RMBS

  • 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

  • Capital markets group adds three

    Wilmington Trust has expanded its global capital markets structured finance group with three new hires. Rick D'Emilia has been hired as business development officer, Ben Jordan as head of transaction management and Steve O'Neal as asset servicing manager.

    D'Emilia will seek to develop new client relationships, while maintaining existing relationships in the structured finance industry. Prior to joining Wilmington Trust, D'Emilia was .......

    Job Swaps 16 September 2015

  • Euro secondary lull continues

    The European securitisation secondary market's summer lull has morphed into a September one with liquidity still very thin across the board.

    "There's still very little going on other than a few BWICs," says one trader. "For September it's bad and we can't even blame the summer anymore."

    The trader continues: "What little secondary activity there's been has focused around prime .......

    SCIWire 16 September 2015

  • NAIC MBS assumptions 'mixed'

    The NAIC's structured securities group (SSG) last week released recommendations for macroeconomic assumptions, scenarios and probability weightings for use in this year's annual surveillance of insurer-owned CMBS and RMBS. Morgan Stanley analysts believe these are mixed for CMBS but positive for RMBS.

    For CMBS, the probability weights across the four modelled scenarios remain consistent in 2015 with those used in .......

    News 15 September 2015

  • Aussie auctions progress

    The AOFM has released details of its sixth RMBS auction, to be held on 23 November. Securities up for bid comprise the Apollo 2010-1 A2 (with a face value of A$300m), Progress 2012-1 A (A$128.75m), REDS 2010-1 A (A$250m) and Torrens 2009-1 A2 (A$190m) tranches. Settlement is due on 26 November.

    Separately, the results of the AOFM's fourth auction - .......

    News Round-up 15 September 2015

  • Loan-level data reveals GSE differences

    The loan-level data recently disclosed by Fannie Mae (SCI 4 August) reveals similarities between historical loss severities for liquidated Fannie Mae mortgages and fixed loss severity schedules used in Connecticut Avenue Securities (CAS) risk transfer deals, notes Fitch. However, there are still differences in the loss severities among Fannie Mae and Freddie Mac loans.

    All CAS risk-sharing transactions issued so .......

    News Round-up 15 September 2015

  • Euro ABS/MBS keeps BWIC focus

    The European ABS/MBS secondary market is continuing to revolve around BWICs

    "We've been fairly busy with a quite a few BWICs going through last week and this," says one trader. "Most seem to have traded reasonably well even though the macro backdrop remains challenging."

    The trader continues: "As with other markets we've softened a little but paper is still going .......

    SCIWire 15 September 2015

  • Spanish house prices stabilising

    Recent data indicates that the decline in Spanish home prices has bottomed out, according to Fitch. However, a persistently low level of recoveries from properties taken into possession by lenders supports the agency's view that national home price growth will be slow and uneven.

    The Spanish National Institute of Statistics revealed last week that the Spanish Housing Price Index (HPI) rose .......

    News Round-up 14 September 2015

  • Nevada rulings support FHFA position

    The US District Court for Nevada recently issued three rulings that Moody's believes are credit positive for US RMBS because they further support the FHFA's position that federal law prevents a home owner association (HOA) foreclosure from extinguishing a mortgage owned by a GSE while the GSE is under conservatorship (SCI 27 April). The new cases make it clear that .......

    News Round-up 14 September 2015

  • Interest capitalisation mods scrutinised

    The increasing use of interest capitalisation modifications is credit negative for US RMBS due to the poor performance of these modifications, according to Moody's latest ResiLandscape publication. The agency adds that many borrowers receiving modifications that increase their monthly payments do not have the ability to make the higher payments, resulting in higher re-default rates on the modified loans.

    Of .......

    News Round-up 14 September 2015

  • US, European issuance forecast

    S&P projects that US securitisation issuance levels for 2015 and 2016 will experience moderate year-over-year growth, but will not reach the pre-crisis levels of 2006 and 2007. The agency forecasts issuance of US$474bn and US$537bn in 2015 and 2016 respectively, up from a total of US$462bn in 2014.

