RMBS

  • MHA incentives enhanced

    The US Department of Housing and Urban Development (HUD) and the US Treasury have enhanced the Making Home Affordable (MHA) programme to better assist struggling homeowners and communities still recovering from the effects of the financial crisis. The enhancements are designed to motivate homeowners in the MHA to continue making their mortgage payments on time, strengthen the safety net for .......

    News Round-up 9 December 2014

  • European ABS/MBS bolstered

    European ABS/MBS markets have been bolstered by signs of ECB buying.

    Despite yesterday's disappointing ABSPP number, euro ABS/MBS spreads have stayed firm into this morning on the back of talk of ECB buying picking up this week. "We hear some Italian RMBS has been bought," says one trader. "We're not going much tighter as a result, but it seems a .......

    SCIWire 9 December 2014

  • Reg AB 2 in review

    Shelf-eligibility and data disclosure discussed

    Representatives from Lewtan and Dentons recently discussed the considerations for implementing Regulation AB 2 in a live webinar hosted by SCI (view the webinar here). Topics included privacy concerns, data requirements and practical implications going forward.

    Q: What is the background to Regulation AB 2?
    A:     Ned Myers, svp, Lewtan: Reg AB 2 rules were initially proposed back in 2010 .......

    Talking Point 9 December 2014

  • Report calls for higher mezz charges

    A new report from the BIS states that a simple and transparent asset pool does not translate into mezzanine tranches that are simple to assess. The report sets out the view of policymakers that mezzanine securitisation tranches therefore require substantial safeguards, which should be proportionately much larger than those for the underlying assets.

    The Basel Committee is expected to disclose .......

    News 8 December 2014

  • Euro ABS/MBS BWICs quiet pre ABSPP number

    There's little to distract the European ABS/MBS market as it awaits this afternoon's ABSPP volume update with only two BWICs currently circulating.

    There is a £6m line of GRAN 2004-1 3A due at 12:00 London and at 15:00 a three line mixed list consisting of: €32.3m of AYTPI I A, €5m of MESDG DELT A and £11m of RMAC 2003-NS4X .......

    SCIWire 8 December 2014

  • RFC issued on RMBS loan-mod impact

    S&P is requesting comments on its proposed methodology for assessing the impact of loan modifications and extraordinary expenses on US RMBS ratings. The proposed criteria seeks to incorporate into S&P's rating the credit deterioration of a pool that is manifested through the contractual reduction of an RMBS's interest payment rather than through the reduction in available credit support.

    News Round-up 5 December 2014

  • European ABS/MBS hold steady

    Spreads are still holding steady in European ABS/MBS this morning, albeit on continued low volume levels.

    "It's another quiet day today and we've only got a few BWICs due," says one trader. Of those he highlights a four line €58m Spanish seniors list due at 14:30, which consists of: TDA 16 A1, TDA 19 A, TDAC 7 A3 and TDAI .......

    SCIWire 5 December 2014

  • SCI conference line-up unveiled

    Final panellist line-ups have been announced for SCI's 8th Annual Securitisation Pricing, Investment and Risk Seminar, which is taking place on 12 December in London. The event is being held at Reed Smith's offices at Broadgate Tower, 20 Primrose Street, EC2A 2RS.

    This conference will focus on relative value in light of ongoing regulatory challenges and the ECB's ABSPP. The .......

    News Round-up 5 December 2014

  • US RMBS busy again

    The US non-agency RMBS secondary market is busy again today, having had a relatively quiet Wednesday, although BWIC volume is a little off as year-end approaches.

    "We're busy today, though BWICs are on the low side of normal for a Thursday at $800m," says one trader. "It's predominantly money managers selling with the types of lists we've been used to .......

    SCIWire 4 December 2014

  • Euro ABS/MBS slow further

    Activity in European ABS/MBS secondary markets has continued to slow throughout this week.

    "We did see some decent customer flows at the start of the week, but it's got quieter since - yesterday was very, very quiet," says one trader. "Today isn't much better, but there are some BWICs here and there."

    ABSPP-eligible ABS/MBS are for now at least holding .......

