RMBS

  • 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

  • Traditional prime borrowers targeted

    Slightly weaker performance is emerging for US prime RMBS transactions completed this year than for those issued in 2010-2013, Fitch notes in its latest monthly prime jumbo trends report. The agency suggests that the modest increase in risk reflects a move towards a more traditional prime borrower credit profile after several years of pristine credit attributes.

    Weighted average original combined .......

    News Round-up 10 October 2014

  • GSE risk transfer gathering pace

    The amount of credit risk on US residential mortgages that Fannie Mae and Freddie Mac sell via their risk transfer securitisations is set to see a sizeable increase year-over-year, Fitch says in its latest GSE risk-sharing trends report. Transactions completed through the first three quarters of 2014 reference mortgage pools of close to US$300bn, after totalling just over US$80bn for .......

    News Round-up 10 October 2014

  • Dutch RMBS in for the bid

    After a Dutch RMBS flash BWIC yesterday, the market sees two prime lists today.

    Yesterday afternoon's three line flash auction came on the back of healthy off-BWIC trading in Dutch RMBS. The list covered as follows: €3m of DUTCH 2012-17 A2 at 102.91, €400,000 of SAEC 10 A2 at 101.50 and €21.4m of SAEC 12 A2 at 102.64.

    Today sees two .......

    SCIWire 9 October 2014

  • European ABS tiering continues

    Tiering between eligible and non-eligible ABSPP ABS/MBS assets has become increasingly evident this week and in to this morning's session.

    For non-eligible assets spreads have been driven wider on end-accounts selling to take as much profit as possible as prices move seemingly ever lower. Those profits are being utilised in eligible asset positions in the hope of further tightening and .......

    SCIWire 8 October 2014

  • RMBS activity ratchets up

    US non-agency RMBS BWIC volume approached US$600m yesterday, with another large bid-list of around US$1bn due to trade today. While secondary supply is high, yesterday's session suggests execution is weakening, with bonds covering below price talk and SCI's PriceABS data listing a number of DNTs.

    PriceABS shows many tranches which were successfully traded, such as the .......

    Market Reports 8 October 2014

  • Agency vet joins originator

    American Financial Resources has hired Timothy Yanoti as president and appointed him as a board member. He will assist with the mortgage originator's overall strategy, strategic partnerships and regulatory oversight.

    Yanoti was previously at Fannie Mae, where he was head of securitisation and worked on the common securitisation platform. He has also served as head of global securitisation for GE .......

    Job Swaps 8 October 2014

  • Spanish mezz focus

    The European ABS and MBS BWIC pipeline is ramping up once more for today with a Spanish mezz list due at 14:00 London time attracting most investor attention.

    The nine line €41.972m list consists of: BVA 3 B, CAJAM 2006-1 C, HIPO HIPO-7 D, HIPO HIPO-8 C, LUSI 4 B, LUSI 4 C, RHIPO 8 C, TDAC 5 B and .......

    SCIWire 8 October 2014

  • Technicals drive US RMBS

    Spreads are staying firm in the US RMBS market thanks to its strong technicals and the resultant two-way trading.

    "Secondary spreads have held in well unlike other markets such as high yield," says one trader. "That's primarily thanks to our market's current technical strength - you've got a trillion dollar market with only US$8bn of new issuance in total this .......

    SCIWire 7 October 2014

  • Springleaf nears mortgage wind-down

    Springleaf Holdings has completed the sale of US$1bn performing and non-performing mortgage loans to Credit Suisse under its mortgage liquidation plan. The company's real estate portfolio totaled approximately US$9bn on a historical accounting basis, as at 31 December 2013. By 30 June, the company had closed on the sale of approximately US$1.5bn of real estate loans backed by securitisation interests.

    Job Swaps 7 October 2014

  • Downgrades expected on sovereign update

    S&P has updated its methodology for rating single-jurisdiction securitisation tranches above the underlying sovereign rating, following a year-long consultation process (SCI 15 October 2013). The main change from the previous criteria is the reduction of the maximum rating differential between securitisations and sovereign to four notches from six notches, unless the tranches meet certain conditions based on structural features and .......

