RMBS

  • ABS strategies outperform

    Hedge funds returned an average of 1.4% in August, with average gross market exposure across the industry lower in the month than any point in the last two years, according to eVestment. Credit strategies posted their second consecutive negative month in August, declining by 0.03%, for the first time since the height of the European sovereign debt crisis in 2011.

    News Round-up 10 September 2014

  • Short-amortising loan criteria reviewed

    S&P is updating the roll rate and loss severity assumptions it uses to analyse and monitor ratings on US RMBS backed by certain vintages of prime and Alt-A fixed-rate fully amortising mortgage loans with an original maturity of 20 years or less. The agency says that the objective of the criteria review is to promote transparency and comparability across all .......

    News Round-up 10 September 2014

  • UK speciality lender acquisition agreed

    Speciality UK residential mortgage lender Kensington will be sold by Investec to Blackstone Tactical Opportunities and TPG Special Situations Partners. The buyers intend to develop Kensington's mortgage lending business and broader speciality finance capabilities.

    Ian Henderson has been named as group ceo to lead Kensington's new strategy. He was previously ceo at Shawbrook. Meanwhile, Keith Street will continue to lead .......

    Job Swaps 10 September 2014

  • Euro ABS eases

    Activity in the European ABS market has eased today, following another active day yesterday where spreads tightened still further by the close.

    "We saw good two-way flows again yesterday with trading late into the day, but it's a bit quieter today," says one trader. "Yesterday's flows were a continuation of the flurry of activity post-ECB and were mostly hedge fund .......

    SCIWire 9 September 2014

  • Aussie dollar deals up for grabs

    A 12 line BWIC containing primarily Australian dollar-denominated RMBS tranches is circulating for trade at 08:30 London time tomorrow.

    There are ten Australian RMBS on the list: A$14m CRGT 2007-1 A3, A$81m LT 1 A, A$284m MEDL 2006-1G A2, US$27m PROGS 2007-1GA 1A, A$14m PROGS 2007-1GX 2A, A$158m PUMA P11 BA, A$50m SMHL 2009-2 A, A$12m SMHLG 2007-1 A3, A$41m .......

    SCIWire 8 September 2014

  • European ABS/RMBS edge tighter

    Trading activity seen so far this morning in European ABS and RMBS indicates a further move tighter following on from the post-ECB rally seen at the end of last week.

    Traders expect the market to remain solid overall until the next ECB announcement on the ABSPP scheduled for October. However, some profit taking from fast money accounts is expected this .......

    SCIWire 8 September 2014

  • ECB sparks RMBS rally

    European RMBS has rallied on the back of the ECB's confirmation that it will commence ABS purchases. The rally has been particularly pronounced in the periphery and in non-conforming RMBS.

    "Spanish RMBS has been very active since the announcement and even Portugal, which was starting to look tight, has traded up quite a bit. Non-conforming mezz was trading well even .......

    SCIWire 5 September 2014

  • Subprime list disappoints

    The US$1.5bn RMBS BWIC the market had been waiting for came out yesterday but met with weak execution. The list consisted mainly of subprime collateral and accounted for almost the entirety of the session's supply.

    Two of the 18 line items on the list did not trade, while another five covered at or below minimum dealer price talk. The only .......

    SCIWire 5 September 2014

  • REIT adds mortgage vet

    Two Harbors Investment Corp has appointed Beth Mlynarczyk as policy and strategy vp. She has previously worked as an assistant trader at Soros Fund Management and as an associate at Lehman Brothers on the non-agency trading desk.

    Mlynarczyk was most recently at the US Treasury, where she served as a senior advisor to the counselor on housing finance policy. Before .......

    Job Swaps 5 September 2014

  • Non-conforming optionality supported

    Five UK non-conforming RMBS have cured their pro-rata triggers since May, taking the total number of deals in the segment paying on a pro-rata basis to 23, according to Morgan Stanley figures. Given continued improvement in arrears performance, the sustainability of these cures is believed to be high.

    Four of the recently-cured deals are from Kensington programmes - MPS 2, .......

    News 4 September 2014

  • Reg AB 2 to increase data integrity

    Moody's says that the US SEC's adoption of Regulation AB 2 will enhance transparency in publicly offered ABS, which is credit positive for RMBS and auto ABS but credit neutral for CMBS. Overall the agency expects the requirement for loan-level data to result in more scrutiny by sponsors, thereby increasing data integrity.

