RMBS

  • 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

  • Euro markets hit re-set

    The European ABS market appears to have hit the re-set button this morning to signal the true end of summer with the return of the US today and in anticipation of the ECB meeting on Thursday - most ABS sectors are better bid but peripherals are once more leading the way.

    Meanwhile, a €5m slice of Dutch CMBS MESDG DELT .......

    SCIWire 2 September 2014

  • Peripherals scheduled

    Two peripheral European BWIC lists, consisting primarily of RMBS are now circulating for trade tomorrow. A 12 line list scheduled for 14:30 London time and a single line for 15:00.

    Of the deals that have appeared on SCI's PriceABS service in the last three months, their last trades covered as follows: HIPOT 4 A at 91.5 on 24 July; LUSI .......

    SCIWire 1 September 2014

  • Continuous pricing offered

    Interactive Data Corporation has launched a continuous fixed income evaluated pricing service. The offering aims to provide clients with greater pre-trade transparency support and price discovery capabilities on a continuous basis throughout the trading day.

    The firm says that coverage across multiple fixed income asset classes, in addition to its extensive global team of 200 evaluators responding to pricing inputs .......

    News Round-up 1 September 2014

  • Patchy activity in Euro MBS

    The summer lull in European MBS secondary markets looks set to continue this week. However, pockets of activity remain.

    Notwithstanding a month-end flurry that saw three RMBS BWIC lists circulating last Friday, European RMBS and CMBS bonds are expected to carry on trading sporadically for now. "Investors will largely stay sitting on the sidelines because there's not enough juice in .......

    SCIWire 1 September 2014

  • Risk-sharing losses projected

    A recent Wells Fargo analysis suggests that cash-out loans with lower FICO scores show the highest delinquencies across GSE risk-sharing securitisations, based on current performance trends. By taking the cash-out delinquency trend into consideration and applying a pre-defined historical credit event rate to the remaining collateral, RMBS strategists at the bank estimate that cumulative credit events for risk-sharing deals will .......

    News Round-up 29 August 2014

  • Countrywide valuations eyed

    The Countrywide shelf could face the brunt of increased principal modification rates, if Bank of America pursues a strategy of aggressively modifying loans in RMBS deals to fulfil the requirements of its Department of Justice settlement (SCI 27 August). This is because the bank has sold the servicing rights for most of the BOAMS, BAFC, FFML, FFMER and MLMI shelves.

    News 29 August 2014

  • Lehman RMBS restructured

    Fitch has withdrawn its single-C rating on EMF-UK 2008-1's existing class A3 tranche and assigned triple-A, double-A and single-A minus ratings to the new replacement class A1a, A2a and A3a notes, following a restructuring of the non-conforming RMBS transaction. Up until July 2014, the issuer had received distributions in respect of stipulated claims totalling US$35m and the remaining claims were .......

    News Round-up 28 August 2014

  • ECB purchases to support periphery

    ECB president Mario Draghi's Jackson Hole address enlivened the QE debate again last week. Confirmation that preparations for outright ABS purchases are progressing quickly is being seen as a clear positive for senior peripheral RMBS bonds, for which the summer correction has provided attractive levels for investors to re-enter the trade.

    Morgan Stanley's year-end target for Spanish senior RMBS is .......

    News 28 August 2014

  • Servicer scrutiny intensifies

    Ocwen disclosed in its 2Q14 10-Q that it had received an SEC subpoena related to its dealings with and interests in Altisource, HLSS and AAMC. The filing also stated that the SEC plans to issue the servicer with another subpoena related to the recent amendments to its financial filings (SCI 19 August).

    Barclays Capital RMBS analysts note that it appears .......

    News Round-up 28 August 2014

  • RMBS 2.0 deals to withstand quake losses

    The earthquake that struck Napa County will not have any material impact on the ratings of RMBS 2.0 transactions, according to Fitch. Loans on Californian properties comprise, on average, 45% of post-crisis new issue prime jumbo RMBS. However, just 0.36% of loans by balance are secured by collateral in Napa County.

    Fitch-rated RMBS deals have comparable exposure at approximately 0.45%, .......

