RMBS

  • Ohio, Michigan RMBS performance warning

    US RMBS deals backed by delinquent loans concentrated in Ohio and Michigan will perform worse than those backed by delinquent loans in other states because of high loss severities, Moody's suggests. The agency says this higher level of loss has been driven in part by significantly higher rates of home value depreciation.

    Average loss severities for defaulted loans from Ohio .......

    News Round-up 20 May 2015

  • Euro ABS/MBS BWIC spike

    After another relatively quiet day yesterday, the European ABS/MBS secondary market looks set for a busy day today with a spike in BWIC volumes.

    For the most part secondary spreads remained range-bound yesterday on light activity. Although one trader notes: "Market tone is a little bit weaker away from core product - peripherals and mezz 2.0 CMBS have edged out, .......

    SCIWire 20 May 2015

  • FNMA completes debut NPL sale

    Fannie Mae has disclosed the results from its first non-performing loans sale. The transaction comprised 3,068 loans with a UPB of US$762m, divided into two pools.

    Pool 1 accounted for 710 loans (US$173.8m), while Pool 2 accounted for 2,358 loans (US$587.9m). The winning bidders for the pools were SW Sponsor and Neuberger Berman Fixed Income Funds respectively. The cover bid .......

    News Round-up 19 May 2015

  • Non-agency RMBS approach released

    Morningstar has published its US non-agency RMBS resecuritisation methodology, while updating its current RMBS ratings methodology and US residential mortgage loan reps and warranties framework. The agency's framework covers its analytical approach to various types of RMBS transactions, including qualified mortgages, non-qualified mortgages, reperforming loans, non-performing loans and resecuritisations of existing classes of RMBS.

    Generally, Morningstar utilises a proprietary loan-level .......

    News Round-up 19 May 2015

  • ABS survey signals stability

    ABS investors remain comfortable with performance in the market, according to JPMorgan's mid-year ABS investor survey. This will likely be reflected in continued participation in the sectors that the investors currently invest in.

    JPMorgan ABS analysts expect ABS supply to reach US$200bn by year-end 2015, which would supplant the US$190bn of primary issuance in 2014. Survey respondents concurred, with 45% of .......

    News Round-up 19 May 2015

  • Granite upgraded on improved performance

    Fitch has upgraded 52 tranches of the Granite master trust RMBS programme and nine tranches from the Whinstone transactions. The agency has affirmed all other tranches and revised the outlooks on 19 tranches.

    The agency's actions are a result of a number of factors, including improving asset performance within the transactions. The balance of loans in arrears by more than .......

    News Round-up 19 May 2015

  • Ocwen downgrade eyed

    HSBC, as trustee to three Ocwen-serviced deals (RAMC 2005-4, RAMC 2006-1 and RAMC 2006-3), last week sent notices to noteholders requesting votes on terminating Ocwen as servicer. The notices refer to Fitch's downgrade of Ocwen's rating to RPS4 from RPS3 in February.

    In the servicing agreements between Wells Fargo as master servicer and Ocwen as servicer, the downgrade constitutes a .......

    News Round-up 19 May 2015

  • RMBS 3.0 servicing improvements touted

    Successive years of difficulties in the mortgage servicing sector have prompted a call for change among new-issue US RMBS market participants, according to Fitch. Most mortgage servicers have already begun undergoing significant transition since the mortgage crisis, including reductions in bank servicing portfolios and growth of non-bank servicing portfolios.

    However, changes now being sought by the market include improved incentive .......

    News Round-up 19 May 2015

  • Euro ABS/MBS builds up steam

    The European ABS/MBS secondary market looks to be building up a head of steam.

    Yesterday was, as expected, a quiet day with caution prevailing. However, there was patchy trading in the usual sectors plus an increase in interest in specific Spanish names. BWICs traded in line with expectations and overall spreads remained range-bound.

    With broader credit improving, today is likely .......

    SCIWire 19 May 2015

  • Euro ABS/MBS shows caution

    Some signs of caution are entering the European ABS/MBS secondary market, but it may not last.

    The quiet end to last week, which saw ABS/MBS spreads close unchanged has morphed into an even more cautious tone today with some signs of softening as broader credit edged wider on Greek concerns this morning. However, it is hoped that the building BWIC .......

