RMBS

  • 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

  • RMBS loss criteria updated

    Fitch has updated its criteria for estimating losses on US mortgage pools for RMBS transactions. It expects the updates to have no impact on recently issued pools, modestly negative rating pressure for some pre-2005 legacy prime RMBS and generally positive rating momentum for legacy subprime RMBS.

    The core principle of the framework remains the interaction between borrower equity and market .......

    News Round-up 20 November 2014

  • Economy supports Aussie outlook

    Moody's expects Australian RMBS, ABS and covered bonds to continue performing well in 2015. This is in spite of deteriorating collateral quality in new transactions in an environment of rising house prices.

    The agency says that steady performance will be supported by Australia's GDP growth - expected to be in the range of 2.5% to 3.5% in 2015 - similar .......

    News Round-up 20 November 2014

  • Euro ABS/MBS holds steady

    Despite the lack of news about ABSPP, the European ABS/MBS markets have held steady.

    "Spreads are holding firm this morning," says one trader. "We're seeing the Street trading some eligible paper, a few asset managers are starting to show bonds and there are a number of BWICs today, but it's really just a waiting game for the ECB."

    He continues: .......

    SCIWire 20 November 2014

  • RMBS supply stays high

    US non-agency RMBS BWIC supply remained elevated on Wednesday at more than US$1bn. Yesterday's session came hot on the heels of around US$2.3bn in bid-list supply on Tuesday.

    Tuesday's supply was strongly boosted by a large US$1.3bn list in the morning consisting mainly of subprime paper and a US$753m list in the afternoon consisting mainly of ARM paper. FINRA reported .......

    Market Reports 20 November 2014

  • Limited expectations

    Slow growth expected for non-QM, non-agency RMBS

    US non-agency RMBS issuance remains subdued, despite something of a pick-up in the second half of the year. Greater regulatory clarity provides some comfort, but uncertainty and unfavourable economics are expected to continue to hold volumes back.

    The rise of the non-QM market has been an interesting trend this year, but prospects for significant non-QM issuance are limited. Non-QM still .......

    News Analysis 20 November 2014

  • Ruling exposes SFR investors

    A new ruling by the Nevada Supreme Court is forcing participants in the single-family residential market to examine their exposure to delinquent Homeowners Association (HOA) fees to ensure that fees, fines and assessments are paid on time. The ruling - SFR Investments Pool 1, LLC v. U.S. Bank - could be troubling for the single-family residential lending market, potentially affecting .......

    News Round-up 20 November 2014

  • Eclectic list fails to trade again

    A large proportion of the re-issued large eclectic BWIC of European assets from a bad bank (SCIWire passim) has failed to trade.

    The 37 line €276.502m auction was due at 14:00 London time today. However, 29 lines did not trade, including all of the SME CLOs on the list and all bar one of the CDOs.

    The bonds that did .......

    SCIWire 19 November 2014

  • Strong forecast for Asia

    Credit quality across the Asian securitisation and covered bond markets will remain strong overall in 2015, says Moody's. This is due to relatively healthy economic growth levels and falling corporate default rates in the region.

    Chinese auto loan ABS default and delinquency rates are expected to rise from 7.3% in 2014 to 7% in 2015, due to projected slower GDP .......

    News Round-up 19 November 2014

  • Euro ABS/MBS BWIC focused ahead of the ECB

    A healthy supply of BWICs is focusing the European markets' attention today, but the expected ABSPP announcement will inevitably cause some distraction.

    "The tone is generally positive this morning across secondary markets, but it's going to be mainly a BWIC day today," says one trader. "There are quite a few auctions attracting everyone's attention, but this afternoon's big eclectic list .......

    SCIWire 19 November 2014

  • Master trust changes proposed

    A number of changes have been proposed to the Arkle and Permanent master trust programmes. The moves are not expected to have a negative rating impact on the rated notes of the programmes.

    Changes proposed by the issuers include the introduction of a guaranteed investment contract (GIC) account collateralised by sterling debt obligations of the UK government and an option .......

