RMBS

  • Euro MBS activity winding down?

    The European MBS markets have been quiet for the last week or two. Sterling prices in particular are refusing to tighten as investors appear reluctant to pursue paper.

    "Most people have had a good year so I do not think they want to do much more before year-end," says one trader. "There was the big portfolio which traded last week .......

    Market Reports 7 November 2014

  • DSB ratification 'credit positive'

    The Amsterdam Court of Appeal has ratified the framework agreement that sets out the compensation amount formula on due care claims of clients of the now bankrupt DSB Bank. Moody's says the move is credit positive for the securitisations originated by DSB as it removes some level of uncertainty around the amount of potential losses linked to due care compensation, .......

    News Round-up 7 November 2014

  • Consecutive declines for credit

    Aggregate hedge fund performance was nearly flat in October at negative 0.06%, marking the industry's third down month in the last four, according to eVestment. Year-to-date performance through October stands at positive 2.3%, the industry's lowest return in the first ten months of a year since 2011.

    Last month saw a wide distribution of returns across the industry, illustrating very .......

    News Round-up 7 November 2014

  • No news is good news for euro ABS/MBS

    The European ABS/MBS has taken the lack of any further ABSPP details from the ECB yesterday in its stride.

    "Draghi mentioned ABS enough times to alleviate any concerns that the ABSPP would not happen at all," says one trader. "Even the optimists who expected a buying timeframe to be announced yesterday have taken their disappointment well."

    Consequently spreads have remained .......

    SCIWire 7 November 2014

  • Big lists keep coming in non-agency RMBS

    Today saw the latest in a succession of large BWICs in the US non-agency RMBS market and more are expected to follow.

    A $1.2bn list from a GSE traded at 10:00 New York time this morning with all lines executed at slightly higher than talk. "We've seen a few of these big lists lately and they've gone well as they .......

    SCIWire 6 November 2014

  • Evolution theory

    SFR securitisation to remain a viable asset class?

    The single-family rental securitisation market has seen six different sponsors issue 11 transactions for a total of US$6.14bn in its first year. Such volume suggests that the sector is becoming a viable asset class, yet doubts remain about its longevity since it is contingent on the ability to source cheap properties.

    The majority of SFR deals have so far been .......

    News Analysis 6 November 2014

  • European ABS/MBS stay firm

    The European ABS/MBS markets are staying firm ahead of the ECB press conference this afternoon at 14:30 CET.

    Spreads have tightened a little across euro-denominated ABS/MBS deal types over the last few days and into this morning. At the same time, a buying bias in UK CMBS and RMBS emerged yesterday and today.

    The moves are primarily driven by the .......

    SCIWire 6 November 2014

  • Warehouse financing

    RMBS alternative lays foundation for more

    Jerrold Holdings has closed a restructuring of the £557.7m Charles Street Conduit Asset Backed Securitisation 1, believed to be the first publicly-rated warehouse securitisation since the financial crisis. Issuance of such transactions is expected to increase in the UK, particularly those sponsored by non-rated or low-rated lenders in relation to consumer and light commercial loans.

    Warehouse securitisations provide a source .......

    News Analysis 5 November 2014

  • Harborview MBS settlement approved

    A federal judge has given final approval to a US$275m cash settlement in the MBS class action litigation against RBS and others led by New Jersey Carpenters Health Fund, Boilermaker Blacksmith Pension Trust, Iowa Public Employees' Retirement System and Midwest Operating Engineers Pension Trust Fund. Plaintiffs were represented by Cohen Milstein Sellers & Toll.

    In issuing her order approving the .......

    Job Swaps 5 November 2014

  • Euro ABS/MBS waits on

    Amid light secondary flows this week into today European ABS/MBS spreads have stayed steady as the market awaits the start of the ABSPP. Meanwhile, a BWIC due to trade this afternoon should give the latest indication of the basis between eligible and non-eligible bonds.

    "The market is expecting the ABSPP to start in the next one to two weeks," says .......

    SCIWire 5 November 2014

  • Big BWIC boosts US RMBS

    A US$941m US non-agency RMBS bid-list traded yesterday, bringing total BWIC volume to around US$1.5bn. Execution appears to have been fairly strong, with SCI's PriceABS data recording a number of trades.

