RMBS

  • 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

  • Improving economy boosts UK RMBS

    The continued revival of the UK economy underpinned strong UK RMBS collateral performance in 3Q14, according to S&P. Delinquencies of more than 90 days in non-conforming transactions fell to their lowest level since March 2008, weighted-average delinquencies declined and the outlook for UK collateral performance into 2015 remains strong.

    In the three months to October, house price growth slowed to .......

    News Round-up 27 November 2014

  • REIT promotes risk md

    Robert Rush has taken the role of chief risk officer at Two Harbors Investment Corp. Paul Richardson, who has served in that role over the past several years, will remain in his role as partner and chief risk officer for Pine River Capital Management, the parent of the company's external manager.

    Rush has served as Two Harbors' md for risk .......

    Job Swaps 27 November 2014

  • Agency issues CE RFC

    Moody's is seeking comment on proposed changes to the minimum portfolio credit enhancement levels in EMEA ABS and RMBS. The credit enhancement consistent with the highest rating achievable in a given market is currently the greater of: the model implied credit enhancement; the minimum portfolio credit enhancement; and expected loss multiple. The agency is proposing that the second of these .......

    News Round-up 27 November 2014

  • At the edge

    Peripheral RMBS prospects examined

    Representatives from Bloomberg, Prytania Group and DBRS discussed peripheral European RMBS in a live webinar hosted by SCI last month (view the webinar here). Topics included the development of the peripheral RMBS market versus core RMBS, a detailed look at the Irish and Spanish markets, pricing challenges and the impact that the ECB's ABSPP will have.

    Talking Point 27 November 2014

  • Paper trades ahead of Thanksgiving

    The US secondary markets have not shut down just yet, with SCI's PriceABS data picking up price talk and cover prices for US ABS, CLOs, CMBS and RMBS yesterday. In ABS there was more than US$100m out for the bid on BWICs, with supply divided between autos, credit card, equipment and student loan ABS.

    Each of .......

    Market Reports 26 November 2014

  • RMBS portfolio tool released

    BlackBox Logic has released a new portfolio manager that is available within their web-based RMBS analytics solution, Crystal Logic. Dubbed the Crystal Logic Portfolio Manager, non-agency RMBS investors and researchers can use it for in-depth analysis and more.

    The Crystal Logic Portfolio Manager allows users to: compare bonds across various performance metrics including prepay speeds, defaults, losses, modifications, delinquencies, servicer .......

    News Round-up 26 November 2014

  • Cautious optimism

    Fed's presence to remain after MBS purchase halt

    With the end of QE3, the US Fed has ceded the spotlight in agency MBS purchases, while staying committed to the sector through reinvestments. The timing of its taper is now seen as a significant driver of the outlook for MBS going into 2015.

    The US Fed's decision last month to halt its agency RMBS purchases followed improving US unemployment .......

    News Analysis 26 November 2014

  • US RMBS quietens down for now

    In contrast to last week's bumper levels of activity the US non-agency RMBS market is fairly quiet this week, but higher volumes are expected to return next.

    BWICs only totalled $300m yesterday and look set to be about the same today. The rest of the week is expected to continue that trend thanks to both Thursday's holiday and predictions of .......

    SCIWire 25 November 2014

  • Whole tranche auction due

    A BWIC consisting of the whole of MECEN 3 A due to trade at 14:00 London time today is attracting the attention of plenty of market participants.

    The previously retained €401.3m Italian RMBS tranche now has a current size of €94.755m. The former triple-A and now double-A bond is being talked at round about 99.

    .......

    SCIWire 25 November 2014

  • Actual loss credit offering prepped

    Freddie Mac has added loan-level actual loss data to its single family loan-level historical dataset. The aim is to provide an expanded view of credit risk, paving the way for continued growth and evolution of the GSE's credit risk offerings.

    "Having data openly available in the marketplace allows us to expand the amount of risk transferred to private investors," says .......

