RMBS

  • 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

  • Russian framework 'credit positive'

    The new Russian structured finance legislative platform is credit positive for the country's securitisation market, says Moody's. The agency notes that the new framework contains the key elements required for a broad range of securitisation and project finance structures and will provide onshore alternatives to securitisation transactions that were previously possible only via offshore issuing vehicles.

    "The new legislation limits .......

    News Round-up 18 June 2014

  • Compression trades

    European ABS relative value discussed

    Spread compression has made identifying relative value in the European ABS market more difficult. However, panellists participating in IMN's Global ABS research analyst roundtable agreed that opportunities remain in certain peripheral RMBS, UK non-conforming RMBS and CMBS bonds.

    Shammi Malik, head of European ABS trading at Stormharbour, noted that the compression trade has gained such momentum that from a relative .......

    News Analysis 17 June 2014

  • Bank settlements delayed further

    The deadline for acceptance under the proposed JPMorgan rep and warranty settlement has been extended to 1 August to allow the trustees to complete their evaluations of the proposed settlement. At the same time, oral arguments under the motion to reargue that was filed by objectors to the Countrywide rep and warranty settlement have been adjourned from 9 July to .......

    News Round-up 17 June 2014

  • RMBS methodology released

    Morningstar Credit Ratings has published a new methodology for US RMBS ratings. In addition to prime jumbo, alternative-A and subprime RMBS, the methodology covers agency risk-sharing securities and securities backed by non-qualified mortgages, non-performing loans and re-performing loans.

    The agency says that the rating methodology has been developed to be forward-looking, yet incorporate the lessons learned in differing economic circumstances. .......

    News Round-up 16 June 2014

  • State law RMBS claims continue

    A federal judge has ruled in New York that the NCUA can proceed with its state law claims against UBS Securities in one of several actions it filed as liquidating agent of Southwest Corporate Federal Credit Union and Members United Corporate Federal Credit Union, according to a Lowenstein Sandler memo. The actions are related to RMBS purchases (SCI 25 September .......

    Job Swaps 16 June 2014

  • Risk management firm adds RMBS vet

    RiskSpan has appointed Kathy Kelbaugh as md. She is based in Philadelphia.

    Kelbaugh was most recently vp at Moody's, where she focused on private label RMBS. She has also worked at GMAC, Ultraprise Corporation, GE Capital Mortgage Services, PHH Mortgage Corporation and PSFS.

    .......

    Job Swaps 16 June 2014

  • Large RMBS lists lined up

    A large US$1bn US non-agency RMBS bid-list was announced yesterday and due to trade today. The list contains 24 line items, with a significant amount of subprime paper.

    The remaining paper is understood to be split evenly between Alt-A hybrid and pay option ARM paper and Interactive Data notes that all bonds are senior in the capital structure. Another US$900m .......

    Market Reports 11 June 2014

  • Record low prepays increase risk

    US prime jumbo RMBS issued since the start of 2010 should not see a meaningful increase in prepayments even if interest rates stay low, says Fitch. The resulting increased average life of the mortgages in these trusts will increase the period of default risk.

    Average annualised prepayment rates for recent RMBS remained around 5% in May despite the recent decline .......

    News Round-up 11 June 2014

  • Housing equity performance charted

    DBRS has launched a new report monitoring housing equity within European RMBS transactions, based on loan-level data from the European DataWarehouse (ED). The report helps to illuminate the impact of house price movements on RMBS.

    While house prices change regularly, valuations within RMBS transactions do not. The first report focuses on Ireland, Spain, Portugal and Italy.

    It finds that Irish .......

    News Round-up 11 June 2014

  • Delinquency measure 'inconsistent'

    While most market participants use 90-plus days delinquencies as a measure of RMBS asset performance analysis, it is a measure with several drawbacks, says DBRS. The firm believes there are inconsistencies in the delinquency measure's calculation method at both a loan and portfolio level.

    There are issues at the loan level, where arrears are based on current monthly instalments, but .......

