RMBS

  • 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

  • Japanese credit quality correlations examined

    Japanese structured finance credit performance and fundamentals have generally remained stable for the past couple of years. However, transaction-specific risks and certain macroeconomic elements remain key factors with the greatest potential to undermine this stability, according to S&P.

    The agency says the top-five macroeconomic factors that have been leading indicators of the credit quality of Japanese structured finance deals in .......

    News Round-up 8 August 2014

  • RMBS 3.0 green paper released

    SFIG has published the first edition of its RMBS 3.0 Green Paper series, a series of papers aimed at restoring confidence in the private label RMBS market. The papers are a product of SFIG's RMBS 3.0 initiative - a broad industry-supported endeavour designed to develop proposed standards and reduce substantive differences within current market practices.

    The Green Papers are preliminary .......

    News Round-up 7 August 2014

  • Re-REMIC return?

    Demand for round-lots driving re-REMIC up-tick

    US re-REMIC volumes picked up considerably over the first half of the year and activity in the sector looks set to continue. In turn, the increased issuance is boosting demand for legacy non-agency RMBS bonds that can be absorbed into new transactions.

    At US$1.67bn, June saw the highest monthly re-REMIC issuance so far this year. Volumes were low to start .......

    News Analysis 7 August 2014

  • Euro RMBS activity up sharply

    It was a busy session for the European RMBS market yesterday as SCI's PriceABS data captured more than 60 unique European RMBS bonds out for the bid. Covers were recorded for tranches across the length of the capital structure.

    Among the names circulating on yesterday's bid-lists was FEMO 1 A1, which was talked at low-98, the 98 area .......

    Market Reports 6 August 2014

  • APAC downgrade rate trends higher

    Moody's reports that in 2013 the 12-month downgrade rate for its Asia-Pacific (ex-Japan) structured finance portfolio trended higher on a year-on-year basis, rising from 4.2% to17.5%. Over the same period, the 12-month upgrade rate increased slightly from 0.7% to 1.7%.

    The average notches per downgraded issuer rose to 6.2 notches, more than double the 2.5 notches observed in 2012. The .......

    News Round-up 6 August 2014

  • Fed launches mortgage pilot

    The New York Fed has launched a Mortgage Operations Counterparty (MOC) Pilot Program for counterparties in agency MBS operations. The objective of the programme is to explore ways to broaden access to open market operations and gain further experience in dealing with a wider range of firms.

    The move follows the conclusion of the Fed's Treasury Operations Counterparty (TOC) Pilot .......

    News Round-up 6 August 2014

  • Accounting to drive tender activity

    European securitisation analysts at Citi suggest that only securitisations that are consolidated on bank balance sheets are likely to be tendered going forward because the originator will not recognise any accounting gain from the buyback of bonds issued by deconsolidated entities. The implementation of IFRS 10 could prompt more originators to reassess their control over SPVs and may lead to .......

    News 5 August 2014

  • RMBS buyouts eyed

    Ocwen Financial disclosed in its Q2 EPS reporting that it plans to invest in RMBS buyouts for loans that it services beginning in 3Q14, which is expected to generate returns that meet the servicer's 25% hurdle rate. The firm is also set to exercise servicer clean-up calls, as it owns the call rights to deals totalling an estimated US$150bn-US$200bn.

    Excluding .......

    News Round-up 5 August 2014

  • Most trustees accept JPM settlement

    Trustees for most of the deals covered by JPMorgan's recent settlement offer (SCI 29 July) have accepted the modified proposed settlement agreement. Trustees for 27 trusts and loan groups negotiated to extend their acceptance deadline, while six rejected the settlement.

    The modified proposal allows for RMBS trustees to accept or reject the settlement based on an individual loan group level .......

    Job Swaps 5 August 2014

  • Credit benefits

    Reach for yield outweighs macroeconomic concerns

    The US credit markets enjoyed a positive first half, with some sectors seeing returns in the high single-digits due to consistent spread tightening and rate compression. The strongest performing segments were those with exposure to interest rate duration.

    "Credit has benefited from several helpful trends: accommodative central bank policy, low default rates and benign treasury rates," confirms Chris Acito, ceo .......