    News Round-up 25 November 2014

  • Still no big ABSPP trades

    European ABS/MBS spreads are holding firm as the market continues to wait on significant ECB buying.

    "Spreads are staying stable as the market continues to expect the ECB to start buying in size, but every day seems to bring with it another day's delay," says one trader. "They bought some Arena in the primary market yesterday, but we haven't seen .......

    SCIWire 25 November 2014

  • ABSPP 'hinges' on mezz purchases

    The ability of the ECB's ABSPP to provide capital relief to eurozone banks could hinge on its plans to buy mezzanine tranches, says Fitch. The capital impact of the ABSPP purchases at different parts of the capital structure will vary with jurisdiction, underlying assets and the originating banks' approach to calculating credit risk.

    Fitch looked at three hypothetical structured finance .......

    News Round-up 24 November 2014

  • RPL approach finalised

    Fitch has finalised its approach for rating RMBS backed by re-performing (RPL) and seasoned mortgage loan collateral. The criteria have not materially changed from those proposed by the agency in August (SCI 12 August).

    Under the criteria, the agency analyses the key risk drivers of the RPL asset class using its mortgage loan loss model, as well as existing rep .......

    News Round-up 24 November 2014

  • Euro ABS/MBS wants more

    The ECB began ABSPP buying on Friday, but the European ABS/MBS market is still waiting for more action.

    "The ECB bought some Dutch RMBS on Friday, but thus far there's been no follow up trading," says one trader. "No volume has yet been reported on the Dutch RMBS purchases, but our sense is they weren't huge, so the market is .......

    SCIWire 24 November 2014

  • Data platform re-launched

    Ocwen Financial Corp has re-launched a free database of loan-level data for mortgages serviced by Ocwen in private label RMBS. Powered by the REALPortal platform, the database provides mortgage investors with access to accurate data, as well as analytical tools and details on processes, procedures and loan performance.

    The re-launch addresses a variety of requests from investors to enhance functionality, .......

    News Round-up 21 November 2014

  • GSE update on life-of-loan exclusions

    Fannie Mae and Freddie Mac have released an official update to the representations and warranties framework outlined last month (SCI 21 October), providing details and clarity on life-of-loan exclusions. The framework details what remedial actions the GSEs will take and explicitly favours the re-pricing of risk over repurchase.

    Life-of-loan exclusions have been characterised under six categories: misrepresentations, misstatements and omissions; .......

    News 21 November 2014

  • Can't test our way to trust

    Mike Manning, co-founder and ceo of DealVector, argues that...

    We may be working on the wrong issues. And when you're in a hole, stop digging.

    Those were two thoughts I took from SFIG's very well-designed conference on reforming private label RMBS last week. Three moments stood out in particular:
    • Treasury's Michael Stegman announcing that the government has decided it is not appropriate to create an "unambiguous fiduciary standard" for .......

    Talking Point 21 November 2014

  • Spanish seniors catch the eye

    As European ABS/MBS traders continue to wait for ABSPP buying to start, the focus remains on BWICs today - in particular a list of Spanish senior RMBS names is attracting market interest.

    The 19 line list is due at 13:00 London time and totals €733.7m of original face and €183+m of current. 12 of the line items are ECB eligible.

    SCIWire 21 November 2014

  • Busy week continues in US RMBS

    Today sees another day of heavy volumes in the US non-agency RMBS secondary market, but bonds continue to trade well.

    "This week has been one of the busiest weeks of the year with very high BWIC volumes," says one trader. Yesterday saw US$1.4bn in auction paper, while today sees even more with in excess of $1.8bn in for the bid.

    SCIWire 20 November 2014

  • ABSPP decision published

    The implementation of the ABSPP has entered into force, following yesterday's publication of the ECB's decision regarding the programme. The decision outlines the scope and eligibility criteria of the central bank's outright purchases.

    The decision confirms that, under the ABSPP, the ECB may instruct its agents to purchase eligible ABS on its behalf in the primary and secondary markets from .......

    News Round-up 20 November 2014
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