RMBS

  • Hedge fund assets top US$3trn

    Total assets in hedge funds surpassed US$3trn for the first time in May, according to eVestment. The US$22bn of new capital added brings year-to-date flows to US$93.3bn, the largest five-month total to begin a year since 2007.

    Performance gains added US$37.8bn to total AUM for an estimated asset-weighted return of 1.28% in May. This compares to the 1% the industry .......

    News Round-up 3 July 2014

  • GSE risk-sharing delinquencies 'immaterial'

    One year after GSE risk-sharing RMBS deals were introduced to the market, delinquencies and defaults remain immaterial, according to Fitch. Loan repurchases due to issues identified through GSE quality control reviews have outnumbered non-performing credit events by more than two-to-one. All but one of the loans repurchased were performing at the time of the repurchase.

    "Though repurchases are outpacing credit .......

    News Round-up 2 July 2014

  • Italian servicers adapting to NPL increase

    S&P suggests that the recent rise in Italian non-performing loan volumes could create new growth opportunities for Italian loan servicers. The agency reports that the Italian servicers it ranks have positioned themselves well to be able to manage some of the NPLs that banks and financial institutions could either sell to investors or outsource the servicing.

    The volume of NPLs .......

    News Round-up 2 July 2014

  • PCS criteria revised

    Prime Collateralised Securities (PCS) has introduced the first substantial revision of its criteria in relation to high quality securitisations. The move is designed to raise the standard enshrined in the label, with a few criteria being softened or removed when they proved not to add anything to the quality represented by the label or when the market could demonstrate that .......

    News Round-up 2 July 2014

  • Treasury looks to boost PLS market

    US Treasury Secretary Jacob Lew last week outlined plans to expand access to credit by boosting the private-label securities market. A new financing partnership between the Treasury and HUD will also support the FHA's multifamily mortgage risk-sharing programme.

    The Treasury-led effort to catalyse the PLS market is part of encouraging securitisation as a way of shifting risk to investors in .......

    News Round-up 1 July 2014

  • MBS fraud sentence handed out

    David Higgs, a former md at Credit Suisse, has been sentenced in connection with a scheme to hide more than US$100m in MBS trading losses. He had previously pleaded guilty and agreed to cooperate with the government's investigation into the losses (SCI 17 April 2013).

    The bonds concerned were subprime RMBS and CMBS and contributed to Credit Suisse taking a .......

    Job Swaps 30 June 2014

  • US RMBS secondary activity stable

    US non-agency RMBS BWIC volume hit US$566m yesterday, slightly lower than the total for the prior session. Supply was mainly driven by 2005- and 2006-vintage subprime bonds.

    SCI's PriceABS data captured a range of names out for the bid in yesterday's session. Among them was a US$2.053m piece of the ACE 2004-HE4 M2 tranche, which was .......

    Market Reports 26 June 2014

  • Banks look to restructured assets

    Banks and other market participants are increasingly looking to securitise residential mortgage and SME loan portfolios materially exposed to refinanced or restructured assets in Europe, says Fitch. The variety of loan restructurings complicates the rating process and necessitates extra detail.

    The enquiries Fitch has received on potential deals mainly concern collateral in countries which have had sharp economic or housing .......

    News Round-up 26 June 2014

  • Peripheral possibilities

    Peripheral RMBS relative value explored

    The recently announced €1bn-plus Berica ABS 3 RMBS transaction has piqued investor interest in peripheral paper. Publically distributed Italian RMBS has been rare post-financial crisis, but it could offer compelling relative value.

    The peripheral European housing markets have emerged from the financial crisis in varying states of health. This is at least in part because of differing governmental approaches, but .......

    News Analysis 23 June 2014

  • Granite ratings upgraded

    Fitch has upgraded 78 tranches of the Granite Master Trust programme and three tranches of the Whinstone programme. All other tranches have been affirmed.

    Granite comprises five 'capitalist' issuers (Granite Mortgages 2003-2, 2003-3, 2004-1, 2004-2 and 2004-3) and nine 'socialist' issuers (Granite Master Issuer 2005-1, 2005-2, 2005-4, 2006-1, 2006-2, 2006-3, 2006-4, 2007-1 and 2007-2). Following the breach of the non-asset .......

