RMBS

  • Russian RMBS downgraded

    Moody's has downgraded 22 tranches and confirmed one tranche in 16 Russian RMBS transactions and concluded its review for downgrade for four transactions. The rating actions follow the weakening of Russia's credit profile, as reflected in Moody's recent decision to lower Russia's government bond rating to Ba1 and the lowering of the country's local-currency bond and deposit ceilings to Baa3 .......

    News Round-up 2 March 2015

  • Euro secondary quieter

    It's a quieter start to the week and month in European secondary markets today.

    February closed out quietly too after hectic activity earlier in the week, but Friday's UK non-conforming list was in the end joined by another and both traded well. There was patchy but strong trading elsewhere in other sectors including CLOs Italian RMBS and that overall positive .......

    SCIWire 2 March 2015

  • Specialist lending quality improving

    Relative to pre-2008 lending standards, the credit quality of mortgage loans in the specialist lending sector in the UK has significantly improved, according to Moody's. This is due to lenders having to comply with Mortgage Market Review (MMR) standards on affordability and income verification.

    "Aside from affordability assessments and more rigorous income checking, stronger borrower profiles have also played a .......

    News Round-up 27 February 2015

  • Euro secondary absorbs BWICs

    Yesterday's spike in European BWIC volume was absorbed comfortably, but today looks to be quieter.

    "The lists yesterday traded well though many bonds were in reasonably small size so it's difficult to read too much into it," Says one trader. "It's quieter today as it's a Friday, but the overall tone remains positive."

    There are only a few BWICs circulating .......

    SCIWire 27 February 2015

  • Softening signs for US RMBS?

    The US non-agency RMBS secondary market remains active and spreads are tight, but there are small signs of potential softening around the edges.

    "In many ways it's more of the same - the market has been busy this week, especially Tuesday, as people looked to get ahead of two big lists that are due today and tomorrow," says one trader. .......

    SCIWire 26 February 2015

  • California settlement disclosed

    Morgan Stanley disclosed in a recent Form 8-K filing that it has reached an agreement in principle with the US Department of Justice and the US Attorney's Office for the Northern District of California to pay US$2.6bn to resolve certain claims that they indicated they intended to bring against it. In connection with the resolution of this matter, the bank .......

    Job Swaps 26 February 2015

  • Prime RMBS approach finalised

    Moody's has outlined its approach to rating and monitoring US RMBS and GSE risk-transfer transactions backed by first-lien prime mortgage loans issued after 2009. This follows the agency's request for comment last year (SCI 14 August 2014).

    Under the new approach, the MILAN model will be the main quantitative tool for collateral analysis. The methodology also incorporates Moody's approach to .......

    News Round-up 26 February 2015

  • HLSS sale welcomed

    New Residential Investment Corp is set to acquire all outstanding HLSS shares for US$18.25 per share in cash, totalling approximately US$1.3bn. The sale is expected to boost HLSS's future liquidity and capital resources and, in turn, its ability to fund future servicer advances.

    The purchase price represents a 9% premium to HLSS' closing price of US$16.76 on 20 February. John .......

    Job Swaps 26 February 2015

  • AH4R debuts structural twist

    The latest single-family rental securitisation to hit the market provides new structural features in the form of an anticipated repayment date (ARD) and a longer term than previous SFR deals. Arranged by Goldman Sachs, the U$438.8m American Homes 4 Rent 2015-SFR1 transaction is backed by a single 30-year fixed rate loan with an ARD of 10 years.

    The loan will .......

    News Round-up 26 February 2015

  • European BWIC boom

    After a quieter day on the BWIC front yesterday European securitisation markets are set for a boom in auction activity today.

    While there were fewer BWICs yesterday than in previous days clearing levels remained strong and most recently popular sectors continue to be well-bid. However, UK non-conforming RMBS have softened a little on the back of increased primary activity.

    Today .......

    SCIWire 26 February 2015

  • Italian prepays to rise

    Increased competition in the Italian mortgage market is likely to raise prepayment rates and make the renegotiation of mortgage terms more common, Fitch reports. Data from banking credit information company, CRIF, shows new residential mortgage originations in Italy increased 15% year-over-year in the first nine months of 2014.