    News Analysis 5 August 2014

  • Greek sovereign ceiling raised

    Moody's has raised the maximum achievable rating for Greek structured finance transactions to Ba3 from B3, after it upgraded Greece's government bond rating to Caa1 from Caa3 and the local and foreign currency bond and deposit ceilings to Ba3 from B3. The agency says the move reflects the country's reduced economic, legal and political risks.

    Specifically, Moody's notes that the .......

    News Round-up 4 August 2014

  • Bank fined for mortgages 'hustle'

    A US federal judge last week ordered Bank of America to pay US$1.27bn for Countrywide's role in the sale of risky mortgages to the GSEs during the financial crisis. The loans were sold through a programme known as 'the hustle' from August 2007 to May 2008, for which the bank was found liable for fraud last year (SCI 28 October .......

    Job Swaps 4 August 2014

  • UK NC RMBS performance supported

    Moody's expects improving macroeconomic drivers and credit conditions in the UK, combined with low domestic interest rates, to boost UK non-conforming RMBS performance. However, the rating agency acknowledges that high household indebtedness could pose some risks to continued positive performance.

    "Inflationary pressures on living costs will likely ease because of stronger forecast GDP growth. These costs typically affect more vulnerable .......

    News Round-up 1 August 2014

  • PSBC breaks Chinese RMBS drought

    Postal Savings Bank of China last week launched a CNY6.8bn RMBS, the first Chinese RMBS since 2007. SFIG notes that the move is designed to facilitate central government support for the faltering housing market, which saw sales drop by 9.2% during 1H14 and prices fall in 70 cities in June for the second straight month.

    The transaction comprised three tranches: .......

    News Round-up 31 July 2014

  • Methodology guidelines finalised

    Scope Ratings has finalised its methodology guidelines for rating and monitoring structured finance instruments, taking into account market comments and other feedback following the publication of a draft proposal. These guidelines provide the general framework for the development of in-depth methodologies. Scope plans to issue subsequent addenda to these guidelines in order to define its specific assumptions for rating structured .......

    News Round-up 31 July 2014

  • Experts endorse settlement

    Independent experts consulted by RMBS trustees on the adequacy of JPMorgan's proposed settlement have made their recommendations public. Barclays Capital RMBS analysts note that the experts' opinions generally support accepting the settlement for a majority of deals.

    The cash payout as a ratio of expected lifetime losses in the JPMorgan settlement is significantly lower than was offered in other settlements .......

    News 29 July 2014

  • ABX severities to remain high

    Losses on the subprime RMBS pools backing the Markit ABX indices will not decline materially over the remaining lives of the deals, even though home prices continue to rise, according to Moody's latest ResiLandscape publication. The agency says that home prices are not climbing fast enough to offset the advance costs and other expenses that servicers will recoup when they .......

    News Round-up 29 July 2014

  • Servicer transfer practices examined

    A recent Moody's analysis shows that although the servicing transfer practices of Ocwen and Nationstar can disrupt cashflows through large volumes of modifications, the servicers have generally maintained consistent post-acquisition cash collections on their acquired subprime loans. Data from the rating agency's Servicer Dashboard publication also reveals that Ocwen and Nationstar have offset declining cashflows from short sales and liquidations .......

    News Round-up 29 July 2014

  • Court may boost super senior payments

    A pending court case could see the super senior certificate holders in MASTR Adjustable Rate Mortgages Trust (MARM) 2007-3 receive larger payments than a strict reading of the payment waterfall would allow, says Moody's in its latest ResiLandscape publication. The court case was filed last year to resolve a dispute between the super senior holders and Assured Guaranty Municipal Corp, .......

    News Round-up 29 July 2014

  • Settlement revisions 'RMBS positive'

    Revised settlement terms under Ambac Assurance Corp's rehabilitation plan are positive for the insured bondholders in 250 RMBS transactions, says Moody's in its latest ResiLandscape publication. The revisions will provide bondholders with higher cash payouts on their claims than had previously been allowed.

    The firm's rehabilitation plan became effective on 12 June. The revised settlement also applies uniform claim terms .......

    News Round-up 29 July 2014
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