RMBS

  • Spanish foreclosures stabilising

    Spanish RMBS performance will benefit from a stabilisation in mortgage foreclosures, reports Moody's. With the foreclosure rate dropping by almost 14% since the peak of the crisis in 2010, the downward pressure on the performance of residential mortgages is easing, which is credit positive for the asset class.

    "We expect that a lower number of foreclosures will be accompanied by a shortening .......

    News Round-up 8 June 2015

  • Euro ABS/MBS mixed

    Despite wider market volatility and an overall weakening tone European ABS/MBS secondary market sectors continue to see mixed fortunes.

    The latter half of last week saw an upswing in BWIC supply, but was not met with sufficient demand as many line items did not trade. Overall market tone softened on the back of Greek concerns and broader credit weakness, but some sectors .......

    SCIWire 8 June 2015

  • Mortgage initiative impact gauged

    A recent programme set up by the Russian Agency for Housing Mortgage Lending (AHML) to support mortgage borrowers facing payment difficulties will have a limited effect on Russian RMBS, according to Moody's. This is due to the programme's restricted scope, owing to its funding constraints and tight eligibility criteria.

    The AHML's programme, which has been in effect since May, enables .......

    News Round-up 5 June 2015

  • Retail portfolio transfers mooted

    Moody's has been informed that Franklin C. Gatlin III has proposed to transfer the ownerships of Pacific Coast Plaza, Eastlake Terraces and Chula Vista II portfolios to three potential Delaware-based companies. The companies, still to be formed, will be indirectly majority owned and controlled by a real estate investment fund affiliated with Angelo, Gordon & Co.

    In connection with the transactions, affiliates of Angelo, Gordon .......

    News Round-up 5 June 2015

  • Split liability for WaMu claim

    The judge overseeing the Washington Mutual rep and warranty case yesterday ruled that JPMorgan will be liable only to the extent the liabilities were on the books of WaMu as of 25 September 2008. The exception to this is liabilities for the entity Washington Mutual Mortgage Securities Corporation (WMMSC), which will travel to JPMorgan. The remaining rep and warranty liabilities .......

    News 4 June 2015

  • Granite short-term ratings withdrawn

    Fitch has withdrawn its short-term F1 ratings on three Granite Master Issuer bonds, following the termination of conditional purchaser agreements for the notes. The affected tranches were structured to be issued on an annual revolving basis.

    The tranches are: Granite Master Issuer Series 2006-1 class A1, Series 2006-3 class A4 and Series 2007-2 class 4A1. Unless noteholders exercised their right .......

    News Round-up 3 June 2015

  • RMBS reporting improvements urged

    Increased consistency in performance data reporting across European jurisdictions would improve transparency and comparability in RMBS, suggests Moody's. The agency notes that focus on the standardisation of European securitisation remains high, while all policy initiatives include measures that aim to increase disclosure requirements.

    "The ECB and Bank of England's standardisation initiatives have improved the information available to investors," observes Moody's vp .......

    News Round-up 3 June 2015

  • Eurosail losses curbed

    Moody's reports that in five UK non-conforming RMBS deals where Lehman Brothers Special Financing acted as the currency swap counterparty, the recovery proceeds from the claims on defaulted currency swaps and the sale of the remaining claims were sufficient to restructure the transactions and limit noteholder losses. The transactions that were exposed to currency exchange rate risks after Lehman Brothers .......

    News Round-up 3 June 2015

  • Rewriting the rules

    Spanish law change boosts securitisation

    Spanish legislators have adopted a new securitisation law, bringing the market more in line with the rest of Europe (SCI 28 April). While the changes are positive and should boost the Spanish ABS market, change on a broader level is also required.

    "The new law 5/2015, published on 28 April 2015, explicitly acknowledges the key role in funding that the .......

    News Analysis 3 June 2015

  • ABSPP purchases revealed

    The ECB yesterday (1 June) published for the first time a detailed breakdown of the ABS holdings under the ABSPP, showing the amount purchased in the primary and secondary markets for each month. Such additional information has been welcomed for bringing the level of disclosure to that the CBPP3, although Barclays Capital European securitisation analysts note that it remains below .......