    "Although many securitisation products are benefiting from an improving economy and are likely to see increased issuance, .......

    News Round-up 14 September 2015

  • Euro secondary stays stable

    The European securitisation secondary market closed out Friday fairly quietly but with spreads still appearing stable after a mixed week.

    Transparency was hampered by a higher than normal proportion of DNTs or colour not released on BWICs, but overall market tone remains positive and secondary spreads are broadly unchanged at this morning's open. CLOs and prime ABS/MBS continue to be the main .......

    SCIWire 14 September 2015

  • Dutch RMBS delinquencies drop

    The Dutch RMBS market saw a continued decrease in delinquencies but a modest increase in cumulative defaults during a three-month period ending in June, says Moody's. The 60-plus day delinquencies of Dutch RMBS fell to 0.81% in June from 0.85% in March, while defaults moved up to 0.76% from 0.65% in the same time - in comparison to 0.43% in June 2014.

    News Round-up 11 September 2015

  • SFR servicing scarcity underlined

    The limited number of special servicers available to administer US single-family rental (SFR) properties in the event that the operator defaults is a risk to SFR securitisations, says Moody's. The limited near-term incentive for other servicers to enter the market presents an added issue.

    There are 22 SFR transactions outstanding with two entities, Midland Loan Services and Situs Holdings, assigned .......

    News Round-up 10 September 2015

  • MBS guide rules updated

    Ginnie Mae has made a number of updates to its issuer business status criteria in its MBS guide. The GSE says that the changes are in response to recent changes in the economic and regulatory environments, as well as an increase in the volume and complexity of issuer requests for approval of certain changes.

    Among the changes made, the required five days .......

    News Round-up 9 September 2015

  • Rates masking RMBS risk

    Moody's suggests that low interest rates are currently masking key drivers of Australian mortgage defaults. The agency notes that mortgages used for investment purposes and interest-only (IO) repayments will remain key drivers of future defaults, despite their strong performance in the current prolonged low rate environment.

    The default rate of investor and IO loans is currently lower than that of owner-occupied .......

    News Round-up 9 September 2015

  • Traders charged with RMBS fraud

    The SEC has charged three traders over lying to customers with regard to pricing information on RMBS. Ross Shapiro, Michael Gramins and Tyler Peters allegedly generated millions of dollars in additional revenue for former employer Nomura Securities as a result of their supposed misconduct.

    The charges say that the three traders misrepresented the bids and offers being provided to Nomura for RMBS as well .......

    Job Swaps 9 September 2015

  • Real estate legal pro tapped

    Allen & Overy has appointed Lucy Oddy to its real estate finance group. Joining from Latham & Watkins, Oddy is a structured finance specialist who advises on a broad range of transactions, with a particular focus on CMBS and RMBS.

    Oddy's clients include financial institutions, funds and private equity firms. She focuses on employing new funding structures for real estate assets across .......

    Job Swaps 9 September 2015

  • RMBS tail risk protections examined

    All post-crisis US jumbo RMBS have credit enhancement floor protections built in to protect the deals from tail-end losses. However, Moody's notes that the protections for the subordinate bonds differ across transactions.

    Tail-end losses are defined as losses that occur late in the transaction's life when only a few loans remain in the mortgage pool. In those transactions, credit enhancement floors .......

    News Round-up 4 September 2015

  • CRT rating upgrades begin

    Moody's is the first rating agency to upgrade CRT bonds after taking action on CAS 2014-C01 M1, STACR 2013-DN2 M1 and both STACR 2014-DN1 M1 and M2. Upgrades for a wave of newer deals are also anticipated.

    The bonds were upgraded this month as a result of recent performance of the underlying pools and because of updated loss assumptions and .......

    News Round-up 4 September 2015

  • Euro secondary ticks up

    Broader market improvement on the back of the message from the ECB and the Chinese holiday has extended into the European securitisation secondary market with a slight uptick in activity and some improvement in pricing levels.

    Flows continued to revolve around the usual suspects with sterling-denominated prime and peripherals, especially Italy, benefitting the most. At the same time, the CLOs .......

    SCIWire 4 September 2015
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