RMBS

  • 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

  • Big list trades well

    Yesterday's US$7bn legacy auction saw bonds generically trading at a couple of points higher than talk. Citi, Credit Suisse and Goldman Sachs are understood to each have bought about a third of the paper out for bid.

    The liquidation, the largest observed year-to-date, comprised 507 US dollar-denominated bonds (totalling US$5bn current face) and 152 European securities (US$2bn) from a European .......

    News Round-up 29 October 2014

  • SFR performance 'within expectations'

    Moody's notes in its latest ResiLandscape publication that the performance of the five single-family rental (SFR) transactions that it rated from November 2013 to June 2014 remains within original expectations. The agency reports that the percentage of vacant properties since issuance has been low, at less than 10% in each transaction. The number of delinquent tenants in the underlying properties .......

    News Round-up 29 October 2014

  • New CRT breed debuts

    JPMorgan is in the market with its inaugural risk-transfer RMBS, dubbed JP Morgan Madison Avenue Securities Trust Series 2014-1. The US$989.13m deal will simulate the behaviour of a US$989m pool of JPMorgan-originated mortgage loans, with the objective of private investors sharing credit risk with Fannie Mae.

    "The notes and certificates will be subject to the performance of the mortgage loans .......

    News Round-up 29 October 2014

  • Euro rejuvenation

    Yesterday's big list has rejuvenated activity and interest across European securitisation asset classes.

    "We're still waiting on official colour on the big BWIC, but while the market was quiet leading up to the list we've seen trading on the back of it since," says one trader. "Overall, the list has given a much-needed boost to trading and customer interest."

    The .......

    SCIWire 29 October 2014

  • CMBS A4s dominate

    CMBS was the only sector to see much secondary supply yesterday stateside, with many participants focused on the US$4.6bn legacy non-agency RMBS bid-list scheduled to trade today (28 October). BWIC volume reached around US$183m, up from the prior session, and was dominated by A4 securities.

    Among the legacy A4 bonds out for the bid during the session was COMM 2006-C8 .......

    Market Reports 28 October 2014

  • QRM provides 'meaningful incentives'

    The final QRM standards provide meaningful incentives for banks to maintain quality underwriting and avoid certain riskier mortgage products, Fitch says. The agency believes that the rule should curb many practices that led to severe bank pressures during and after the financial crisis.

    Nevertheless, the final QRM avoids minimum down payment standards originally proposed by regulators in 2011, thus providing .......

    News Round-up 27 October 2014

  • Large list to dominate

    Tuesday's large liquidation BWIC is set to dominate traders' attention across asset classes either side of the Atlantic in the short-term. Longer term the picture is less clear.

    The previously mentioned list, possibly from a Scandinavian bad bank, amounts to 647 lines and just under 7.5bn of current face when US assets and CDOs/CLOs are included. "This type of legacy .......

    SCIWire 24 October 2014

  • CLOs face risk retention questions

    The recently-finalised risk retention rules (SCI 22 October) will remove a level of uncertainty that has hung over the US structured finance market since 2011, but raise new questions as to the market's direction going forward, Fitch suggests. The CLO and leveraged loan markets are expected to be profoundly affected by the move, while the new rules could help reduce .......

    News Round-up 24 October 2014

  • Japanese RMBS approach updated

    Moody's is requesting feedback on a proposed update to its approach to rating Japanese RMBS. The proposed methodology follows an analysis of Japanese mortgage loan defaults over the past 30 years and aims to align the agency's approach with its global RMBS rating methodology, while taking into account the unique characteristics of the Japanese market.

    Moody's expects the proposed changes .......

    News Round-up 24 October 2014

  • Euro ABS/MBS stay steady

    European ABS/MBS spreads held steady yesterday albeit in relatively quiet markets. More of the same is expected today, but all eyes are on a large liquidation BWIC on Tuesday.

    Currently buyers just edge it over sellers in both core and peripheral ABS/MBS bonds across secondary, with UK RMBS and Italian names seeing the most interest. However, there has been less .......

