RMBS

  • 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

  • Post-ECB peripheral test

    Yesterday saw spread volatility across peripheral secondary markets surrounding the ECB meeting, but two BWICs circulating today will provide a clearer test of investor demand after the ABSPP announcement.

    Peripheral ABS spreads compressed across the board in the run up to the ECB meeting, but afterwards there were diverse intra-market, -country and even -deal moves leaving Spanish seniors the winners .......

    SCIWire 3 October 2014

  • US RMBS picks up

    The start of a new quarter has boosted activity in the US non-Agency secondary market with sellers, for now, just having the edge.

    "Things have definitely picked up since 1 October and BWIC volumes have shot up since the quiet quarter-end," reports one trader. The non-agency market saw RMBS BWIC volumes in excess of $700m yesterday and by late this .......

    SCIWire 2 October 2014

  • RMBS comparison tool launched

    Moody's has released a proprietary tool designed to facilitate comprehensive comparisons of the key characteristics of 13 different RMBS markets, including the UK, Spain, Italy, Netherlands, Japan, Australia and the US. They can be compared by several different topics, covering collateral, modelling assumptions, typical structural features and counterparties.

    The collateral characteristics comprise details on loan amortisation profiles, maturities and underwriting .......

    News Round-up 2 October 2014

  • RFC on concentration adjustments

    Moody's has issued a request for comment on a proposed update to its approach to rating RMBS. The proposed changes, if adopted, will affect both the way the agency applies portfolio concentration adjustments contained within its MILAN model and the scale of these adjustments. On balance, the combined effect of the changes is expected to be neutral for the vast .......

    News Round-up 2 October 2014

  • GSE lawsuits dismissed

    US District judge Royce Lamberth has dismissed four lawsuits against Fannie Mae and Freddie Mac, two of which were brought by Perry Capital and Fairholme Funds. The lawsuits asserted that the US Treasury's full-sweep of the GSEs' profits amounted to an illegal seizure of private property without due compensation. However, Judge Royce ruled that Congress - via HERA - had .......

    Job Swaps 2 October 2014

  • Triaxx withdraws Countrywide objection

    The attorneys for the Triaxx entities have withdrawn as intervenor-respondents in the US$8.5bn Countrywide settlement covering 530 RMBS trusts. The objection by Triaxx - consisting of Triaxx Prime CDO 2006-1, Triaxx Prime CDO 2006-2 and Triaxx Prime CDO 2007-1 - had been seen as the largest barrier to final court approval of the proceedings since the settlement agreement between AIG .......

    News Round-up 2 October 2014

  • SF impairments hit post-crisis low

    The global structured finance 2013 new impairment count declined to 1,138 from 2,189 in 2012, according to Moody's. This marks the lowest number of new impairments observed since 2007.

    Moody's findings are based on ratings, impairment and loss information for over 72,000 global structured finance tranches from roughly 11,500 deals. "The performance of structured finance securities, as measured by impairment .......

    News Round-up 2 October 2014

  • Differing day ahead for euro CLOs and ABS

    The European CLO market should see a continuation of recent healthy levels of activity today, while a relatively quiet day is expected in European ABS and MBS.

    Traders report a continuation of two-way flows and strong execution in the European CLO secondary market this week, with the expectation that this will continue right up to tomorrow's ABSPP announcement. There are .......

    SCIWire 1 October 2014

  • New PIMCO leadership named

    PIMCO has named Daniel Ivascyn as group cio, succeeding Bill Gross (SCI 29 September). In addition, the firm has appointed Andrew Balls as cio global, Mark Kiesel as cio global credit, Virginie Maisonneuve as cio equities, Scott Mather as cio US core strategies and Mihir Worah as cio real return and asset allocation. PIMCO ceo Douglas Hodge and president Lew Jacobs .......

    Job Swaps 30 September 2014

  • Spanish arrears continue to decline

    Improvement in Spain's macroeconomic environment is slowly feeding through to asset performance in RMBS transactions, according to Fitch. The agency reports that the volume of three-months plus arrears (excluding defaults) continues to decline, reaching 1.9% in 3Q14 from 2.2% in 2Q14, but remains far from pre-crisis levels (0.2%).

    While part of the decline can be attributed to the roll-through to .......

    News Round-up 30 September 2014

  • RMBS investigations disclosed

    UBS has disclosed in a recent exchange offer prospectus that it received last month a subpoena from the US Attorney's Office for the Eastern District of New York, which seeks documents and information related to its RMBS business from 2005 to 2007. The bank says it has also been responding to a subpoena from the New York State Attorney General .......

    Job Swaps 30 September 2014

  • UK RMBS takes attention

    Following on from only patchy trading in peripherals, including some selling, in yesterday's session the European RMBS market may give its full attention to UK RMBS today with two notable BWICs in the sector circulating.

    Due at 11:00 London is an 11 line list of UK Prime deals with tranches denominated in sterling, euros and dollars. It consists of: FOSSM .......

    SCIWire 30 September 2014

  • ECB Thursday looms

    The general spread tightening seen in European ABS, CLOs and MBS over last week is expected to hold firm or increase in the run-up to the ECB meeting and promised further details on ABSPP on Thursday. Given current levels the possibility now looms that anything other than entirely positive news from the ECB could send prices lower across the board.

    SCIWire 29 September 2014

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