    SCIWire 18 May 2015

  • Nomura given damages figure

    Nomura has been ordered by a US district court to pay US$806m to the US FHFA following a ruling that the financial holding company made false statements in selling MBS to Freddie Mac and Fannie Mae prior to the 2008 financial crisis (SCI 12 May). The court set out an order for the FHFA to submit a proposal for damages during .......

    Job Swaps 18 May 2015

  • Single security determinations issued

    The FHFA has published details of progress made on the single MBS that would be issued by Fannie Mae or Freddie Mac. Finalising the structure of the single security is a 2015 Scorecard item for both companies and for Common Securitization Solutions.

    The FHFA last year issued a request for input on all aspects of a proposed structure for the .......

    News Round-up 18 May 2015

  • Ocwen sells agency MSRs

    JPMorgan has agreed to purchase the mortgage servicing rights from Ocwen for 266,000 high-quality Fannie Mae loans worth an estimated US$45bn. The agreement follows a number of recent MSR sales by the servicer (SCI passim), as it continues in its attempt to raise capital.

    .......

    News Round-up 18 May 2015

  • Debut on-SEF MBS swap traded

    Tradeweb Markets has completed the first packaged MBS and US dollar swap transaction on a SEF. Axonic Capital executed the trade on the Tradeweb TW SEF prior to the US CFTC's no-action relief deadline (SCI 12 November 2014), with the trade clearing at CME Group.

    The CFTC extended no-action relief for made available to trade (MAT) swaps executed as part .......

    News Round-up 15 May 2015

  • Euro ABS/MBS looks ahead

    With a quiet end to the week likely the European ABS/MBS secondary market is looking ahead.

    As anticipated yesterday was a much quieter day in European secondary though a few more trades went through than first thought to be likely. On-BWIC the bonds that did trade did so broadly in line with recent levels and off-BWIC flows were constrained to .......

    SCIWire 15 May 2015

  • Old haunts

    'Grexit' concerns leave RMBS in doubt

    The spectre of redenomination risk has reappeared in the European RMBS market with the possibility of a Greek exit from the EU. Although transaction deleveraging is likely to provide some protection for investors in such a scenario, losses could potentially be severe.

    "The situation in Greece is certainly unreliable because any predictions are run completely on hypotheticals," says Barclays director .......

    News Analysis 15 May 2015

  • US RMBS active again

    The US RMBS secondary market has emerged from its relative slumber of recent weeks and activity is on the increase again.

    "Interest rate volatility has shaken some accounts out of their complacency," says one trader. "So we've had a much more active this week with a lot more BWICs going through."

    The trader continues: "We've seen good two-way flows with hedge .......

    SCIWire 14 May 2015

  • DSB loss expectations lowered

    The DSB Bank trustees last week provided an update on the progress of the duty-of-care claims process for the Chapel 2003 and 2007, Monastery 2004 and 2006 and Dome 2006 RMBS. As of end-March, 69,000 requests had been filed under the Mass Claims Settlement Act (WCAM) at a run rate of 300 applications per week.

    Despite the high number of .......

    News Round-up 14 May 2015

  • Euro ABS/MBS ebbs

    The recent flow of secondary market activity is likely to ebb away today because of the Ascension Day holiday.

    "Secondary has picked up over the past couple of days and a couple of primary deals have priced at the tight end of guidance, so there's still a good amount of demand for assets," says one trader. "However, I expect it .......

    SCIWire 14 May 2015

  • AOFM to auction RMBS

    The Australian Office of Financial Management (AOFM) has been directed to divest the Australian government's investments in RMBS, which currently total A$4.6bn in holdings. The AOFM expects to sell A$300m to A$500m of RMBS per calendar month, based on the total amortised face value of notes to be sold, which will exclude accrued interest, gains on disposal and repaid capital.

    The first monthly .......

    News Round-up 13 May 2015

  • Euro secondary liquidity on the rise

    European securitisation secondary market liquidity is continuing its rise this week.

    "There's more activity this week than last overall," says one trader. "With more and more trades getting done off-BWIC."

    While market tone remains broadly positive, some areas are softer than others. "There is some weakness in peripherals," notes the trader. "That's particularly true in Portuguese names, where, for example, .......

    SCIWire 13 May 2015
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