquidity proposals weighed

    Last week, the US SEC voted to propose tighter liquidity rules for open-end funds, including mutual funds and ETFs. While the rules would lead to several changes, the most significant one for CLO investors could be regarding liquidity buckets.

    The SEC's proposed rules would formalise the 15% limit on illiquid assets which currently serves as a guideline, classify assets into .......

    News 29 September 2015

  • Actual loss ACIS inked

    Freddie Mac has obtained another actual loss insurance policy under its ACIS programme, which is tied to its previous STACR 2015-DNA1 offering (SCI 8 April). The new transaction transfers much of the remaining credit risk associated with the deal to insurance and reinsurance companies around the globe.

    The policy transfers up to a combined maximum limit of approximately US$132.5m of .......

    News Round-up 29 September 2015

  • Euro secondary weakens

    The European securitisation secondary market has weakened further on the back of broader market sell-offs and continuing VW concerns.

    "Equity and credit markets are weaker and so are we," says one trader. "In particular the weakness in VW ABS has filtered through into the whole of the low beta space and with that weak it's extremely difficult to get anything .......

    SCIWire 29 September 2015

  • FNMA brings actual loss deal

    Fannie Mae has completed its latest credit risk sharing transaction, CIRT 2015-3. For the second time since the credit insurance risk transfer (CIRT) programme's inception in 2014, an international reinsurer participated in the RMBS. Coverage is provided based upon actual losses for a term of 10 years.

    Under the securitisation, Fannie Mae retained risk for the first 50bp of loss on .......

    News Round-up 28 September 2015

  • Euro secondary stays thin

    Liquidity remains thin in the European securitisation secondary market.

    Last week ended as anticipated with many players staying on the sidelines as a selling bias prevailed and bid-offers moved ever wider. Even flows in CLOs diminished as the relatively hectic BWIC schedule saw a flurry of DNTs. Overall, away from prime assets, secondary spreads have edged out further.

    Today currently .......

    SCIWire 28 September 2015

  • Model bail-in clause provided

    AFME has published a model clause for contractual recognition of bail-in. It provides model wording designed to assist banks in complying with obligations under the Article 55 of the EU's Bank Recovery and Resolution Directive (BRRD).

    The directive requires banks to insert clauses in contracts to give effect to bail-in in a very broad range of liabilities governed by non-EU .......

    News Round-up 25 September 2015

  • High LTV STACR priced

    Freddie Mac has priced its first STACR actual loss offering with original LTV ratios ranging from 80% to 95%. The transaction is the GSE's sixth in 2015 and fifteenth since the programme began in 2013.

    The US$872m STACR 2015-HQA1 has a reference pool of single-family mortgages with a UPB of more than US$19bn. The reference pool consists of a subset .......

    News Round-up 25 September 2015

  • Colony adds finance chief

    Colony American Finance (CAF) has hired Christopher Hoeffel as cfo. He arrives from Investcorp, where he was head of real estate debt investments, including three high-yield debt funds.

    Hoeffel has also held senior roles at JPMorgan, Bear Stearns, Eastdil Realty and Walker & Dunlop. His duties have ranged from real estate investment banking to originating, underwriting and selling CMBS.

    CAF provides acquisition financing and .......

    Job Swaps 25 September 2015

  • Euro ABS/MBS sidelined

    Investors are for the most part staying on the sidelines in the European ABS/MBS secondary market.

    Sellers are outnumbering buyers in most sectors as broader market volatility is now heavily impacting ABS. Inevitably VW paper is taking the biggest hit at the moment and that is causing reticence in the rest of the European auto sector. Instead, buying is continuing .......

    SCIWire 25 September 2015

  • US RMBS shaken

    The US non-agency RMBS secondary market has been impacted by broader market volatility and the FOMC statement following last week's rate decision.

    "We had the worst case scenario from the Fed - keeping rates the same wasn't the main issue, but the statement afterwards really didn't help," says one trader. "The Fed's comments suddenly got everyone thinking the world is .......

