RMBS

  • STACR programme enhanced

    Freddie Mac has made a number of enhancements to its STACR programme, coinciding with the announcement of its first STACR offering for 2015. The enhancements aim to reduce credit risk, as well as promote programme liquidity and provide diverse investment options for investors.

    Programme enhancements as showcased by STACR 2015-DN1 include transferring 100bp of the first loss credit risk tranche .......

    News Round-up 21 January 2015

  • Europe's waiting game continues

    It's still an ECB waiting game in European secondary markets but sentiment remains positive.

    "It's still mainly about waiting on some ECB action tomorrow," says one trader. "But sentiment is good, albeit on quite thin flows, so we're seeing a continuation of the tightening trend especially in UK and Dutch prime."

    UK non-conforming RMBS is also continuing to attract interest, .......

    SCIWire 21 January 2015

  • US RMBS keeps tight

    First day back from a long weekend the US non-agency RMBS market is seeing a continuation of last week's themes.

    "It's pretty sluggish today," says one trader. "There are BWICs, but volume is light." So far, around $200m of current face is circulating for auction today.

    Last week's themes are already in evidence today, says the trader. "Spreads are staying .......

    SCIWire 20 January 2015

  • CDO claims set for distribution

    Cambridge Place Investment Management (CPIM) has disclosed that all claims relating to its allegation that certain financial institutions mis-sold approximately 140 US RMBS bonds to the Camber 3 ABS CDO have now been settled. In respect of these settlements, a distribution amount of US$13.09m is currently held for the account of the transaction. A reconciliation amount of approximately US$420,106 may .......

    Job Swaps 20 January 2015

  • Europe stays quiet

    Ahead of the ECB meeting and Greek general election European secondary markets have, as expected, remained for the most part quiet through yesterday and into today.

    Yesterday's BWICs all traded with reasonable participation, but again today the schedule is limited, with only a three line Granite mezz list and a 100,000 piece of Arkle in the ABS/MBS space currently doing .......

    SCIWire 20 January 2015

  • Loss model updated

    Kroll Bond Rating Agency has updated its residential mortgage default and loss model. The revisions include reduced default expectations for purchase loans, revised timeline and expenses for liquidated loans and penalties for higher debt-to-income (DTI) loans.

    KBRA says that purchase loans generally have a lower default risk than refinancings because they represent an actual arms-length transaction, which yields a more .......

    News Round-up 19 January 2015

  • Risk transfer targets upped

    The FHFA last week released its 2015 Scorecard for Fannie Mae, Freddie Mac and Common Securitization Solutions (CSS). Of note, the GSEs' risk transfer targets have been increased to US$150bn for Fannie and US$120bn for Freddie, using at least two types of structures.

    Last year the GSEs exceeded their goals of US$90bn each, with Fannie transferring US$222.2bn and Freddie US$147.5bn .......

    News Round-up 19 January 2015

  • Unusual list dominates RMBS session

    Friday's US non-agency RMBS session was dominated by a large pre-announced US$891m legacy BWIC which was being presented in a highly unconventional way. The list came with an uncertain notional amount, as five of the 14 line items out for bid carried the option to upsize.

    For those five securities, the seller owned the entire tranche size and would sell .......

    Market Reports 19 January 2015

  • Europe awaits ECB again

    European secondary spreads ground tighter into the end of last week amid positive sentiment and lighter volumes than of late. This week looks set to continue that direction and pattern of activity, especially given the US holiday today and anticipation of a QE announcement from the ECB on Thursday.

    The European BWIC schedule for today currently stands at two mixed .......

    SCIWire 19 January 2015

  • Euro ABS/MBS stays positive

    The European ABS/MBS secondary markets are staying positive in terms of both tone and price levels as the week draws to a close.

    Strong execution across yesterday's BWICs combined with increased buy-side participation off-BWIC has kept market sentiment positive and spreads have continued to tighten. The greatest beneficiaries continue to be autos, Dutch Prime RMBS and UK non-conforming RMBS.

    CMBS .......

    SCIWire 16 January 2015

  • US RMBS sees more supply

    The secondary US non-agency RMBS market looks to have started its year in earnest this week with another day of hefty supply today and a big list due tomorrow.

