RMBS

  • 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

  • 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
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