    News Round-up 7 October 2014

  • Peripheral RMBS push resumes

    Heightened activity in the European secondary RMBS market continued as the week began. Italian and Spanish names continue to be in demand, while Portuguese paper and more commonly-seen bonds from the core were also out for the bid.

    Italian and Spanish paper has seen an up-tick in investor interest after the ECB's ABSPP update (SCI 3 October) and the Italian .......

    Market Reports 7 October 2014

  • EPD losses made whole

    US$42m of subsequent recoveries was paid to the MLMI 2007-MLN1 RMBS in September's remittance, most of which comprised make-whole loss payments on loans that were liquidated prior to 2009. The recoveries were paid on Group 2 loans and represent about 8% of the lifetime losses expected for the deal, according to Barclays Capital figures. As a result, the A2A tranche .......

    News Round-up 7 October 2014

  • JPMorgan settlement hearing scheduled

    Trustees involved in the JPMorgan rep and warranty settlement released their decision for the 28 RMBS deal groups for which they had sought a deadline extension. The trustees accepted the US$4.5bn offer on 18 deal groups and rejected it for the remainder.

    Barclays Capital RMBS analysts note that the trustees have now reached their decision on all 330 trusts and .......

    Job Swaps 7 October 2014

  • Euro ABS pipeline builds

    After a quiet start to the week the European ABS and MBS market has started to build up a healthy pipeline of BWICs over this week. For today, that pipeline already includes a combination of peripheral and core names, as well as a stand-alone UK non-conforming RMBS list.

    First up at 10:30 London time is a nine line 6.6m mixed .......

    SCIWire 7 October 2014

  • Portuguese RMBS flash BWIC circulating

    A BWIC of €12.5m of Portuguese RMBS ATLAM 2 A has begun circulating for trade at 17:00 London today. The bond hasn't traded on PriceABS before and price talk is yet to be seen for this auction.

    Elsewhere, aside from some patchy bilateral trading the European markets have stayed quiet today, as is the case with US ABS, CMBS and .......

    SCIWire 6 October 2014

  • Arrears calculation revised

    Van Lanschot has revised its mortgage arrears calculation method. Fitch says that the ratings of the RMBS transactions backed by loans originated and serviced by the bank will not be affected by the move.

    At Van Lanschot, when a borrower misses their mortgage payment, the due instalment is debited from their current account held with the bank. Prior to May .......

    News Round-up 6 October 2014

  • Euro ABS settles down

    European ABS and MBS secondary markets have started to settle down this morning after the heightened activity seen last week.

    "It's been quiet this morning - we've only done a few trades," says one trader. "It looks like following on from the price movements around the ECB last week the market is settling down and looking through every detail of .......

    SCIWire 6 October 2014

  • Silverstone restructuring proposed

    Nationwide Building Society is proposing to restructure its Silverstone Master Trust UK RMBS programme. The move is not expected to have a negative rating impact on the rated notes of the programme.

    The proposed restructuring includes the removal of £8.09bn of mortgages from the pool - through the removal of £5.5bn of fixed rate loans and £2.6bn of random selected .......

    News Round-up 6 October 2014

  • Peripherals trade strongly

    The majority of both peripheral BWIC lists today traded at or above talk and covers were high on two bonds that DNT.

    Three of the bonds traded with prices on the 13:30 €40m list, covering as follows: AEOLO 1 A at 94.46, GRIF 1 A at 90.02 and TDAC 1 B at 94.55. CORDR 2 C was just reported to .......

    SCIWire 3 October 2014

  • RMBS seniors up after ECB update

    The market has reacted cautiously to yesterday's ABSPP update from the ECB. Peripheral RMBS has been most active, although the CMBS market is quiet.

    "Most of the activity over the last 24 hours or so has been in Spanish and Italian RMBS. Really people are looking to get whatever Spanish and Italian paper they can, but mainly that has been .......

    Market Reports 3 October 2014
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