    News Round-up 11 June 2014

  • RMBS tool data enhanced

    Fitch has added UK data to its RMBS Compare tool, which allows cross-country comparison of mortgage performance drivers. Other European countries will be included in the coming months, while Spain, the Netherlands, Greece and Ireland are already included.

    RMBS Compare users can track the performance of loans in individual portfolios and from particular originators. It can be used to monitor .......

    News Round-up 11 June 2014

  • RFC issued on NPLs

    Moody's is seeking feedback on its proposed approach to rating securitisations backed by non-performing loans (NPLs). The agency proposes to not only consolidate its two existing NPL methodologies, but also to expand the scope of its methodology to address concentrated commercial real estate NPLs and revolving pools. It may apply haircuts to base-case cashflows to derive the final model outputs, .......

    News Round-up 10 June 2014

  • Widespread improvement seen for UK RMBS

    Fitch says that UK RMBS performance improved across the board as the volume of loans in arrears by three months or more decreased from their peak during the crisis. This is one of the findings in the agency's new report, 'Mortgage Market Index - UK'.

    "This improved performance is largely due to prevailing low interest rates, combined with recent improvements .......

    News Round-up 10 June 2014

  • Post-crisis late-pays examined

    The highest delinquency to date of any post-crisis US RMBS pool emerged last month, due to a transfer of servicing. However, it does not point to more widespread post-crisis late-pays, according to Fitch in its latest monthly prime jumbo trends report.

    Sequoia 2014-1 reported that 3.37% of borrowers were behind on their payment in May. All of the delinquent mortgage .......

    News Round-up 10 June 2014

  • Data added to RMBS analytics platform

    BlackBox Logic's loan-level non-agency RMBS database is now available on Thetica Systems' cloud platform. The bundled solution will offer market participants powerful data and analytics without having to manage such a large amount of information.

    Thetica's platform offers a high-speed analytics module which can run bonds simultaneously under various scenarios, including different pricing and regional metrics. This has now been .......

    Job Swaps 10 June 2014

  • Analytics service enhanced

    Lewtan has released an enhanced version of its structuring and analytics platform, ABSNet Modeler, which is geared to all sectors of the new issue securitisation market. The enhancements consist of updated rating agency liability model criteria for CLOs (Moody's, Fitch and S&P), with the inclusion of multiple matrix point inputs.

    In addition, the deterministic loan and global level assumptions now .......

    News Round-up 9 June 2014

  • Technology driving servicer ratings

    Technology was the main driver of changes in servicer ratings across the EMEA structured finance market last year, reflecting its status as an increasingly important component of a servicer's capability, Fitch says. Of the agency's key rating drivers in the segment, technology was cited in 22 rating actions - 19 positive and three negative - in 2013.

    Risk management/governance contributed .......

    News Round-up 9 June 2014

  • AOFM unloads bonds

    The Australian Office of Financial Management (AOFM) last week sold four of the RMBS bonds it holds, with a total amortised face value of A$341m. The agency says it is disclosing the details of the transactions in the interests of secondary market transparency.

    The securities sold comprise: A$75.5m Pinnacle 2010-1 class A2 notes (original face value was A$96.5m); A$37.4m GBS .......

    News Round-up 9 June 2014

  • RFC issued on g-fees

    The FHFA has released a request for input on GSE guarantee fee policy and implementation. Among the areas the agency is seeking comments on are: alternatives to risk-based pricing; the effect of increasing g-fees based on credit scores/LTVs; g-fee levels that would improve private-label RMBS economics; and the effect on loan originations, should g-fees increase.

    Wells Fargo RMBS analysts believe .......

    News Round-up 9 June 2014

  • MSR transfer expectations revised

    Addressing new regulations and internal and external controls remains the theme for US residential mortgage servicers in 2014, S&P suggests. The agency says that these companies have been focusing on compliance with Consumer Financial Protection Bureau (CFPB) rules that went into effect on 10 January, which aim to provide better disclosure to consumers of their mortgage loan obligations and to .......

    News Round-up 6 June 2014
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