RMBS

  • 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

  • Credit funds hit by redemptions

    Hedge fund assets declined by 0.49% in July, according to eVestment, with performance accounting for the majority of the dip. Though positive for the seventh consecutive month at US$4.9bn, investor flows were below the last twelve-month inflow average of US$14.6bn.

    The primary reason for muted net inflows in July appears to be redemptions from credit strategies, which saw US$2.4bn redeemed .......

    News Round-up 20 August 2014

  • Watching waterfalls

    Call for increased derivatives disclosure in securitisations

    A first step towards creating a safe and transparent ABS market in Europe, in line with recent ECB rhetoric, could be greater scrutiny of cashflow waterfalls. A list of items that securitisation issuers should disclose has been put forward to facilitate such scrutiny.

    "Derivatives contracts at the top of cashflow waterfalls mean that most securitisations, in their current form, are .......

    News Analysis 20 August 2014

  • Risk-transfer trigger test breached

    CAS 2014-C01 subordinate bonds are expected to be locked out from unscheduled principal for the August remittance, after five loans were removed from the pool last month. The development is not believed to be a cause for concern, however.

    The five loans turned 180-days delinquent last month, resulting in a credit event and their subsequent removal from the pool. This .......

    News Round-up 19 August 2014

  • Greek sovereign ceiling lifted

    Moody's has upgraded 20 tranches, affirmed one and placed another on watch for upgrade across nine Greek structured finance transactions. The move follows the raising of Greece's country ceiling to Ba3 from B3 and its sovereign rating to Caa1 from Caa3. The agency has also reassessed collateral performance and revised portfolio assumptions in three transactions.

    Moody's notes that the raising .......

    News Round-up 19 August 2014

  • RFC issued on LMI assessment

    S&P is requesting comments on its proposed revision of the methodology for assessing lenders' mortgage insurance (LMI) as a form of credit enhancement in global RMBS, global covered bonds and debt ratings in the US municipal housing sector. The proposal takes into consideration the recent experience of mortgage insurance pay-out adjustments in certain markets under stressful economic conditions.

    In determining .......

    News Round-up 19 August 2014

  • Servicer advances 'attractive' despite headline risk

    Ocwen and HLSS last week announced that they will restate their financial statements for 2013 and 1Q14 and delay filing their second-quarter 10-Qs until the revisions have been completed. The move is due to a change in how Ocwen accounts for the valuation of 'rights to MSRs' that it had earlier sold to HLSS, according to Barclays Capital RMBS analysts.

    News 19 August 2014

  • Servicing 'hubs' identified

    The top seven cities for US commercial servicing operations are Kansas City, Charlotte, Dallas, Miami, Washington, New York and Hyderabad (India), according to S&P. The findings are based on data from the agency's ranked commercial mortgage loan servicers, pinpointing major geographic locations for commercial mortgage servicing.

    "We believe Hyderabad is the newest servicing hub," S&P notes. "It represents a key .......

    News Round-up 15 August 2014

  • RFC issued on servicer advance approach

    S&P is requesting comments on proposed changes to the methodology and assumptions it uses to rate US servicer advance securitisations. The criteria revisions aim to promote comparability in ratings across all sectors of the RMBS market.

    The proposed criteria would involve modifying the reimbursement curves between the single-B and triple-A rating categories to factor in changes to S&P's outlook in .......

    News Round-up 15 August 2014

  • RFC issued on RMBS update

    Moody's is requesting feedback on a proposed update to its approach to rating US prime RMBS. A new version of the MILAN model will be the main quantitative tool for the agency's collateral analysis under the proposal.

    Based on an extensive analysis of performance data and incorporating leading-edge statistical methods, Moody's says the new model supports a robust analysis of .......

    News Round-up 14 August 2014

  • Backing away

    Canadian government reducing RMBS role

    Private RMBS has traditionally only constituted a small part of Canadian residential mortgage funding. However, with the dominant government-backed RMBS programme being scaled back, the sector has room to grow.

    The majority of residential mortgage securitisation is conducted through the National Housing Act Mortgage-Backed Securities (NHA MBS) programme, which is sponsored by the Canada Mortgage and Housing Corporation (CMHC), a .......

