RMBS

  • 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

  • Surveillance errors under review

    S&P says it is assessing the impact of potential error corrections relating to the use of lower default rate assumptions for certain current-paying pre-2009 US residential mortgage loans in its cashflow model than those prescribed by its RMBS surveillance criteria for pre-2009 originations. The agency's preliminary assessment suggests that between 300 and 400 ratings may be affected. It expects to .......

    News Round-up 19 February 2015

  • Poor vintage?

    Caution urged on recent Australian mortgages

    Australian RMBS issuance has increased, but so too have concerns regarding the underlying loans. House prices continue to rise unchecked, while underwriting standards are also coming into question, suggesting that investors should focus on more proven vintages.

    Two Australian RMBS have already been issued this year - the A$344m PUMA Trust 2015-1 and A$750m Series 2015-1 Harvey Trust - while .......

    News Analysis 18 February 2015

  • EMEA losses better US rate

    The estimated total losses from European securitisation bonds are small relative to those of the US, according to Fitch. Total losses on Fitch-rated EMEA securitisations issued from 2000 to 2014 are expected to be 0.7%, compared to 4% globally.

    Fitch says that a breakdown of the overall figures provides further evidence that securitisations have not performed as a homogenous investment .......

    News Round-up 18 February 2015

  • Euro secondary remains robust

    European secondary securitisation markets are staying robust despite continuing broader volatility around Greece.

    "The ABS/MBS market is strong," confirms one trader. "The core space continues to grind tighter and it's almost impossible to buy paper - the UK and euro is extremely well bid. At the same time, peripherals are unchanged to slightly better."

    Overall, ABS/MBS flows are increasing, albeit .......

    SCIWire 18 February 2015

  • Great divide

    ABS eligibility gap sparking investor rotation

    The ECB ABSPP-inspired rally has resulted in significant spread tiering between eligible and ineligible European ABS bonds. As investors are increasingly priced out of eligible assets, a trickle-down effect is spurring a dash for euro-denominated and ineligible bonds.

    A number of key moments occurred for European ABS spreads in 2H14, beginning with a 5bp tightening effect after ECB president Mario .......

    News Analysis 18 February 2015

  • Loss trends continue to improve

    Loss trends on pre-crisis global securitisations continue to improve, Fitch reports. The agency says this is due in large part to the recovery of the US housing market.

    Total losses on securitised bonds issued between 2000 and 2008 have dropped to 4.9% from 5% in last year's study. Total losses include both realised and expected future losses.

    "Loss performance on .......

    News Round-up 17 February 2015

  • Euro ABS/MBS keeps calm

    As anticipated with the US holiday the European/ABS secondary market was reasonably calm yesterday and that has extended into this morning despite the news around Greece.

    "We've not seen much action since the Greek discussions collapsed," says one trader. "Overall spreads have remained pretty stable."

    The trader continues: "For the moment the market is quiet, though we're hopeful it'll take .......

    SCIWire 17 February 2015

  • UK servicer acquisitions eyed

    Changes in ownership of UK residential mortgage servicers can create uncertainties about post-acquisition strategy and operations, as well as the effect on servicers' stability and performance, according to Fitch. The agency adds that the financial and operational support and strategic direction provided by new owners are key to the ratings impact of unprecedented numbers of acquisitions in the sector.

    The .......

    News Round-up 16 February 2015

  • MSR portfolios hit the market

    MountainView Servicing Group is advising Freddie Mac and Fannie Mae on the sale of a MSR portfolio with approximately US$3bn of unpaid principal balance. Bids for the portfolio are due by 19 February.

    The portfolio comprises 100% fixed-rate first lien assets, with a weighted average original FICO score of 755, a weighted average original loan-to-value ratio of 80%, a weighted .......

    News Round-up 16 February 2015

  • RMBS origination platform unveiled

    Venn Partners is to establish a new residential mortgage origination platform in the Netherlands and plans to boost its Dutch mortgage lending to €1bn by the end of 2015. Marc De Moor has been recruited to lead the new platform.

    De Moor was previously an executive director of Argenta and ceo of Argenta Nederland. With De Moor leading the new .......