    News Round-up 18 November 2014

  • Hogg joins B2R

    B2R Finance has named Jason Hogg as ceo. He will provide strategic direction to support B2R's expansion, building a platform of products and services to accommodate the demands of residential investors.

    Hogg has held a number of senior positions, including president of American Express Serve Enterprise, coo of Medsite and chief business development officer for MBNA Canada. He is also .......

    Job Swaps 18 November 2014

  • Bank settlements affecting US RMBS

    Recent settlements between big banks and the US Department of Justice (DOJ) have allocated billions of dollars for consumer relief. Although the settlements aim to help troubled homeowners, S&P says they may also directly affect the performance of and ratings on US RMBS.

    Performance under these settlements can affect the related US RMBS ratings, as US RMBS investors - rather .......

    News Round-up 17 November 2014

  • AON lists boost NA

    US non-agency RMBS secondary supply climbed yesterday as BWIC volume approached US$800m. Several lists were presented all-or-none and SCI's PriceABS data reveals a significant number of covers.

    Supply captured by PriceABS was overwhelmingly from 2004-2007 vintage deals. Among these was the CWALT 2004-J11 M tranche, which traded.

    A US$17.87m piece of the CWHL 2004-R2 1AS tranche .......

    Market Reports 14 November 2014

  • Europe stays patchy

    European core and peripheral bonds across deal types continue to trade well where they do trade, but activity remains patchy and looks set to carry on that way.

    "It's very quiet and I think it's more than just people waiting on the ECB," says one trader. "A lot of trading desks have essentially closed for the year and are not .......

    SCIWire 14 November 2014

  • Strong day for US RMBS

    The US non-agency RMBS market is seeing heavy BWIC volume and strong trading today after a disjointed and relatively quiet week following the public holiday on Tuesday.

    There is over $1bn of paper scheduled for trade today across all non-agency RMBS deal types. Sellers are coming from across the board too with lists being seen from liquidations, money managers and .......

    SCIWire 13 November 2014

  • European eclectic list circulating again

    A 37 line €276.502m BWIC is circulating for trade next Wednesday at14:00 London time. The list incorporates a wide range of assets - ABS, CDOs (including Trups and CFO deals), CLOs, CMBS and RMBS - many of which appeared on an eclectic list where most items failed to trade on 17 September.

    There are two ABS deals on the list .......

    SCIWire 13 November 2014

  • Two added to head fund

    Nomura Asset Management has added Richard Hodges and Ben Bugg to its global fixed income team. They will head the Global Dynamic Bond Fund, which Nomura plans to launch in early 2015.

    Hodges joins NAM from Legal & General Investment Management (LGIM), where he held the role of head of high alpha fixed income. During his tenure, Hodges launched and .......

    Job Swaps 13 November 2014

  • More of the same for European ABS/MBS

    The European secondary markets remain fixated with the ABSPP and so expectations are for the same trading patterns to continue until the buying starts.

    Yesterday saw a more active day than of late in European ABS/MBS but the end result was once again spread tightening in ECB-eligible paper. Today looks to be slightly busier still, but little else is expected .......

    SCIWire 13 November 2014

  • Genworth downgrade hits RMBS

    S&P has placed its ratings on 150 of Australian and New Zealand RMBS on credit watch with negative implications. This follows the agency lowering its ratings on Genworth Financial Mortgage Insurance and Genworth Financial.

    Genworth is a provider of lenders' mortgage insurance (LMI) for the loans in the affected RMBS pools. Consequently, the ratings on the RMBS tranches are linked .......

    News Round-up 12 November 2014

  • Europe shaking off its slumber?

    European secondary markets are attempting to shake off their pre-ABSPP slumber this morning with activity and interest being seen across asset classes.

    After a quiet couple of days, traders report increased investor buying interest in both core and peripheral CMBS and RMBS. "Everything feels a bit more pro-active today and we've moved a bit tighter as a result," says one.

    SCIWire 12 November 2014

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