    News Analysis 14 August 2014

  • Further capital charge reductions for Solvency 2

    Fitch reports that under the latest revisions to Solvency 2, capital charges for type 1 securitisation positions rated double-A, single-A and triple-B will be reduced by 29%, 46% and 41% respectively. The changes appear to be targeted at the issuance of securitisations backed by residential mortgages, consumer loans and particularly SME lending from southern European countries that cannot achieve triple-A .......

    News Round-up 14 August 2014

  • Euro markets unexpectedly busy

    Weakness in the broader financial markets brought volatility to the European ABS sector last week. An unseasonably high number of ABS bid-lists were observed, while activity is building in RMBS and the focus on CMBS has been on the unexpected postponement of a new issue.

    "The last week and a half has seen activity picking up strongly. It was quiet .......

    Market Reports 13 August 2014

  • RFC issued on single GSE security

    The FHFA has released a request for input on the proposed structure for a single security that would be issued and guaranteed by Fannie Mae or Freddie Mac. The initiative aims to improve the overall liquidity of GSE MBS by creating a single security that is eligible for trading in the to-be-announced (TBA) market.

    In particular, the FHFA is seeking .......

    News Round-up 13 August 2014

  • Rates impact weighed

    With FN 4.5s prices nearing their all-time highs, the US agency RMBS sector appears to be at a tipping point from a rates perspective. So far, mortgage production and refinancing concerns have remained well contained, but Morgan Stanley MBS strategists believe that market dynamics could change if rates rally by another 25bp.

    "Although any overall pick-up in refinancing activity is .......

    News 12 August 2014

  • RMBS activity centres on seniors

    It was a fairly quiet session across the board yesterday, although US non-agency RMBS bid-list supply did reach around US$131m. After some weakness for lower-rated legacy names last week, Interactive Data notes that dealer offering levels yesterday were mostly unchanged.

    SCI's PriceABS data picked up around 20 non-agency names out for the bid in yesterday's session. .......

    Market Reports 12 August 2014

  • BBVA distressed loans understated

    Fitch has downgraded 10 and affirmed three tranches from three BBVA RMBS deals, after it found that the volume of distressed loans in the underlying portfolios was understated in the regular reporting for the transactions. The notes were placed on rating watch negative in May, pending analysis of the information provided by the management company Europea de Titulizacion (EdT).

    The .......

    News Round-up 12 August 2014

  • RFC issued on RPL approach

    Fitch is inviting feedback on its approach for rating RMBS backed by re-performing loan (RPL) collateral. Under the proposed criteria, the agency expects to analyse the key risk drivers of the RPL asset class using its mortgage loan loss model and existing representation and warranty and due diligence review criteria. However, it notes that since the existing methodologies were developed .......

    News Round-up 12 August 2014

  • Association urges PLS support

    SIFMA has responded to a request for comment from the US Treasury on the development of a functioning private-label securities (PLS) market with a series of high-level suggestions. It has also responded to an RFC from the FHFA on GSE guarantee fees, including how they might impact PLS.

    SIFMA applauds the Treasury's efforts to boost PLS (SCI 1 July) and .......

    News Round-up 11 August 2014

  • SFIG proposal 'positive' for RMBS

    SFIG's proposal to increase standardisation and transparency in the US RMBS market (SCI 7 August) is a positive step forward for the industry, says Fitch. The agency believes the establishment of best practices that focus on aligning interests and increasing transparency can only improve market confidence and drive a more sustainable and scalable market.

    "Post-crisis RMBS remains a niche market, .......

    News Round-up 8 August 2014

  • Volatility weighs on hedge fund performance

    Aggregate hedge fund performance was negative at -0.35% in July, the industry's fourth down month of 2014, according to eVestment. The losses pushed year-to-date returns down to 2.62%, as Europe re-emerging as a source of instability, escalating tensions in eastern Ukraine and conflict in the Middle East all weighed on investor preference for risk assets.

    In particular, a sell-off in .......

    News Round-up 8 August 2014
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