RMBS

  • 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

  • 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
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