RMBS

  • Rock out?

    Granite buyer could take RMBS exit

    The UK government's desire to sell the mortgage loans it acquired bailing out Northern Rock - which are securitised in the Granite master trust - has fundamental implications for the RMBS market (SCI 23 March). While there is a chance the loans could exit the market completely, they also make a compelling candidate for resecuritisation.

    "Granite is not a bad .......

    News Analysis 28 April 2015

  • Aussie housing affordability steady

    Low mortgage interest rates have helped keep Moody's Australian housing affordability measure steady at the national level over the past year, according to the agency. This has offset the impact of higher property prices and relatively flat household incomes.

    However, the affordability measure deteriorated for Sydney and Melbourne, where house price rises have been more pronounced. "Furthermore, stress testing in .......

    News Round-up 27 April 2015

  • Euribor goes below zero

    Last week, three-month Euribor entered negative territory for the first time. As one-month Euribor was already negative, more than half of the available distributed European ABS market is now affected by negative interest reference rates.

    The three-month reference rate is now -0.002. One-month Euribor is -0.034, while six-month and 12-month both remain positive, at 0.066 and 0.173, respectively.

    As interest .......

    News 27 April 2015

  • GSE credit spectrum broadens

    Fannie Mae and Freddie Mac are continuing to expand the credit spectrum of loans included in their risk-sharing transactions, according to Fitch. The weighted average FICO score of borrowers in deals issued in 1Q15 was 752, down from the 765 seen in the inaugural transactions issued in 2013.

    Even with the inclusion of slightly weaker borrowers, agency mortgages included in .......

    News Round-up 27 April 2015

  • Sustained decline for Irish arrears

    Irish RMBS loans in arrears by more than three months reported a sustained decline in 2Q15 - to 17.7% - for the first time since 2005, Fitch observes. This is a drop from their peak of 19.3% in 3Q14 and 18% in the previous quarter.

    Fitch attributes the decline to ongoing servicing activities aimed at resolving long-term arrears cases and .......

    News Round-up 27 April 2015

  • APAC ratings remain stable

    Fitch reports that 243 Asia Pacific structured finance tranches were affirmed in 1Q15. Rating actions in Australia and New Zealand were once again supported by strong economic performance, with most ratings reviewed during the quarter being affirmed, contributing to 90% of the total affirmations in the region. In addition, nine Australian tranches were upgraded.

    In Japan, 11 ratings were affirmed, .......

    News Round-up 27 April 2015

  • Super-priority warning 'credit positive'

    The US FHFA last week issued a statement warning that Federal law prohibits state courts from involuntarily extinguishing Fannie Mae and Freddie Mac liens to give precedence to super-priority liens, such as energy retrofit programmes or homeownership association (HOA) liens, while the two GSEs are under conservatorship. Moody's notes in its latest Credit Outlook that the action is credit positive .......

    News Round-up 27 April 2015

  • Euro CLO BWIC bandwagon rumbles on

    As expected Friday was a comparatively quiet day across European secondary securitisation markets, but today sees the European CLO BWIC schedule take the lead once more.

    The end of week drop in European BWIC volume had a knock on effect in flow trading - diminishing volumes there as well. Nevertheless, the usual pockets of activity surrounding autos, CLOs and prime .......

    SCIWire 27 April 2015

  • Green Tree settlement 'credit neutral'

    Green Tree Servicing, a subsidiary of Walter Investment Management, has agreed to a US$64m settlement with the US Federal Trade Commission and the US Consumer Financial Protection Bureau over investigations into mistreating borrowers. The servicer has agreed to pay US$48m for consumer redress and a civil money penalty of US$15m, without admitting or denying any allegations to injunctive relief.

    Moody's .......

    News Round-up 24 April 2015

  • RMBS sets post-crisis high

    The volume of newly issued US prime jumbo RMBS during 1Q15 set a post-crisis milestone, according to Fitch's latest index results for the sector. The agency reports 13 RMBS deals coming to the market, representing the most active issuance quarter for prime jumbo RMBS since the financial crisis.

    "The roughly US$4.7bn of issuance in 1Q15 was nearly half the total .......

