RMBS

  • Credit enhancement to support NC RMBS

    The UK non-conforming RMBS sector has benefitted greatly from the low interest rate environment. The timing, frequency and magnitude of rate rises will be the next key driver of future performance, according to European securitisation analysts at Barclays Capital.

    To assess the impact of such rate rises and other economic variables, the Barcap analysts examined loan-level data for RMACS 2007-NS1 .......

    News 25 July 2014

  • Spanish NPL risks examined

    Appetite for transactions backed by restructured or re-performing loans is increasing in the Spanish housing market, Moody's observes. The rapid deterioration of the housing market in recent years has forced banks to avoid repossessions in favour of one-to-one solutions, leading banks to refinance or restructure loans to mitigate the increase in repossessions and non-performing loan levels.

    "The recent housing market .......

    News Round-up 24 July 2014

  • Foreign obligor performance analysed

    A divergence in performance of Spanish RMBS loans between foreign borrowers and Spanish borrowers is emerging. A Bank of America Merrill Lynch study suggests that performing loans to foreign obligors have a significantly higher rate of migration into delinquency than those to Spanish obligors.

    BAML European securitisation analysts examined 30 Spanish RMBS that report whether a loan is to a .......

    News Round-up 24 July 2014

  • Dealers dominate market share

    Greenwich Associates reports that four global banks - Goldman Sachs, Deutsche Bank, Citi and JPMorgan - lead the US fixed income sector for overall market share, which is driven by volumes in government bonds, interest rate derivatives and MBS pass-throughs (together accounting for over 80% of total volume covered). Dealers retaining scale, as well as smaller, potentially more nimble competitors .......

    Job Swaps 23 July 2014

  • Spanish REO sale 'credit positive'

    InterMoney has opened a competitive portfolio sale of repossessed properties backing the IM Pastor 2, 3 and 4 Spanish RMBS. Moody's believes that the sale will be credit positive for the three transactions.

    "The economic downturn in Spain has led to an increase in the length of time required to process individual foreclosures and to sell backing properties. Therefore the .......

    News Round-up 23 July 2014

  • IO loan exposure decreasing in NC RMBS

    The exposure of UK non-conforming RMBS to interest-only loans is decreasing as a result of early repayment and refinancing, according to Moody's.

    "As most interest-only loans continue to repay ahead of maturity dates, RMBS pools grow less vulnerable to high concentrations of interest-only loans and thus to interest rate increases and refinancing risk," says Steven Becker, a Moody's structured finance .......

    News Round-up 23 July 2014

  • Broker targets RMBS expansion

    Cross Point Capital has named Lenny Norkin as director. He was previously a junior MBS broker at Tradition Asiel Securities.

    Norkin will lead the firm's efforts to grow its RMBS inter-dealer brokerage business. The focus for agency RMBS will be specified pools and CMOs, while the non-agency focus will be on prime, Alt-A and subprime bonds.

    .......

    Job Swaps 23 July 2014

  • Falling factors push pricing premium

    Bonds with lower factors are increasingly common on US non-agency RMBS bid-lists. As it becomes more difficult for investors to find large enough bonds to meet reinvestment demand, a pricing premium on larger blocks is developing.

    Bank of America Merrill Lynch RMBS analysts note that jumbo, Alt-A and option ARM bonds with factors at or below 0.25 comprised around 20%-25% .......

    News 22 July 2014

  • RMBS liquidations rise on REO sales

    Annualised liquidations of US RMBS loans increased last quarter by 20bp to 4.92%, following seven straight quarters of declines, according to Fitch's latest quarterly index report. The declines were driven primarily by a shrinking distressed inventory and a decrease in the use of short sales, while the recent turnaround in the trend can be partly attributed to a growing portion .......

    News Round-up 22 July 2014

  • Interest rate hedges evolving

    A deeper examination of interest rate risk in structured finance deals is key when analysing structures that try to hedge this risk with interest rate caps, note rate caps or issuance of fixed rate notes, Fitch says. These increasingly popular structural features protect deals where the SPV pays a fixed or a capped rate on the notes in return for .......

    News Round-up 21 July 2014

  • US RMBS supply stays steady

    US non-agency RMBS secondary market activity remained moderate yesterday as supply was driven mainly by subprime floaters. BWIC volume was around US$650m, with SCI's PriceABS data capturing tranches from vintages as disparate as 2003 and 2014.