    Fitch says the rise in originations is largely due to a surge in .......

    News Round-up 25 February 2015

  • Euro ABS/MBS keeps active

    The European ABS/MBS secondary markets continue to be active across an increasing range of sectors.

    "Yesterday was busy again especially in prime, but we're seeing good two-way flows across a growing number of well-supported markets," says one trader. "That continues to involve Dutch and UK prime and Italian RMBS, but we're also seeing increased activity in UK non-conforming, where real .......

    SCIWire 25 February 2015

  • Rate cut effects examined

    Moody's says the Reserve Bank of Australia's (RBA) decision to cut the official cash rate by 0.25% to a record low of 2.25%, which mortgage lenders have passed on to borrowers, brings mixed benefits for the country's RMBS sector. The decrease is positive for existing RMBS as it means lower repayment amounts for home loan borrowers, but is negative for .......

    News Round-up 24 February 2015

  • California probe revealed

    Goldman Sachs has disclosed in its 2014 Form 10-K that, as part of the RMBS Working Group investigation, it received a letter in December from the US Attorney for the Eastern District of California in connection with a potential civil action. The letter states that the AG had preliminarily concluded that the firm had violated federal law in connection with .......

    Job Swaps 24 February 2015

  • MSR sale agreed

    Ocwen Loan Servicing has signed an agreement in principle to sell to Nationstar Mortgage residential mortgage servicing rights on a portfolio consisting of approximately 81,000 performing loans owned by Freddie Mac with a total principal balance of approximately US$9.8bn. Subject to a definitive agreement and approvals by Freddie Mac and the FHFA, the transaction is expected to close by 31 .......

    News Round-up 24 February 2015

  • BWICs drive European secondary

    BWICs held sway once more in European secondary markets yesterday as spreads ground ever tighter and today looks set to be similar.

    "We saw seven lists yesterday afternoon and they all traded well," says one trader. "Greece continues to dominate the broader market, but ABS remains insulated from the volatility and the tone continues to be stable and strong on .......

    SCIWire 24 February 2015

  • UKNC opportunity eyed

    The latest Eurosail restructuring and remarketing of debt tranches provides investors with an interesting route into UK non-conforming RMBS. ESAIL 2007-4BL's shorter-dated A2a tranche, in particular, appears to offer a rare opportunity in the asset class.

    ESAIL 2007-4BL originally issued securitisation liabilities in euros, while the loans were all denominated in pounds. Cross-currency swaps were entered into with Lehman Brothers, .......

    News 23 February 2015

  • Euro secondary stays strong

    European secondary securitisation markets continue to trade well despite the Greek rollercoaster impacting other markets.

    A flurry of BWICs added to the calendar on Friday took market attention, but further strong prints were seen across deal types and jurisdictions. There has even been an upswing for some Greek RMBS names - for example, dealer quotes for GRIF 1 A have .......

    SCIWire 23 February 2015

  • Euro secondary closes quietly

    European secondary securitisation markets continue to remain insulated from broader market volatility and after a busy week look set to close it out quietly.

    BWIC activity dominated across the board yesterday with bilateral trading taking a back seat. The majority of ABS, CLOs and MBS on lists saw strong execution once more.

    Today's European auction schedule is considerably quieter with only .......

    SCIWire 20 February 2015

  • Positive pattern for US RMBS

    Activity in US non-agency RMBS is developing something of a pattern, which is positive for the market.

    "As with previous weeks, the market is focused on a big list, which on this occasion looks like it's from a GSE," says one trader. "It's due today and is around $1bn but could be upsized to about $2bn as there is the .......

    SCIWire 19 February 2015

  • Competing pressures

    Future of GSE g-fees weighed

    The US FHFA is set to conclude a review of GSE guarantee fees by quarter-end. Execution levels on Freddie Mac's most recent risk transfer RMBS imply that there's room for a drop in g-fees, yet FHFA return-on-equity assumptions indicate a bias towards increasing them.

    ABS analysts at Bank of America Merrill Lynch outline two approaches to evaluating g-fees: one is .......

    News Analysis 19 February 2015
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