RMBS

  • 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

  • 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
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