    News Round-up 27 August 2014

  • BofA consumer relief outlined

    Further information has emerged on the US$7bn consumer relief portion of Bank of America's recent RMBS settlement (SCI 22 August). Its scope includes principal forgiveness and forbearance, loan modification and targeted lending, as well as an additional US$490.16m for the payment of a borrower's federal income tax liability associated with any income recognised from the discharge of indebtedness.

    The US$7bn .......

    Job Swaps 27 August 2014

  • SFR securitisations surveyed

    Five firms have so far completed eight transactions for US$4.4bn in the single-family rental (SFR) securitisation market's first year. Growth in the sector is slowing, however, as the stock of distressed properties lessens and foreclosure timelines in judicial states lengthen.

    Deutsche Bank ABS strategists note that the eight SFR deals issued so far have structurally been quite similar, with a .......

    News 27 August 2014

  • Aussie non-conforming credit quality compared

    Moody's reports that the underwriting standards and overall quality of borrowers in Australian non-conforming RMBS portfolios post-financial crisis are better than in comparable transactions in the Australian market pre-crisis and better than in subprime transactions in the US and the UK written pre-2008. The agency compared Australian non-conforming loans with pre-2008 US and UK equivalents due to the lack of .......

    News Round-up 26 August 2014

  • FHFA agrees sixteenth settlement

    The FHFA has reached a settlement with Goldman Sachs, related companies and certain named individuals. The settlement addresses claims alleging violations of federal and state securities laws in connection with private-label MBS purchased by Fannie Mae and Freddie Mac between 2005 and 2007.

    Under the terms of the settlement, Goldman Sachs will pay US$3.15bn in connection with releases and the .......

    Job Swaps 26 August 2014

  • BWIC 'interface' launched

    DealVector has launched a central repository for daily BWIC information, which aims to improve liquidity in structured markets. Dubbed BWIC Board, it is a single interface that provides a simple overview of the entire market and notification linkages based on investor preferences.

    The platform says that brokers who contribute BWIC list data will maintain control of their relationships while receiving .......

    News Round-up 22 August 2014

  • Record settlement agreed

    Bank of America has reached a comprehensive settlement with the US Department of Justice, certain federal agencies and six states. The settlement includes releases on the securitisation, origination, sale and other specified conduct relating to RMBS and CDOs, as well as an origination release on residential mortgage loans sold to the GSEs and private-label RMBS trusts or guaranteed by the .......

    Job Swaps 22 August 2014

  • Competitive environment driving Mexican prepays

    Fitch reports that declining interest rates for mortgage products, the halt of new housing construction in 2013-2014 and the importance of house acquisition lending in the banking sector have fostered a competitive environment for tenured borrowers and pushed prepayment rates up on Mexican securitised bank-originated mortgage portfolios. The agency estimates that the weighted average annual CPR of securitised mortgage loans .......

    News Round-up 21 August 2014

  • Chinese RMBS 'benchmark' welcomed

    Postal Savings Bank of China's recent RMBS (SCI 31 July) establishes an important benchmark for the Chinese securitisation market, according to Moody's. The agency suggests that the detailed level of disclosure provided by PSB will likely set the tone for future deals.

    China's securitisation market has historically been mainly concentrated in CLOs and auto ABS."If China's RMBS market grows, it .......

    News Round-up 21 August 2014

  • Call likelihood gauged

    US RMBS clean-up call activity picked up in 2Q14, with 10 deals called during the period versus six in the previous quarter. Together with lower rates, one factor that may be contributing to the up-tick is rising prices for non-performing/re-performing loans.

    "If rates stay range-bound and NPL/RPL markets remain strong, call activity will likely stay elevated," Barclays Capital RMBS analysts .......

    News 20 August 2014

  • Call for Fed MBS exclusion

    The US fixed income indices commonly used by money managers exclude Fed Treasury holdings when calculating their composition but include its RMBS holdings. However, money managers would likely be overweight MBS rather than underweight if the Fed's RMBS holdings were also excluded.

    The Fed's Treasury holdings have historically been excluded from fixed income indices. But after the Fed began buying .......

    News 20 August 2014
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