RMBS

  • Euro ABS/MBS firms up

    The European ABS/MBS secondary market is showing a firmer tone, but is not yet fully back up to speed.

    "Yesterday was very busy especially in peripherals with Spanish and Portuguese names the big movers," says one trader. "Overall, market tone is much better than we've seen for a while."

    However, the trader adds: "I'm not reading too much into it .......

    SCIWire 24 June 2015

  • Ocwen downgrade examined

    S&P last week downgraded Ocwen Financial's residential mortgage servicer ratings to below average from average, after they were placed on credit watch negative earlier in the month. Bank of America Merrill Lynch RMBS analysts suggest that the rating action is unlikely to lead to a large-scale movement of servicing away from the servicer, however.

    S&P cited regulatory and investor scrutiny, .......

    News Round-up 24 June 2015

  • August auction scheduled

    The AOFM's third Australian RMBS auction is to be held on 18 August. The announcement comes after the results from its first auction were published.

    The total volume sold in amortised face value in the inaugural auction was A$160.5m, with bids accepted at just over par for the IDOL 2010-1 and Progress 2011-1 A2 bonds. No bids were accepted for .......

    News Round-up 24 June 2015

  • Opportunity knocks

    ECB presence expanding ABS investor mandates

    The ECB's ABSPP was a hot topic at IMN's 2015 Global ABS Conference, as it continues to exert downward pressure on European securitisation spreads. Panellists noted an expanding mandate among many investors, with relative value opportunities shifting towards the UK non-conforming RMBS and European CLO sectors.

    Jefferies md Craig Tipping pointed to a shift in investor mandate when he admitted .......

    News Analysis 24 June 2015

  • UK arrears diverging

    Fitch reports that UK residential mortgage arrears trends diverged in 1Q15. While prime three-months plus arrears fell by 27% during the quarter to 1% of the outstanding collateral balance, the redemption of two large Leek RMBS portfolios led to an artificial increase of 2.7% in non-conforming late-stage arrears. Meanwhile, buy-to-let arrears were flat at 1.4%.

    With low interest rates likely .......

    News Round-up 23 June 2015

  • Default rate hits post-crisis low

    The default rate for global structured finance securities rated by S&P fell for the third successive year to 4.2% in 2014, the lowest level since 2008. The downgrade rate also declined to an eight-year low of 10% in 2014, while the upgrade rate increased to 8.4%.

    "Overall global structured finance credit quality declined again in 2014, with the number of .......

    News Round-up 23 June 2015

  • Euro secondary turns positive

    The European securitisation secondary markets are taking a positive turn albeit at a statelier pace than broader markets.

    "Sentiment is a little bit better though our markets are slower to come back than others," says one trader. "Spreads haven't moved much this week so far, but are slightly tighter since Barcelona and there's definitely more liquidity around."

    Activity remains patchy, .......

    SCIWire 23 June 2015

  • Euro ABS/MBS slow return

    The European ABS/MBS secondary market is slowly returning to life following the Barcelona conference.

    Friday was slow with only a few trades going through and a handful of line items on BWIC. Today's open sees most ABS/MBS participants seemingly content to sit on the sidelines awaiting news on the Greece-EU meetings despite the emerging more positive tone in broader markets.

    SCIWire 22 June 2015

  • US RMBS volume dips

    The US non-agency RMBS secondary market has seen a dip in volume over this week, which could be the precursor to a longer-term trend.

    "We saw a bit of volume earlier in the week with around $800m on Tuesday, but today is quiet for a Thursday with around $400m in for the bid," says one trader. "That's primarily a result .......

    SCIWire 18 June 2015

  • Australian mortgage conditions improve

    Despite Australian property market conditions improving, Fitch's Dinkum RMBS Index increased only 2bp last quarter, to 1.17%. Sturdy issuance volume, high house prices, stable unemployment and low interest rates should keep arrears low for 2Q15, though further arrears improvements are not expected.

    The rating agency notes that Christmas and holiday spending pressures on mortgage performance were offset last quarter by .......

    News Round-up 18 June 2015

  • CDO holdings divested

    Zions Bancorporation says it has sold the remainder of its CDO holdings. The move is expected to substantially reduce its modeled risk to capital, particularly under severely adverse economic scenarios.