    As with last week's bumper list, subprime dominated yesterday both in terms of line items and current face. Price talk for names on the large .......

    Market Reports 5 November 2014

  • Eurozone deflation would have mixed impact

    A deflationary eurozone environment would have a moderate overall impact on EMEA structured finance, with weaker borrowers under earnings pressure and those facing refinancing risk most exposed, according to Fitch. CMBS could face the greatest downgrade pressure under deflation, with falling nominal rents combining with a spike in maturities in 2015/2016 under this scenario. However, accommodative monetary policy should mitigate .......

    News Round-up 4 November 2014

  • CSS ceo appointed

    David Applegate has been named the first ceo for Common Securitization Solutions (CSS), established to build and operate the Common Securitization Platform (CSP) (SCI passim). Fannie Mae and Freddie Mac have also each appointed two executives to the CSS Board of Managers and signed governance and operating agreements for the entity.

    Prior to joining CSS, Applegate was president, ceo and .......

    Job Swaps 4 November 2014

  • Spanish focus

    The European BWIC schedule starts the week with two auctions scheduled so far for today that are dominated by Spanish names.

    At 15:00 London time is a 17 line €212.8m Spanish CLO and RMBS list. It consists of: BANKP I A2, BCJAF 6 A2, BCJAM 1 A, BFTH 10 A2, BFTH 11 A2, BFTH 3 A, BFTH 8 A, BFTH .......

    SCIWire 3 November 2014

  • Strong appetite for Italian RMBS

    A €150m original face (€67m current) slice of BERCR 8 A covered at 98.21 on BWIC at 14:30 London time today.

    Traders note that the Italian RMBS deal is ECB-eligible, which would make it attractive to buyers, but on the downside the bond's originators failed the AQR. Partials were accepted on the BWIC, so it's not yet clear how many .......

    SCIWire 31 October 2014

  • Risk retention to have mixed impact

    Risk retention regulations that were approved last week by US federal regulators (SCI 22 October) will be credit positive for non-agency RMBS, according to Moody's. The impact on CLOs, on the other hand, is expected to be credit neutral.

    The rules generally require sponsors to retain 5% of the risk in most types of securitisations for the life of the .......

    News Round-up 31 October 2014

  • Peripherals firmer

    Positive ABSPP news has driven buying of peripheral ABS/MBS, but core paper is mixed.

    Following the ECB announcement of four asset managers and a November start for ABSPP, eligible peripheral ABS/MBS spreads firmed up yesterday and into this morning. Equally, interest and activity around select non-eligible peripheral names has seen them tighten as well.

    In core bonds the picture is more .......

    SCIWire 31 October 2014

  • US RMBS takes a breather

    The US non-agency RMBS market appears to be taking a breather today, but it's unlikely to last.

    "Today's pretty muted after the big BWIC on Tuesday and an active day yesterday, which was mainly about month-end," says one trader. "We've seen some fast money selling this morning, but with only $500m in BWICs due today it's quiet for a Thursday."

    SCIWire 30 October 2014

  • BWIC seller revealed

    BayernLB has confirmed that it was the seller behind Tuesday's large liquidation, in which it divested its remaining portfolio of legacy ABS instruments. The sale ends the bank's guarantee agreement with the Free State of Bavaria that hedged the portfolio against potential losses.

    BayernLB says it has fulfilled the resulting repayment requirement in full and earlier than planned by paying .......

    News Round-up 30 October 2014

  • Fed asset purchases to end

    The US Fed is to conclude its asset purchase programme by end-October, but will maintain the existing policy of reinvesting principal payments from its agency debt and agency MBS holdings in agency MBS and of rolling over maturing Treasury securities at auction. The agency says that keeping its holdings of longer-term securities at sizable levels should help maintain accommodative financial .......

    News Round-up 30 October 2014

  • European ABS/MBS still in limbo

    The European ABS/MBS markets are continuing to see positive effects following Tuesday's large BWIC, but the market also remains in a pre-ABSPP limbo.

    This morning BayernLB announced that it was behind the big BWIC. However, it confirmed that no details, such as covers, would be released.

    "It's a little difficult to dig out details but it appears the bulk of .......

    SCIWire 30 October 2014
×