    "It was very busy yesterday and is today as well with over $1bn in BWICs scheduled," says one trader. "Those lists are from multiple sellers and cover all deal and cashflow .......

    SCIWire 15 January 2015

  • Record issuance for prime RMBS

    US prime jumbo RMBS new issuance hit a post-crisis milestone in 4Q14, with 11 transactions pricing. At the same time, post-crisis RMBS performance remains exceptional, according to Fitch.

    "Another development worth noting is that different names are tapping the RMBS market with increasing frequency, with six issuers coming to market with new deals," says Fitch md Grant Bailey. "More new .......

    News Round-up 15 January 2015

  • Back to business in European secondary

    The European ABS, CLO and MBS secondary markets have finally fully returned to normality on- and off-BWIC.

    "It's back to business as usual," confirms one trader. "Focus is away from any potential QE announcement next week and there is an acceptance that ABSPP is underwhelming and it's very difficult to trade with the ECB on that - so it's just .......

    SCIWire 15 January 2015

  • Home ownership 'faces challenges'

    Home ownership levels continue to drop in many countries, despite stable or positive outlooks for most mortgage markets, Fitch reports. As a result of market dislocations post-crisis, home ownership levels face challenges as large foreclosure pipelines are expected to displace owners in some countries such as the US, Spain and Ireland, while new lending remains well below pre-crisis levels - .......

    News Round-up 14 January 2015

  • Risk-sharing activity spikes

    Fannie Mae and Freddie Mac have more than quadrupled their US risk-sharing presence year-over-year, according to Fitch's latest GSErisk-sharing trends report. The agency notes that performance of the transactions remains "exceptionally clean".

    Fannie and Freddie sold portions of credit risk on US residential mortgages of over US$369.7bn last year, a more than four-fold increase compared to the US$84.7bn seen in .......

    News Round-up 14 January 2015

  • Ocwen faces California allegations

    Ocwen says that it is fully cooperating with the California Department of Business Oversight (DBO) to resolve an administrative action dated 3 October 2014 and has dedicated substantial resources towards satisfying the DBO's requests. The servicer believes it has effective controls in place to ensure compliance with the California Homeowners Bill of Rights and all single point of contact requirements .......

    Job Swaps 14 January 2015

  • Servicer transfer activity to 'pick up'

    Portfolios of the largest US RMBS servicers saw little movement over the last quarter, according to Fitch's latest index report for the sector. The agency notes that this trend could change in 2015, however.

    Fitch observed little movement among the five largest bank and non-bank servicers across their portfolios of agency, non-agency, owned portfolio and third-party servicing in Q4. This .......

    News Round-up 14 January 2015

  • Citi settlement progresses

    RMBS trustees have accepted Citigroup's US$1.125bn settlement for all but seven deal-groups (across four deals) of the 68 trusts involved and have filed for judicial instruction. Given the high degree of similarity between the Citi and JPMorgan settlements, as well as the fact that the same judge is presiding over both cases, Barclays Capital RMBS strategists indicate that the procedure .......

    Job Swaps 14 January 2015

  • MBS vet recruited

    Gregory Finck has joined Morgan Stanley Investment Management as md, portfolio manager and head of the securitised team for global fixed income. As well as undertaking portfolio management of the Morgan Stanley Mortgage Securities Trust, he will focus on securitised asset research and portfolio management for the firm's Global Mortgage Strategy.

    Finck has 22 years of experience managing credit and .......

    Job Swaps 14 January 2015

  • Euro BWICs build but flow patchy

    The European ABS, MBS and CLO BWIC schedule is building up a head of steam this week, but flow trading is still intermittent.

    "We saw a few more BWICs yesterday and there was strong execution across deal types - not just prime RMBS, but also in UK non-conforming, CLOs and CMBS," says one trader. "There are more BWICs scheduled today, .......

    SCIWire 14 January 2015

  • Further Freddie credit risk transferred

    Freddie Mac has closed its first three Agency Credit Insurance Structure (ACIS) transactions of 2015, through which it obtained a number of insurance policies as part of the GSE's continued efforts to transfer credit risk to private capital market investors and global reinsurers. The three transactions transfer much of the remaining credit risk associated with three STACR deals executed in .......

    News Round-up 13 January 2015
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