    The company sold US$574m (amortised cost) of CDOs for proceeds of US$437m during 2Q15, generating a realised pre-tax loss of US$137m. Prior to these sales, it received pay-downs and pay-offs .......

    Job Swaps 17 June 2015

  • Appeals ruling 'credit negative'

    Moody's says that the recent New York Court of Appeals ruling that representations and warranties in most RMBS and CMBS transactions have a life span of only six years, beginning on the closing date of the securitisation (SCI 12 June), is credit negative. This is because some R&W breaches may only be apparent much later than six years after a .......

    News Round-up 16 June 2015

  • Aussie structural differences analysed

    Fitch has published a special Q&A report highlighting key differences in Australian RMBS structures and the impact that structural features can have on the risk profile of both senior and junior investors. Over the past 12-18 months, the market has seen some notable changes in Australian RMBS structures as issuers adapt to changing market conditions.

    "No longer do we find .......

    News Round-up 16 June 2015

  • Peripheral RMBS strengthening

    Fitch says that the features of new RMBS in Italy, Spain and Ireland have strengthened, thanks to improved credit standards of their underlying portfolios and simpler capital structures, which have better alignment of interest between issuers and investors. However, uncertainties remain regarding ongoing legislative changes and implications of an evolving interest rate environment.

    More stringent underwriting standards by lenders have improved the .......

    News Round-up 16 June 2015

  • Global RMBS prepays 'steady'

    Moody's expects CPRs to remain steady in RMBS globally for several region-specific reasons. This could support ongoing stable collateral performance in RMBS throughout the world.

    "In the UK, the number of homeowners taking out new mortgages or refinancing existing mortgages will likely rise in 2016, nudging CPRs gradually upward," says Moody's structured finance md Annabel Schaafsma. "In the euro area .......

    News Round-up 16 June 2015

  • Successful ED project 'requires support'

    While the European DataWarehouse (ED) has continued to make strides over the last 12 months, data shortcomings in the market which are beyond the ED's power to address threaten to derail further progress. For this reason, it may be necessary for the ED's mandate to be expanded.

    The ED tracks loan-level data for 890 deals, backed by more than 40 .......

    News 16 June 2015

  • Euro secondary quiet

    With the Barcelona conference getting fully underway today it is expected to be very quiet in the European securitisation secondary markets over the next couple of days.

    The participants that remain at their desks are likely to maintain the risk-off stance of the past week as Greece and broader credit market volatility continue to dominate attention. However, there is one .......

    SCIWire 16 June 2015

  • New lender mitigants outlined

    Fitch says that global RMBS transactions backed by mortgages from new lenders need to be analysed cautiously, as they pose a number of additional risks compared with transactions from more established lenders. The agency has recently received multiple enquiries to rate transactions from new lenders and notes that that the lack of historical data is the main challenge.

    Fitch says .......

    News Round-up 15 June 2015

  • RFC issued on Dutch RMBS

    S&P has requested comments on proposed changes to its methodology for rating Dutch RMBS. The proposals align the criteria for Dutch RMBS closely with the agency's global RMBS criteria, and apply to all new and existing ratings on Dutch RMBS and to the analysis of Dutch residential mortgage covered bonds.

    S&P says the proposed criteria constitute a starting point for assessing .......

    News Round-up 15 June 2015

  • More of the same for European ABS/MBS?

    Last week's weaker tone in the European ABS/MBS secondary market looks set to continue.

    Last week saw overall ABS/MBS spread widening on the back of negative market sentiment, poor liquidity and broader rates volatility. This week is likely to see even more of the same with continuing Greek concerns and most market participants away from their desks in Barcelona.

    There .......

    SCIWire 15 June 2015

  • RMBS manager benefits weighed

    The inclusion of a transaction manager (TM) in new US RMBS transactions would likely benefit investors in higher loan default scenarios, according to Fitch. In an effectively designed framework, the TM would bear responsibility for coordinating with all transaction parties, including servicers, trustees, custodians, specialty vendors and investors.

    In addition to assuming or directly replacing servicer responsibilities (SCI 19 March), .......

    News Round-up 12 June 2015
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