RMBS

  • 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

  • Trading picks up again

    Trading in Europe has exceeded expectations as today has worn on with BWIC lists being added for all deal types and continued bilateral activity. The US markets are seeing similar moves.

    "There have been quite a number of lists added, which is something of surprise - we all thought it was going to stay quiet today," says one trader. However, .......

    SCIWire 26 September 2014

  • Busy session for Euro RMBS

    Yesterday proved to be a busy session for secondary European RMBS. SCI's PriceABS data captured a long list of bonds out for the bid, several of which were covered.

    Among the names circulating yesterday was a €5.478m piece of the €50m CASTO 1 A tranche, which was talked at 99 handle, mid-99 and 99.51. The tranche first appeared .......

    Market Reports 26 September 2014

  • European markets quieter

    It's a quieter day today so far across European structured finance secondary markets.

    There is only one euro CLO lists scheduled for today so far, though there is continuing interest in bonds in the bilateral market. A flurry of ABS and MBS BWICs are circulating today, inevitably including a significant proportion of peripheral names, but not in as large a .......

    SCIWire 26 September 2014

  • US RMBS stays in range

    Spreads have been range-bound in US RMBS today as the market remains in a post-ABS East and Jewish holiday lull.

    "Trading is fairly light for quarter-end with only around $200m out for bid today," says one trader. "It mainly seems to be people, including some money managers, clearing odd-lots."

    Today is also remit day in non-agency RMBS, which will have .......

    SCIWire 25 September 2014

  • Euro peripheral action continues

    Peripherals continue to be a strong focus today as interest in non-core paper continues in the European ABS/MBS markets.

    This morning's €54.2m five line peripheral seniors list traded strongly at 9:00, with all bonds trading above talk levels, following on from the similar success of yesterday's peripheral mezz auction. The BWIC results are expected to bring out further peripheral lists .......

    SCIWire 25 September 2014

  • Peripheral RMBS webinar scheduled

    SCI, in association with Bloomberg Valuation Service (BVAL), is hosting a webinar on the outlook for and investment opportunities in the peripheral European RMBS markets at 2pm UK time/9am Eastern on 2 October. Click here to sign up for this complimentary event.

    Panellists include Prytania Group cio Mark Hale, DBRS European RMBS head Keith Gorman and BVAL global .......

    News Round-up 25 September 2014

  • NPL/RPL demand rising

    Of the circa US$658bn in US non-performing loans - including US$60bn in REO properties - banks, the GSEs and the HUD own about US$400bn, according to Barclays Capital figures. CMBS analysts at the bank estimate that a further US$500bn-US$600bn in re-performing loans is outstanding, with about US$200bn held by the GSEs, US$200bn-US$250bn in non-agency RMBS and the remainder on bank .......

    News Round-up 24 September 2014

  • Peripherals to the fore

    Each of the three European ABS/RMBS BWIC lists scheduled for this afternoon contain peripheral names. At the same time, such deals are being traded in the bilateral market.

    Today's auctions are dominated by peripherals, first up at 14:00 is a 53m four line list containing FGOLD 1 B, ITALF 2005-1 A, PPAF 3 A2 and SANFI 2006-1 D. None of .......

    SCIWire 24 September 2014

  • Aire Valley proposal 'broadly positive'

    Assuming noteholder approval is granted, the proposed restructuring of the Aire Valley RMBS master trust (SCI 23 September) should be broadly positive for bondholders. JPMorgan European securitisation analysts suggest that investors will benefit from a cleaner pool of collateral, higher levels of subordination and potentially higher ratings. With longer-dated IO collateral targeted for repurchase, alongside exposures to higher LTV borrowers, .......

    News Round-up 24 September 2014

  • Rating methodologies released

    ARC Ratings has published its global consumer ABS rating criteria, which apply to transactions that benefit from a diversified portfolio with a large number of underlying obligors. The criteria cover analyses of expected defaults, delinquencies, recoveries, prepayments and asset yield, which are supplemented by a cashflow analysis. Although applied globally, each individual country and specific transaction may give cause to .......

