RMBS

  • 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

  • New bond fund for Bowie

    TwentyFour Asset Management is set to launch an open-ended UCITS bond fund in early December, run by former Ignis head of credit Chris Bowie, who joined the firm last month. Bowie's move appears to be a signal of intent by the firm to begin branching out into the corporate bond market, based on his successful track record managing the Ignis .......

    Job Swaps 17 October 2014

  • US RMBS put to the test

    After an active and volatile first few days this week, the US non-agency RMBS is being tested today.

    "It's been a pretty busy week this week with, of course, some volatility, but today the market is taking something of a breather and trying to figure out where things are going from here," says one trader. "There is a decent amount .......

    SCIWire 16 October 2014

  • Swap replacement 'credit positive'

    Dutch RMBS issuers - including Arena NHG 2014-I (SCI 20 August) - have begun replacing traditional swaps with other forms of structural protections, such as higher credit enhancement levels. Moody's notes in its latest Credit Insight publication that this development is credit positive since the issued notes can achieve equivalent protection against credit risk while being less reliant on the .......

    News Round-up 16 October 2014

  • Greek eligibility tested

    Morgan Stanley European ABS analysts have applied the ECB's ABSPP criteria to the eight placed Greek RMBS to test eligibility. They found that none of the transactions meet all conditions.

    The ECB will allow Greek and Cypriot ABS to qualify for its ABSPP, even if they are rated sub-investment grade, provided they meet a number of quality conditions. These include .......

    News Round-up 16 October 2014

  • Management shuffle at Invitation Homes

    Invitation Homes has named Bryce Blair as executive chairman of the board and John Bartling as president and ceo, effective on 3 November. Nick Gould, a co-founder of and major investor in the company - who has served as ceo since 2012 - becomes vice-chair of the board.

    Blair is the former chairman of the board and ceo of AvalonBay .......

    Job Swaps 16 October 2014

  • Large RMBS tranches DNT

    US non-agency RMBS liquidity took a dip yesterday as a busy day of bid-lists yielded a high number of DNTs. Over US$1bn worth of paper was out for the bid on the day's BWICs, but SCI's PriceABS data shows many of the larger tranches did not trade.

    Among the DNTs was a US$17.521m piece of the .......

    Market Reports 16 October 2014

  • Knock-on impact felt

    European ABS, CLO and MBS secondary markets are continuing to feel some knock-on impact from the current broad market volatility.

    Trading was patchy yesterday with most sectors trading wider as buyers continued to be harder to find. Hardest hit were non-ABSPP eligible bonds and UK non-conforming paper.

    Dutch RMBS also continued its recent decline on the back of high volumes of .......

    SCIWire 16 October 2014

  • UKAR assets back new RMBS

    JPMorgan is in the market with Slate No.1, a UK RMBS backed by a £2.38bn multi-originator purchased portfolio of prime residential mortgages. The assets were purchased from UK Asset Resolution by the deal's sponsor Consilium Airton (CAL), a wholly owned subsidiary incorporated for this transaction by Commercial First Group.

    Fitch has assigned expected ratings of triple-A to the £1.93bn class .......

    News Round-up 15 October 2014

  • APAC ratings stable in 3Q14

    Fitch affirmed the ratings on 160 Asia-Pacific structured finance tranches in 3Q14, as well as upgrading a further five tranches and downgrading one. Most long-term ratings in the Asia-Pacific region have stable outlooks.

    Strong economic performance in both Australia and New Zealand supported rating actions in those jurisdictions. All ratings reviewed during the quarter - 87 tranches from 37 transactions .......

    News Round-up 15 October 2014

  • Choppy trading in Euro ABS/MBS

    The European ABS/MBS markets are currently seeing mixed trading and a slowing of momentum.

    "Execution has been choppy over the past few days," says one trader. "On the lists yesterday some names covered well below talk while others traded aggressively."

    That choppiness is likely to continue as the market loses some momentum. "We're seeing continued volatility in broader markets - .......