    Third-party diligence firms currently review key loan-level data .......

    News Round-up 4 September 2014

  • Springleaf subs acquired

    Chimera Investment Corp has acquired the rights to approximately US$4.8bn of seasoned residential mortgage loans through the purchase of subordinate notes and trust certificates in Springleaf Mortgage Loan Trusts 2011-1, 2012-1, 2012-2, 2012-3, 2013-1, 2013-2 and 2013-3. By purchasing these securities, the REIT may over time terminate the securitisation trusts by redeeming all outstanding bonds at par and obtain the .......

    News Round-up 4 September 2014

  • LCR, SLR requirements finalised

    The US Fed, the FDIC and the OCC have released a notice of final rulemaking that implements minimum liquidity coverage ratio (LCR) requirements for banks and depository institutions. They have also issued a final rule modifying the definition of the denominator of the supplementary leverage ratio (SLR).

    In response to industry comment, the final LCR rule has been amended to .......

    News 4 September 2014

  • Peripherals pause as UK tightens

    Since late yesterday and into this morning, peripheral European ABS secondary trading volume has eased and prices have stayed flat as the market awaits the outcome of the ECB meeting at 13:30 London time today. However, UK RMBS is seeing some action with a number of big names trading off-BWIC and the market as a whole edging tighter.

    Feeding off that .......

    SCIWire 4 September 2014

  • US BWIC activity picks up

    As the US BWIC markets got back up and running yesterday most activity was concentrated in ABS, but supply was also seen in the CMBS and non-agency RMBS segments.

    Bid-list volume for US ABS reached over $250m yesterday, with credit card bonds providing the majority of the paper. In addition, some auto paper was circulating during the session.

    Meanwhile, generic .......

    SCIWire 3 September 2014

  • Scottish redenomination a 'remote risk'

    This month's referendum on Scottish independence would only create a remote risk for some UK RMBS transactions if a 'yes' vote resulted in currency redenomination, Fitch suggests. The agency notes that deals affected by such a move benefit from significant credit enhancement, while lenders and policymakers would have time to develop contingency plans. Nevertheless, no mechanisms are in place in .......

    News Round-up 3 September 2014

  • Operational risk limited for Spanish RMBS

    Moody's reports that operational risk in Spanish RMBS has been limited, following the placement of some financially stressed Spanish banks under the Bank of Spain's administration between March 2009 and May 2014. The agency does not expect any payment disruption relating to non-performance of a servicer, cash manager and trustee because all Spanish RMBS transactions benefit from third-party independent cash .......

    News Round-up 3 September 2014

  • SFR maturity risk underestimated?

    Elevated cashflow leverage, refinance risk and dependence on property liquidation for debt repayment remain key reasons for a single-A rating cap on single-borrower single-family rental securitisations, according to Fitch. The agency believes that the justification in presale reports for recent SFR transactions of elevated leverage with current property values and the likelihood of repayment through the foreclosure and sale of .......

    News Round-up 3 September 2014

  • US secondary activity picks up

    The US secondary markets were back up and running yesterday after the Labor Day holiday. Most activity was concentrated in ABS, but supply was also seen in the CMBS and non-agency RMBS segments.

    Bid-list volume for US ABS reached over US$250m yesterday, with credit card bonds providing the majority of the paper. A number of names were captured by SCI's .......

    Market Reports 3 September 2014

  • Ceasefire increase

    News of a ceasefire in the Ukraine has pulled credit indices tighter this morning and is expected to move European ABS spreads in the same direction on the back of increased trading activity.

    Peripherals remain the main focus of the market as real and fast money accounts seek to grow positions ahead of tomorrow's ECB meeting. Peripheral RMBS in particular .......

    SCIWire 3 September 2014

  • Mixed day so far

    The US structured finance markets are taking a while to find their feet today while off-BWIC Europe appears to be building up a head of steam - strong trading is continuing in European RMBS now including non-peripheral bonds.

    On the BWIC front, both sides of the Atlantic aren't seeing many new lists circulating. The CLO market has not so far .......

    SCIWire 2 September 2014
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