    SCIWire 24 October 2014

  • Backdating impact eyed

    The New York Department of Financial Services (NY DFS) has alleged that Ocwen backdated thousands of letters to borrowers relating to modifications and foreclosures. A large-scale disruption in servicing at the firm as a result of the move is unlikely, but the likelihood of a scenario that could have a significant effect on non-agency RMBS has increased, according to Barclays .......

    News 23 October 2014

  • Non-agency RMBS settles down

    The US non-agency RMBS market has increasingly settled down over the last few days following last week's volatility and there is still plenty of liquidity to be had for now.

    "Broader markets have stabilised a bit this week," says one trader. "We've settled back into a normal trading pattern in non-agency and pricing levels have started to move back up."

    SCIWire 22 October 2014

  • US home prices stall

    US home price growth appears to have stalled, according to Fitch's latest quarterly index report. National home prices fell by less than one percent between 1Q14 and 2Q14. Whilst the decline is not substantial, the halt in prices represents a distinct contrast from results of the last two years. Between 4Q11 and 1Q14, home prices increased roughly 20% on a nationwide .......

    News Round-up 22 October 2014

  • Non-agency activity rises

    US non-agency RMBS bid-list volume climbed yesterday to around US$430m, largely driven by a spike in subprime supply. SCI's PriceABS data reveals strong execution for a range of pre-crisis tranches.

    The earliest available paper came from 2003-vintage deals, such as the AABST 2003-3 M2 tranche which was covered in the low/mid-90s. The tranche has appeared in .......

    Market Reports 22 October 2014

  • Dutch seniors trade as expected

    Today's 15:00 London time Dutch prime senior RMBS list has traded broadly in line with talk. However, that talk reflected weakness seen in the sector currently dominated by investors buying in to the healthy volumes of new issue supply and selling legacy positions.

    The three line list covered as follows: SAEC 12 A2 at 102.39, STORM 2012-2 A2 at 102.883 .......

    SCIWire 21 October 2014

  • IndyMac distribution underway

    Pursuant to an order of the US District Court for the Southern District of New York, settlement funds resolving all claims for US$6m in the 'In re IndyMac Mortgage-Backed Securities Litigation' action against Blair Abernathy, John Olinski, Samir Grover, Simon Heyrick and Victor Woodworth are finally to be distributed. The court granted final approval to the individual defendant settlement on .......

    Job Swaps 21 October 2014

  • LBHI cross-motion filed

    Lehman Brothers Holdings Inc has filed objections to both counts of a trustees' motion that had asked the bankruptcy court to increase the reserve to US$12.1bn and allow for estimation of the claims (SCI 14 October). LBHI argues that the trustees had expressly agreed to set a US$5bn reserve in February 2012 and that the reserve order should preclude attempts .......

    News Round-up 21 October 2014

  • Put-back clarity offered

    In prepared remarks delivered at the annual MBA convention, FHFA director Mel Watt last week announced several key changes aimed at improving US mortgage credit conditions. Borrowers refinanced through the HARP process are expected to benefit the most from the proposals.

    Among the major initiatives to be rolled out under the changes is improved clarification of the rep and warranty .......

    News 21 October 2014

  • Quiet start for European ABS/MBS

    It's been a quiet start to the week this morning for European ABS/MBS with many players focusing on the first day of CBPP3 in an effort to get some insight in to how ABSPP might work.

    However, there has been some patchy off-BWIC trading in both CMBS and RMBS. Activity has been seen in both core and peripheral bonds.

    So .......

    SCIWire 20 October 2014

  • Cautious optimism in European ABS/MBS

    Some cautions optimism has returned to the European ABS/MBS market since late yesterday and into this morning.

    Yesterday saw spreads widening across the board throughout most of the day before they pulled all the way back following stronger than expected US economic news and ECB comments suggesting ABSPP buying by December. However, liquidity was poor as investors showed caution as .......

    SCIWire 17 October 2014
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