    News Round-up 24 April 2015

  • Euro secondary staid but stable

    Yesterday was quieter in European secondary securitisation markets than previous days and spreads remained stable. Today looks set to be the same with a limited total volume on the BWIC calendar and the market opening flat this morning.

    Yesterday's quieter day was partly a result of very heavy focus on the previously mentioned 14:00 peripheral BWIC, for which the covers .......

    SCIWire 24 April 2015

  • NPL sales to deepen market

    The moves by Fannie Mae and Freddie Mac to establish programmed sales of non-performing loans (SCI passim) will increase the depth of the distressed residential mortgage market, says Fitch. This could have positive implications for US banks seeking to sell their own NPLs.

    As more NPL buyers emerge and pricing trends develop, the magnitude of the impact to banks' NPL .......

    News Round-up 23 April 2015

  • US RMBS loses focus

    The US non-agency RMBS secondary market's focus has been distracted away from legacy paper in general and BWICs in particular.

    "The new STACR deal priced yesterday which caused a flurry of activity on- and off- BWIC on those bonds, and at the same time SFR subs are continuing to tighten," says one trader. "Both of these elements are distracting the .......

    SCIWire 23 April 2015

  • Euro ABS/MBS BWICs trade well

    Yesterday saw another active day in European ABS/MBS BWICs with almost all line items trading well.

    "There were a lot of BWICs yesterday and everything traded well, with the big blocks of EPICP DRUM A and WINDM XIV-X B a particular highlight," one trader says. "At the same time, UK non-conforming is feeling softer but the BWIC execution levels of .......

    SCIWire 23 April 2015

  • Sprawling landscape

    SFR securitisation expands with multi-borrower option

    B2R Finance and FirstKey Lending this month became the first sponsors to launch multi-borrower single family rental (SFR) securitisations (SCI passim). A number of key structural differences relative to single-borrower transactions have left investors weighing the costs and benefits of the two deal types.

    The US$230m B2R Mortgage Trust 2015-1 was the first multi-borrower SFR securitisation to hit the market, .......

    News Analysis 23 April 2015

  • Foreclosure timelines plateau

    The average amount of time it took to liquidate a distressed US mortgage loan rose again in 1Q15 to 42 months, according to Fitch's latest index report. However, while timelines on liquidated loans continue to increase, there are signs that the pace may soon begin to slow.

    Among loans still in foreclosure, the average amount of time since making a .......

    News Round-up 22 April 2015

  • Europe focuses on BWICs

    Quiet bilateral activity and consequently static spreads are increasing European secondary market focus on BWICs.

    "It's generally pretty static," says one trader. "Greek paper is still drifting downwards but that's pretty much it on light flows."

    The trader continues: "The primary market continues to be active, but it's not having any impact on secondary. A new issue premium is in .......

    SCIWire 22 April 2015

  • Positive tone in US MBS

    Despite macro issues the tone in the US MBS secondary markets remains positive.

    "There continues to noise about Greece and so on, but when you bring it down to the sector level it feels pretty risk on right now", says one trader. "You only have to look at the primary market - there's just been a CMBS conduit price tight .......

    SCIWire 21 April 2015

  • Recoveries change RMBS landscape

    Investors can find value in non-investment grade senior and mezzanine Spanish RMBS bonds, particularly as recoveries switch deals to pro rata paydown. Certain investment grade names also make for attractive investment candidates.

    Citi RMBS analysts have estimated updated Spanish LTVs for 2005-2007 vintage deals. They find indexed LTVs for 2005 vintage deals range between 57% and 85%, while the range .......

    News 21 April 2015

  • Euro ABS/MBS holds up

    The European ABS/MBS secondary market was very quiet again yesterday and into this morning, but spreads are holding up.

    Activity varies by sector, according to one trader. "Most of the activity in prime over the last few days has been around small size BWICs, which have traded well including some Italian bonds."

    Away from BWICs, the trader adds: "We saw .......

    SCIWire 21 April 2015

  • USDA programme boosted

    Ginnie Mae has enhanced its securitisation programme for US Department of Agriculture (USDA) Section 538 multifamily loans, allowing those with a maximum loan amount of 70% of total development costs to be eligible for pooling into Ginnie Mae MBS. This is an increase from the previous maximum loan amount of 50% of the total development costs, with the association seeking .......

    News Round-up 20 April 2015
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