RMBS

  • 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

  • Euro secondary solid

    The European securitisation secondary market is staying solid despite distractions from elsewhere.

    Broader market volatility thanks to the Volkswagen story failed to feed through into the ABS market as autos for the most part held firm yesterday. VCL bonds edged wider by only a couple of points while spreads across the remainder of the auto sector were unchanged with buyers .......

    SCIWire 22 September 2015

  • MBS director appointed

    SFIG has hired Dan Goodwin as director of mortgage policy to focus on MBS policy issues. He will report directly to SFIG executive director Richard Johns.

    Before joining the association, Goodwin was group head at Hilltop Holdings and Southwest Securities. Prior to that, he was head of ABS and principal investing at Bank of America, as well as vp in .......

    Job Swaps 21 September 2015

  • Euro secondary mixed

    The European securitisation secondary market continues to experience mixed fortunes amid thin liquidity.

    It was another mixed day on Friday with some ABS/MBS sectors, notably Portugal, ending the week softer as broader market tone weakened, while CLOs continued to lack direction. However, relatively strong flows were seen in UK prime and Greek RMBS benefitted from pre-election interest. This morning's open .......

    SCIWire 21 September 2015

  • Mexican model replacement mooted

    Moody's is requesting comments on a proposal to replace its rating methodology on Mexican RMBS with its MILAN model. The agency explains that the MILAN framework provides a more refined approach to monitoring RMBS in Mexico.

    Under the existing methodology, Moody's estimates projected lifetime net losses on a portfolio. The agency then compares these to each note's credit enhancement, with .......

    News Round-up 18 September 2015

  • Platinum programme streamlined

    Ginnie Mae is amending its Platinum programme's guaranty fee structure and lowering the minimum amount necessary to create a Ginnie Mae Platinum security, effective for October settlements and thereafter. The move is designed to: reduce the administrative fee associated with creating these securities; allow Ginnie Mae MBS certificateholders to aggregate smaller pools into larger, more fungible pool sizes; achieve superior .......

    News Round-up 18 September 2015

  • RFC issued on Aussie benchmark

    Analysis undertaken by a number of market participants suggests that a more diverse range of interest rate benchmarks could be beneficial in Australia, particularly reference rates that are closer to risk-free, as this may better suit financial transactions like RMBS. The Australian Financial Markets Association (AFMA) is consequently working with the Australian regulatory authorities to develop a near-risk free benchmark .......

    News Round-up 18 September 2015

  • Euro secondary keeps quiet

    The European securitisation secondary market was once again quiet yesterday and looks likely to stay the same today.

    Secondary spreads remained fairly stable yesterday, though some softening of tone continues in the peripheral space. Volumes remained low in both flow and BWIC trading across the board in advance of the Fed announcement. On a Friday amid slightly weaker broader markets .......

    SCIWire 18 September 2015

  • US RMBS halted

    Activity in the US non-agency RMBS secondary market has halted this week, but is expected to pick up again next.

    "There's been very little trading in the last few days," says one trader. "Tuesday was the last day with any BWIC activity and even then there was less than $50m in for the bid."

    However, the inactivity is only to .......

    SCIWire 17 September 2015

  • RMBS losses case settled

    RBS had agreed to pay US$129.6m to the NCUA over a case involving losses related to RMBS that the bank sold to Members United and Southwest corporate credit unions. The latest settlement means the NCUA has now obtained more than US$1.9bn in legal recoveries from institutions linked to the corporate crisis.

    The government agency says it uses the net proceeds .......

    Job Swaps 17 September 2015

  • Euro secondary stalemate

    The European securitisation secondary market stalemate is continuing as participants stay on the sidelines apart from for selected assets.

    "Things haven't changed much despite the better tone in global markets," says one trader. "In particular, off-the-run assets, such as CMBS and UK non-conforming, remain difficult to move, though UK non-conforming liquidity has slightly improved on the back of further pricing details .......

    SCIWire 17 September 2015

  • RMBS comparison tool debuts

    Fitch has launched the SA RMBS Compare, an Excel tool that provides access to the agency's surveillance and index data on South African RMBS transactions. The tool allows users to review the performance of transactions in comparison with macroeconomic indicators, such as arrears, defaults, recoveries and loss severity.

    .......

    News Round-up 16 September 2015

  • Irish mortgage restructurings 'credit positive'

    Persistent high levels of late-stage arrears indicate that Ireland's mortgage arrears crisis is not yet resolved, according to Moody's. Nonetheless, the agency believes that the expansion of restructuring methods and introduction of restructuring targets have helped address borrowers' payment problems - a credit positive for Irish RMBS, covered bonds and banks.

    "Borrowers are benefitting from the strong economic recovery in .......

    News Round-up 16 September 2015

  • CSP update supplied

    The FHFA has released an update on the Common Securitisation Platform (CSP), detailing progress made in the development of a new infrastructure for the securitisation of single-family mortgages by Fannie Mae and Freddie Mac. The update includes details on the organisational structure of Common Securitisation Solutions and the various modules that comprise the CSP and their functions.

    The update also .......

    News Round-up 16 September 2015
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