    Among them was a US$5.621715m piece of the CWL 2003-1 M1 tranche, which was traded during the session. It marked .......

    Market Reports 18 July 2014

  • Spanish RMBS tender announced

    BNP Paribas and Santander have announced a tender offer for two UCI bonds - the ninth for UCI paper over the past five years. It will be the first Spanish RMBS tender offer of 2014.

    The offer is to repurchase the UCI 14 B and UCI 14 C bonds. Barclays Capital analysts note that this is the first time that .......

    News Round-up 18 July 2014

  • RMBS risk if Korean regulations relax

    A relaxation of LTV and DTI regulations on Korean banks' mortgage loans could increase household debt and pressure Korean banks' asset quality, says S&P. In a scenario where banks compete aggressively on underwriting standards or pricing to grow business, the rating agency notes that the credit risk of residential mortgage loan portfolios could increase quickly.

    Current LTV and DTI requirements .......

    News Round-up 17 July 2014

  • Securitisation vet enlisted

    Starwood Capital Group has hired Jeffrey DiModica. He will serve as md and assist in finding new business opportunities as well as supporting the growth and expansion of Starwood Property Trust and its affiliated entities.

    DiModica was previously head of ABS, RMBS and CMBS sales and strategy for the Americas at RBS. Before joining RBS he sold derivative and MBS .......

    Job Swaps 17 July 2014

  • Global RMBS claims settled

    American International Group has reached a global resolution of its RMBS-related disputes with Bank of America. The resolution also covers AIG's obligations to the US$8.5bn settlement of Countrywide's mortgage repurchase obligations to various investors (SCI passim) as well as disputes concerning the issuance of mortgage guaranty insurance by AIG's United Guaranty subsidiaries to Bank of America and Countrywide.

    AIG will .......

    Job Swaps 17 July 2014

  • Alternative GSE bill proposed

    Democrats in the US House of Representatives have proposed a bill to wind down the GSEs and provide an explicit government guarantee while increasing private sector participation in the market. The Partnership to Strengthen Homeownership Act has been proposed by John Delaney, Jim Himes and John Carney.

    SFIG notes that the bill would preserve the 30-year fixed rate mortgage and .......

    News Round-up 17 July 2014

  • ESAIL picks highlighted

    2007-vintage Eurosail RMBS continue to attract headlines due to their unhedged FX exposure and associated restructuring activity (SCI passim). Nevertheless, European asset-backed analysts at JPMorgan suggest that ESAIL bonds offer interesting entry points for a range of investors, given the varied mix of currencies, ratings, WALs and risk profiles on offer.

    Although only established in 2006, the ESAIL programme is .......

    News 16 July 2014

  • WaMu case progressing?

    JPMorgan and FDIC have filed their motions for summary judgement in the Washington Mutual rep and warranty lawsuit. The replies to the motions are due by 5 September, after which the judge's order is due.

    JPMorgan is reportedly arguing that it assumed only repurchase obligations that were recorded in WaMu's books at the time of acquisition, but the FDIC argues .......

    News Round-up 16 July 2014

  • SIV bid-list trades

    US non-agency RMBS supply has been scarce so far this week, with the focus dominated entirely by the US$3.7bn pre-announced BWIC that traded yesterday. Credit Suisse is understood to have successfully bid for the list, which comprised 179 legacy predominantly subprime and home equity bonds.

    The seller is said to be a SIV controlled by UBS. BlackRock Solutions was hired .......

    News Round-up 16 July 2014

  • Canadian home prices 'overvalued'

    Canadian home prices remain overvalued relative to historical macroeconomic fundamental drivers, according to Fitch. Home prices rose by 7.1% in May year-over-year, with both property sales and building permits for residential construction picking up in recent months.

    Home prices also continue to be supported by historically low interest rates and a lack of supply in the major metropolitan areas - .......

    News Round-up 15 July 2014

  • Citi settles RMBS, CDO claims

    Citigroup has agreed to settle an ongoing investigation by the RMBS Working Group. The agreement resolves actual and potential civil claims by the US DOJ, several state attorneys general and the FDIC relating to RMBS and CDOs issued, structured or underwritten by Citi between 2003 and 2008.

    Citi will pay US$4.5bn in cash - including a US$4bn civil monetary payment .......

    Job Swaps 15 July 2014
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