    Job Swaps 16 February 2015

  • Derivatives skew for large list

    A large non-agency RMBS BWIC hit the market on Friday with a significantly greater volume of derivatives than in other recent lists. The US$2.6bn current face list totalled 130 bonds, of which 62% were IOs, 22% were P&I and 16% were inverse IOs.

    The P&I portion of the list mainly comprised POA bonds, although there was also Alt-A, prime and .......

    News Round-up 16 February 2015

  • Peripherals take attention

    Peripheral paper is receiving increased attention in the European ABS/MBS secondary market.

    On the back of strong prints on Friday and positive market tone at today's open, prices in major name peripheral bonds edged upwards first thing this morning. Focus revolved around Greek, Italian and Portuguese paper, though the former is likely to remain highly volatile.

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

    SCIWire 16 February 2015

  • Euro ABS/MBS returns to form

    After an up and down week in terms of activity the European ABS/MBS secondary markets have returned to form.

    Flows across the secondary market increased yesterday in both bilateral trades and BWICs as lists were added throughout the day. Most names saw strong trading levels and that positive tone has extended into this morning.

    The recent favourite sectors continued to .......

    SCIWire 13 February 2015

  • US RMBS looks to tomorrow

    The US non-agency RMBS secondary market is still fairly quiet post-Vegas, but tomorrow should see renewed focus with the large AON list due at 10:00 New York time (SCIWire 9 February 2015).

    "It looks like another quiet day today with people still trickling back from Vegas," says one trader. BWIC volume today is low for a Thursday at $200m-$300m, aside .......

    SCIWire 12 February 2015

  • Valuation RFPs issued

    The US NAIC has released RFPs from vendors to produce valuations for state insurance regulators to set risk-based capital requirements for CMBS and RMBS owned by US-domiciled insurance companies. Responses to the RFPs are due on 10 March.

    Consistent with NAIC policy, the association periodically submits third-party contracts to competitive rebidding. Blackrock Solutions and PIMCO have been providing the valuations .......

    News Round-up 12 February 2015

  • Euro ABS/MBS dampens down

    Secondary European ABS/MBS activity has dampened down once more as participants step away amid broader market volatility.

    "Flows are again relatively light," says one trader. "There's some concern over Greece and to a lesser extent Ukraine, which is keeping things pretty static in ABS."

    Core bonds remain the main focus of the ABS/MBS market with spreads grinding ever tighter led .......

    SCIWire 12 February 2015

  • Staying afloat

    Rising pressures test servicer resilience

    Recent regulatory and investor pressure on Ocwen has highlighted the operational weaknesses of some US RMBS servicers. Improved risk management - especially regarding communication, information and process flows - is key to strengthening their approach.

    The past few months have seen Ocwen agreeing to a US$150m settlement with the NYDFS and responding to investor allegations of contractual breaches in connection .......

    News Analysis 11 February 2015

  • Spanish arrears declining

    The Spanish economic recovery is feeding into mortgage performance, according to Fitch's latest quarterly index report for the sector. Late-stage arrears are down and national home prices have stabilised.

    Indeed, loans in late-stage arrears - including defaults - have decreased for the second quarter in a row to stand at 6.2% in December 2014 from their most recent peak of .......

    News Round-up 11 February 2015

  • Euro ABS/MBS picks up

    Despite the lack of BWIC supply activity picked up in European ABS/MBS yesterday and into this morning.

    Dutch and UK RMBS, both prime and non-conforming, Italian RMBS and UK autos are all seeing strong appetite again from both buy- and sell-side players. Consequently spreads in those sectors are edging in or holding tight.

    Elsewhere the story is more mixed with some .......

    SCIWire 11 February 2015

  • PLS loss expectations tested

    The US Treasury last week published the findings from its study on credit rating agency loss expectations. The move is part of the Department's initiative to expand access to credit by boosting the private-label RMBS market (SCI 1 July 2014).

    The Treasury says it recognised that the PLS market has been dormant since the financial crisis partly because of a .......

    News Round-up 10 February 2015
×