    News Round-up 23 September 2014

  • Aire Valley restructuring proposed

    Bradford & Bingley is proposing to restructure its Aire Valley RMBS master trust. By removing loans with adverse characteristics, the current pool would be reduced by approximately 50% under the restructuring.

    The proposed restructuring of the programme includes: repayment of all the notes issued under the retained series 2007-2 and 2008-1; removal of all loans that are three or more .......

    News Round-up 23 September 2014

  • European RMBS sporadic

    Traders report only sporadic trading in the European RMBS secondary market today with most players content to sit on the sidelines and take a breather after last week's hectic activity.

    What trading interest there has been today has revolved around the most liquid names in both core and peripheral markets, which is perhaps responsible for the first BWIC of the .......

    SCIWire 22 September 2014

  • Irish RMBS criteria updated

    Fitch has updated its Irish residential mortgage loss and cashflow assumptions. The structured finance rating cap on Irish RMBS has also been lifted to triple-A, in line with the sovereign country ceiling, following the upgrade of Ireland to single-A minus from triple-B plus on 15 August.

    Fitch's revised criteria assumptions: reduce the foreclosure frequency (FF) by around 20% at the .......

    News Round-up 22 September 2014

  • Quiet start to the week for BWICs

    After last week's high levels of list-based activity this week's BWIC schedule looks very light. However, auction volume is expected to rise after the close the ABS East conference on Wednesday.

    There are no BWICs currently scheduled for today and just two European MBS lists for tomorrow. CLOs on either side of the Atlantic are not slated to return until .......

    SCIWire 22 September 2014

  • Euro 'chips off the table'

    Both the primary and secondary European markets have been busy recently as the market continues to benefit from the ECB bounce. However, there has also been an increase in the number of DNTs on BWICs as an element of caution creeps into the market.

    "Since the ECB's announcement the European market has really picked up. What we have seen over .......

    Market Reports 19 September 2014

  • Back to work after Scots decision

    After monitoring the build up very closely, the European ABS market has reacted calmly to the result of the Scottish independence referendum. While the impact of a 'Yes' vote was expected to be limited, the 'No' result has ensured business can continue as usual.

    "We were watching this with interest but it was always going to be a minimal impact. .......

    SCIWire 19 September 2014

  • NAIC proposals to boost insurer demand?

    The US NAIC recently published the proposed macroeconomic assumptions and scenarios for its year-end 2014 analysis of insurer-owned RMBS and CMBS. The proposed scenarios are expected to result in higher assumptions for the Home Price Index and National Property Index, potentially leading to lower capital requirements for some RMBS and CMBS bonds.

    Indeed, taken together with another proposal under NAIC's .......

    News Round-up 19 September 2014

  • RMBS analytics enhanced

    BlackBox Logic has enhanced its core suite of products with a new dataset. Dubbed BBx Premium Non-Agency RMBS, the offering is designed to help capital market participants more accurately evaluate security performance and the ways in which it is impacted by servicer behaviour. The dataset includes information on forbearance, modifications and servicer advances, and can track the historical progression of .......

    News Round-up 19 September 2014

  • Spanish seniors trade well

    The 13:00 London time Spanish seniors BWIC has traded at or above talk and sparked some activity in similar deals in the bilateral market.

    The seven line list covered as follows: AYTH III A at 98.57, AYTH M1 A at 98.71, AYT 2 A2 at 99.65, BBVAL 2007-1 A1 at 99.17, BCJAM 4 A2 at 94.913, RHIPO 7 A1 at .......

    SCIWire 18 September 2014

  • 'Market consensus' emerging in Spain

    Price declines in the Spanish residential property market are coming to an end after nearly seven years, Fitch reports. The agency notes that while the return of mortgage credit is driving the stabilisation, high unemployment and a large property overhang will prevent a rapid rebound in prices.

    Fitch's latest Spanish repossession analysis suggests that property value depreciation on repossessed and .......

    News Round-up 18 September 2014
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