    News 2 June 2015

  • QM underwriting scrutinised

    By reviewing QM originator guidelines and evaluating how they address approximately 70 crucial aspects of underwriting, Morningstar says it has identified a benchmark for what it considers to be industry standards. To demonstrate differences and similarities across guidelines, the agency focused on 10 of the more active originators and aggregators of QM loans. It notes that each company's guidelines have .......

    News Round-up 2 June 2015

  • Israeli RMBS approach finalised

    Moody's has published its approach to rating Israeli RMBS transactions, using its MILAN model framework. The agency plans to use the proposed approach in conjunction with its existing methodologies to rate RMBS and covered bonds in Israel.

    Benchmarking the Israeli residential real estate market to other jurisdictions that also use MILAN was the key driver behind the calibration of MILAN .......

    News Round-up 2 June 2015

  • Euro ABS/MBS searches for direction

    With low levels of activity and spreads range-bound the European ABS/MBS secondary market is looking to new issuance for a direction.

    "Yesterday was very slow with most players sitting on the sidelines waiting for news on Greece," says one trader. "There is good activity in primary however and most people are looking there for some direction."

    The trader continues: "With .......

    SCIWire 2 June 2015

  • Euro ABS/MBS stays positive

    The European ABS/MBS secondary market ended last week quietly and looks to be starting the month in a similar fashion, but market tone remains positive.

    In Friday's quiet as anticipated session core prime paper was the main focus for buying interest. The few BWICs there were, mainly revolving around UK bonds, also traded reasonably well.

    Meanwhile, peripherals seem to have .......

    SCIWire 1 June 2015

  • SFR market moves east

    While the single-family rental securitisation market continues to grow, the profile of the underlying properties is changing. Where earlier deals were overwhelmingly backed by properties from the western US, more recent deals contain heavier concentrations of eastern properties.

    SFR issuance this year has passed US$4.3bn and is on course to surpass last year's total, say Morgan Stanley analysts. It is .......

    News 29 May 2015

  • Euro secondary subdued

    A distracted European securitisation secondary market looks to be closing the week in subdued manner.

    With traders distracted by a busy primary market and the large CDO liquidation, for which the results are yet to be released, yesterday's European secondary market was relatively quiet. Month-end today should ensure more of the same.

    Away from the big list the large ABS .......

    SCIWire 29 May 2015

  • Supply returns to US RMBS

    Pent up supply following the holiday weekend has burst on to the US RMBS secondary market.

    "It's a very busy week for month-end," says one trader. "We saw $500m in for the bid on Tuesday, which is high for the first day back from a long weekend, with large lists announced for today and tomorrow."

    Today's BWIC volume is sizeable .......

    SCIWire 28 May 2015

  • Call for clarity on repo eligibility

    Another 31 Spanish prime RMBS and SME ABS bonds were dropped from the ECB's repo-eligible list (SCI 6 March) last week. It appears that the move was due to non-compliance with the subordination rule, which requires that no tranche other than the eligible tranche is given priority over the receipt of principal and interest payments post a delivery of acceleration .......

    News Round-up 28 May 2015

  • Agency auction completed

    Freddie Mac has sold via auction 1,052 deeply delinquent Ocwen serviced NPLs from its mortgage investment portfolio, making it the GSE's third standard pool offering this year. The loans have an aggregate UPB of US$201m and the transaction is expected to settle in July.

    The loans were offered as a single pool of mortgages, with LSF9 Mortgage Holdings the winning .......

    News Round-up 28 May 2015

  • Italian mortgage prepays rise

    Italian mortgages saw a sharp increase in annual prepayment rate to 3.2% in 1Q15 from 2.5% in 4Q14, according to Fitch's latest index results for the sector. The agency suggests that loan refinancing was the dominant factor in the rising wave of prepayments, while low interest rates and renewed lender appetite resulted in growth in new lending volumes.

    Fitch adds that lenders .......

    News Round-up 28 May 2015

  • Euro ABS/MBS sees weak peripherals

    While broader markets have been boosted overnight by news on Greece, the European ABS/MBS secondary market is still showing signs of peripheral weakness.

    "It's been a slow week but we are bit weaker in Portuguese and Greek names," says one trader. "As a result of peripheral concerns we're seeing customers bringing out more and more paper."

    At the same time, .......

    SCIWire 28 May 2015
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