    SCIWire 15 October 2014

  • European ABS/MBS edges wider

    This morning has seen European ABS and MBS spreads edge wider on the back of both fundamentals and technicals.

    Macroeconomic and global geopolitical concerns are entering into the hitherto relatively unaffected European securitised secondary markets giving them more of a selling bias. Auction supply has been added to for today with two further BWICs introduced mid-to-late morning, which potentially could .......

    SCIWire 14 October 2014

  • Call for clarity on single GSE MBS

    SIFMA has sent a comment letter to the FHFA, following the agency's request for input on its proposed structure for a single security that would be issued and guaranteed by Fannie Mae or Freddie Mac (SCI 13 August). The association's response explores both the risks and rewards of the proposed structure, and discusses a number of issues where more clarity .......

    News Round-up 14 October 2014

  • Lehman reserves revisited

    A group of trustees comprising US Bank, Wilmington, Law Debenture and Deutsche Bank are said to be trying to persuade the bankruptcy court to increase the placeholder reserves allocated to Lehman RMBS holders from US$5bn to US$12.1bn and allow sampling to be used to determine the eventual size of the liability. Barclays Capital RMBS analysts report that an initial analysis .......

    News Round-up 14 October 2014

  • Settlement threshold eyed

    A letter from JPMorgan made public last week revealed that the number of accepted trusts/loan groups as of 1 October fails to exceed the 'confidential percentage' agreed between the bank and institutional investors under its rep and warranty settlement. Based on Section 2.03(e) of the modified settlement agreement, this gives the bank the right to terminate the settlement. JPMorgan has .......

    News Round-up 14 October 2014

  • European BWICs get back underway

    After a quiet start to the week on-BWIC thanks to the US holiday, the European ABS/MBS auction calendar starts strongly today with four lists already scheduled.

    Those lists cover in excess of 85m of original face across four auctions totalling 32 line items. There is a wide range of bonds on offer throughout the day and that is typified by .......

    SCIWire 14 October 2014

  • HUD auction 'less competitive'

    The US Department of Housing and Urban Development last week released the results for its latest single family loan sale. Ten different pools - totalling US$2.1bn aggregate UPB and US$2bn aggregate BPO - were offered in the auction and each had geographically diverse non-performing FHA loans.

    The weighted average bid for the ten pools was 70.4% of BPO (65.5% of .......

    News Round-up 13 October 2014

  • LCR changes still penalise ABS

    As well as the release of the delegated acts under the Solvency 2 directive, the European Commission (EC) has updated its required liquidity coverage ratio (LCR) and its definition of high quality liquid assets (HQLA). All told, the treatment of securitisation has improved considerably, but remains less favourable than covered bonds.

    The LCR is intended to ensure banks hold sufficiently liquid .......

    News 13 October 2014

  • US RMBS moves to a holding pattern

    Non-agency RMBS has moved into a holding pattern after a busy week as the long US weekend approaches and geopolitical concerns continue to impact other markets.

    This week sprang into life with the introduction of a $900m legacy BWIC on Wednesday, which was followed by strong auction volume yesterday. By late this morning around $150m was circulating for bid today .......

    SCIWire 10 October 2014

  • 'Intuitive' analytics tool offered

    TransUnion has partnered with Digilant Analytics to provide INTEXcalc subscribers with their Mortgage Risk Metrics (MRM) non-agency solution, which combines the power of borrower-level credit data, loan-level mortgage data and predictive analytics. The offering integrates TransUnion's anonymised consumer credit data with loan-level mortgage data and Digilant's predictive analytics to provide a familiar and intuitive analytics framework for non-agency RMBS traders, .......

    News Round-up 10 October 2014

  • Lending limit proposal welcomed

    Limits on high LTV and loan-to-income (LTI) lending proposed by the Central Bank of Ireland would in the long term reduce credit risk in the Irish residential mortgage market through more prudent lending, Fitch suggests. The central bank's consultation paper proposes limiting how much banks can lend to individuals with LTVs above 80% and LTIs above 3.5 to 15% and .......

    News Round-up 10 October 2014
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