    News Round-up 23 June 2014

  • Derivative actions filed against trustees

    A number of large institutional investors last week sued six RMBS trustees in New York state court for breaching their fiduciary duties and failing to force mortgage originators and RMBS issuers to repurchase defective loans. The trustees named include BNY Mellon, Citi, Deutsche Bank, HSBC, Wells Fargo and US Bank.

    The investors include BlackRock, PIMCO, Prudential and DZ Bank, according .......

    Job Swaps 23 June 2014

  • PLS suit settlement announced

    The FHFA has reached a US$99.5m settlement with RBS to resolve claims alleging RBS violated federal and state securities laws in connection with private-label mortgage-backed securities (PLS) that were purchased by Freddie Mac between 2005 and 2007. The FHFA has now reached settlements in 15 out of the 18 PLS lawsuits it filed in 2011 (SCI passim).

    .......

    Job Swaps 23 June 2014

  • Servicing pro appointed

    Krupali Mehta has joined Link Financial Group. She will lead the backup servicing team.

    Mehta specialises in the servicing and management of securitised transactions and most recently worked for Hatfield Philips, overseeing CMBS portfolios. She has also worked at Allied Irish Bank as a credit analyst.

    .......

    Job Swaps 23 June 2014

  • Tough times

    Recruitment quiet as markets squeezed

    The tone in structured finance recruitment on each side of the Atlantic is cautious at best. While hiring continues in both the US and Europe, it is limited and must be set against the backdrop of other large teams being closed down.

    Partially the issue is that markets are not providing the kind of opportunities that people had hoped for. .......

    News Analysis 20 June 2014

  • Credit unions set to securitise

    The US National Credit Union Administration Board unanimously approved five items at its sixth scheduled open meeting of 2014, two of which are related to securitisation and another to mortgage modifications. The Board proposed rules that would allow qualified institutions to securitise loans they have originated and create safe-harbour protection for certain securitised assets.

    Under the proposal, qualified federal credit .......

    News Round-up 20 June 2014

  • Manager boosts mortgage business

    BlueMountain Capital Management has appointed Bob Thomas and Jeff Picron to its mortgage group. The pair co-founded Induction Capital.

    Thomas was previously head of mortgage trading strategy at Goldman Sachs and also spent eight years at Citadel Investment Group. Picron was previously an independent quantitative consultant and worked on mortgage-related projects for Magnetar Capital and Citadel Investment Group.

    .......

    Job Swaps 19 June 2014

  • LMI claims indices rolled out

    Fitch has introduced new indices to monitor payment rates of claims submitted to lenders' mortgage insurance (LMI) providers across Australian prime RMBS. Losses that are not paid by the LMI may affect the transaction and RMBS investors, the agency says.

    Generally, 7% to 9% of Australian prime RMBS losses are not paid by LMI, according to Fitch. At end-March 2014, .......

    News Round-up 19 June 2014

  • Lack of trust?

    Aussie regulator not rushing master trusts

    Australian securitisation activity is on the rise but is not being helped by the attitude of the market's regulator. APRA appears to be dragging its heels on introducing master trusts and its cautious approach is attracting criticism.

    "It can appear as though APRA does not want master trusts to work in Australia. Unfortunately, it seems like this opposition - if .......

    News Analysis 19 June 2014

  • RMBS suit dismissed

    The Supreme Court of the State of New York last week dismissed a US$450m RMBS lawsuit against Goldman Sachs filed by a number of CDO issuers, including Phoenix Light SF, Blue Heron Funding and Kleros Preferred Funding V. The plaintiffs filed the action in July 2013, alleging that Goldman both misrepresented the quality of loans underlying the RMBS and failed .......

    Job Swaps 19 June 2014

  • Bid-list boosts RMBS supply

    US non-agency RMBS volume picked up yesterday to reach around US$788m, ahead of a US$647m bid-list scheduled to trade today. SCI's PriceABS data recorded a mix of bonds out for the bid during the session, including several single-family rental names.

    Adjustable rate - particularly senior Alt-A hybrid and option ARM - and subprime tranches drove most of yesterday's .......

    Market Reports 18 June 2014

  • Investors ignoring Scottish exit risk?

    Investors in the UK RMBS market appear to have largely ignored the potential risk of Scotland voting for independence from the UK. While Scotland is expected to vote to remain in the union, a number of fiscal powers could still be transferred to the Edinburgh parliament.

    This base-case scenario would have no impact on RMBS transaction cashflows or investor perceptions .......

    News 18 June 2014
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