    SCIWire 24 September 2015

  • Euro market looks liquid

    European ABS BWIC activity was high over the summer, while the traded percentage also surprised to the upside. From this perspective, at least, European liquidity appears healthy, with UK RMBS proving particularly liquid.

    Over the 16-week period from 1 June until the end of last week, JPMorgan analysts counted €3.6bn of bonds at current face value - or €6.9bn in .......

    News 24 September 2015

  • New frontiers?

    Deal innovations break new ground for RMBS

    Recent US RMBS transactions have increased expectations about the dawn of a 3.0 market. However, while their innovations may open new territory, a true 3.0 environment appears to remain a way off.

    RMBS issuance has remained low and lack of liquidity remains a key concern. The bid-ask spread underlines the struggle with liquidity.

    "In July and August, we liquidated about .......

    News Analysis 24 September 2015

  • Euro secondary still selective

    The European securitisation secondary market continues to see trading across the board, but only on selected names.

    Secondary spreads closed unchanged yesterday on, once again, patchy activity on- and off-BWIC. Most sectors saw some action, but prime assets remain the strongest performer. Autos were much quieter than the previous session with only the German programmes edging wider.

    There are currently .......

    SCIWire 24 September 2015

  • RFC called on Slovak RMBS

    Moody's is seeking comments on its proposed new methodology for analysing the credit risk of Slovakian RMBS transactions. The agency says that no rating changes will result from the publication of the new approach.

    Moody's says its emerging securitisation markets reference is a highly relevant benchmark for Slovakia. To derive the calibration of the country-specific values and assumptions for Slovakia, Moody's specifically .......

    News Round-up 23 September 2015

  • UK FF assumptions updated

    Fitch has published an exposure draft over proposed revisions for estimating losses on UK residential mortgage pools that are applicable in the analysis of UK RMBS. Although the overall analytical framework remains unchanged, revisions have been made to foreclosure frequency (FF) assumptions.

    One such proposal by Fitch is for a proposed reduction in FF assumptions for prime and non-conforming loans. The agency notes that the UK .......

    News Round-up 23 September 2015

  • Multifamily debt mounts

    Outstanding US multifamily mortgage debt now exceeds US$1trn and is growing at almost 10% a year, according to the Mortgage Bankers Association. The level increased by US$38.5bn in 2Q15, a 1.4% increase over the last quarter, as three of the four major investor groups increased their holdings.

    The four major investor groups are: bank and thrift; CMBS, CDO and other .......

    News Round-up 23 September 2015

  • RPL credit factors highlighted

    The performance of reperforming mortgage loans (RPLs) since their last modification is crucial in the analysis of their credit strength, says Moody's. Potential operational risks must also be prioritised in the analysis.

    "The credit strength of RPLs depends not only on the creditworthiness of the underlying asset pool, but also on the effective servicer practices with regards to loan modifications," .......

    News Round-up 23 September 2015

  • Euro secondary picks up

    The European securitisation secondary market is seeing a pick-up in activity.

    Amid a spike in broader market volatility and the evolving Volkswagen story, secondary activity and client enquiries grew significantly from recent levels yesterday. Inevitably attention was focused around auto ABS with a flurry of bonds across European jurisdictions offered for sale, most traded but transparency on pricing levels was .......

    SCIWire 23 September 2015

  • Freddie posts record NPL sale

    Freddie Mac says it has sold 5,208 deeply delinquent NPLs worth US$1.1bn, making it the biggest such transaction so far from the GSE. The sale was composed of Ocwen-serviced loans across five pools - three of which were bought by Lone Star - after Freddie Mac opened the auction last month (SCI 17 August).

    The other two pools were bought by Pretium Partners .......

    News Round-up 22 September 2015

  • Italian mortgage refinancing rising

    Fitch has noted a strong refinancing trend in the Italian mortgage market from end-2014 to 2Q15, which continues to drive the annualised prepayment rate - up to 3.9% last quarter from 3.1% in 1Q15. Over the quarter, subrogation loans have remained the main source of new originations and constitute more than 60% of new mortgages.

    Borrowers opted to refinance mainly to .......

    News Round-up 22 September 2015
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