RMBS

  • 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

  • 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
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