    SCIWire 4 December 2014

  • Stable investment

    Low-risk option attracting investors

    The overlap between stable value (SV) funds and securitisation is increasing, given that high grade ABS offers the benefits of low risk and steady, predictable returns. However, SV strategies remain somewhat constrained by the conservative nature of their financial objectives.

    SV funds are capital preservation investment options available in 401(k) and other types of savings plans. Douglas Trevallion, md at .......

    News Analysis 4 December 2014

  • US RMBS back to BWICs

    The US non-agency RMBS secondary market returned to life on Tuesday after a stretch of inactivity which had begun before Thanksgiving. Total BWIC volume yesterday was more than US$630m as supply increased sharply, with SCI's PriceABS data capturing a variety of names out for the bid.

    Supply was skewed towards paper from the 2004-2007 vintages, with .......

    Market Reports 3 December 2014

  • US RMBS swings back into life

    The US non-agency RMBS secondary market is swinging back into to life today as traders search for alpha in an uncertain rate environment.

    The market saw only one BWIC yesterday, but eight are already scheduled for today with a total notional of around $600m, making it an average day in volume terms. "Bonds are trading well and prices are flat .......

    SCIWire 2 December 2014

  • RFC issued on Portuguese RMBS

    S&P is requesting comments on proposed changes to its methodology and assumptions for rating Portuguese RMBS, which would align the criteria for Portuguese RMBS closely with the agency's global RMBS criteria. The proposals discuss two fundamental principles of structured finance ratings and criteria: the credit quality of the securitised assets; and the payment structure and cashflow mechanics.

    Compared with S&P's .......

    News Round-up 2 December 2014

  • Mortgage payment hikes loom

    Half of all performing US RMBS mortgage borrowers will see payment increases over the next five years, according to Fitch. The agency says that payment increases have historically led to higher default rates among US mortgage borrowers, with a positive relationship between the amount of payment increase and the default rate.

    Loans particularly vulnerable include those with adjustable interest rates .......

    News Round-up 2 December 2014

  • Core RMBS supported

    The ECB has disclosed that it purchased €368m of paper via its ABSPP last week, at least some of which is believed to have been Arena NHG 2014-II bonds bought in the primary market. In the secondary market, eligible Spanish RMBS tightened in excess of 10bp on the move.

    While the amount purchased last week is viewed by some as .......

    News Round-up 2 December 2014

  • Mixed reactions in European ABS/MBS

    European ABS/MBS markets appear sanguine about yesterday's announcement that the first week's ABSPP volume was only €368m. Meanwhile, the news that Deutsche Annington is to buy Gagfah for €3.9bn has given a boost to the CMBS market.

    "The market is still a bit quiet this morning with no real reaction to yesterday's ECB number," says one trader. "People were disappointed .......

    SCIWire 2 December 2014

  • Portuguese RMBS drops back

    A €13m single line BWIC of LUSI 5 A traded at 16:00 London time today with a cover of 90.46, some way back from previous levels.

    The bond has been picked up by PriceABS out for bid nine times previously this year hitting its highest cover level last time out on 5 September at 94.21, having traded three times before .......

    SCIWire 1 December 2014

  • Italian mortgage market 'resilient'

    The Italian mortgage market has been resilient, despite the country's prolonged recession, according to Fitch. This has been aided by low interest rates and conservative lending policies.

    Fitch says that over the last 12 months late-stage arrears and the annual default rate have been little changed at 1.6% and 1.3% respectively. In contrast, income flows from loan recovery have suffered .......

    News Round-up 1 December 2014

  • European ABS/MBS ramps back up

    The European ABS/MBS markets are ramping back up after a relatively quiet end to last week.

    The secondary market saw patchy trading continue through Friday with spreads ending the week broadly softer. Meanwhile, the BWIC schedule slowed with the US being out, but is already building up again.

    Currently the first auction scheduled for today is an 11.9m original face .......

    SCIWire 1 December 2014

  • Japanese market outlook 'positive'

    Strong credit quality and good collateral performance will remain features of Japanese securitisation markets in 2015, despite the contraction in the country's GDP, says Moody's. Performance will be underpinned by ongoing strict underwriting standards and supportive labour market conditions.

    Default rates for consumer ABS are expected to be stable at low levels, owing to already low unemployment and government policies .......

    News Round-up 27 November 2014
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