RMBS

  • 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

  • Peripheral price recovery diverging

    House prices in the worst-hit peripheral eurozone mortgage markets are beginning to recover, but at different paces, Fitch says. The Irish market is now past its trough, the Portuguese market has stabilised but remains fragile and the Spanish market is likely to reach its low point at around the start of 2015. The Italian and Greek markets - which fell .......

    News Round-up 6 June 2014

  • Foreign borrower adjustment raised

    The performance of Italian and foreign mortgage borrowers in Italian RMBS transactions has diverged to the point where default risk is over three times higher for non-Italians, Fitch reports. This is reflected in the agency's most recent update to its Italian RMBS criteria.

    Analysis of eight transactions with higher-than-average exposure to foreign borrowers shows that their default rates are on .......

    News Round-up 6 June 2014

  • RMBS lawsuits return to state courts

    A US federal court has granted a motion by several states to remand back to state court 17 lawsuits against S&P. The suits concern ratings of RMBS where the states allege that the rating agency misled their citizens by not disclosing conflicts of interest.

    The cases had been moved to federal court and consolidated. However, a Lowenstein Sandler memo notes .......

    Job Swaps 6 June 2014

  • Manager adds RMBS team

    Alternative investment manager GAM has purchased specialist US RMBS business Singleterry Mansley Asset Management. Gary Singleterry and Tom Mansley, along with their investment team, are expected to join GAM this month.

    Singleterry Mansley Asset Management specialises in evaluating RMBS based on an analysis of macroeconomics, yield curves and underlying collateral structures. The acquisition expands GAM's capabilities with a distinct new .......

    Job Swaps 6 June 2014

  • Spanish ceiling raised

    S&P has raised its credit ratings on 62 tranches in 48 Spanish securitisations. The move follows the lifting of its long- and short-term sovereign ratings on the Kingdom of Spain to BBB/A-2 (outlook stable) from BBB-/A-3, in light of improving economic conditions in the country.

    Specifically, S&P has raised by a notch its ratings on: 34 tranches in 27 RMBS; .......

    News Round-up 6 June 2014

  • AHML changes 'credit neutral'

    The Russian Ministry of Finance's proposed changes to the Agency for Housing Mortgage Lending's (AHML) business profile would be credit neutral for outstanding RMBS transactions, according to Moody's. This assumes that the changes will not affect the roles performed by AHML in existing deals.

    A discontinuation of AHML's support of the mortgage market could reduce the number of mortgage securitisations .......

    News Round-up 6 June 2014

  • Purchased portfolio approach outlined

    Fitch says that alignment of interest, representations and warranties and the quality of portfolio information are the key areas of focus when analysing RMBS backed by purchased portfolios. Such transactions - including Thrones 2013-1, Rochester Financing No. 1 and Cartesian Residential Mortgages No. 1 - have emerged in the UK and the Netherlands over the last year.

    These portfolios can .......

    News Round-up 5 June 2014

  • German housing 'more liquid'

    The price discounts seen when residential property is sold following foreclosure in Germany has fallen in recent years, suggesting that the country's housing market has become more liquid, Fitch notes. This is reflected in the agency's recent update to its German RMBS criteria, in which the quick sale adjustment (QSA) assumption has been lowered to 40% from 43%, reflecting the .......

    News Round-up 5 June 2014

  • Data partnership to boost transparency

    The European DataWarehouse (ED) and 1010data have signed a partnership agreement under which the ED will make its data available on the 1010data platform. This will include over 30 million loans in 800 RMBS, CMBS, auto, consumer finance, leasing and credit card ABS deals.

    The partnership will help to distribute loan-level data more quickly and easily to investors, with 1010data's .......

    Job Swaps 5 June 2014

  • Remarketing feature to replace calls?

    Credit Foncier de France's €907m CFHL-1 2014 prime RMBS - which closed last month (see SCI's primary issuance database) - is noteworthy as the first public French RMBS since the financial crisis and because it was fully placed, with an innovative structure aimed at achieving significant risk transfer (SCI 1 May). In particular, the €376m class A2 tranche .......

    News 5 June 2014

  • Servicer analytics offered

    BlackBox Logic has released a new loan-level RMBS performance dataset, dubbed BBx Premium Non-Agency RMBS, which aims to allow users to more effectively analyse servicer behaviour in the private label security market. Key features of the offering include: estimated forbearance values and confidence levels; modification flags, amounts and percentages broken into capital, balance reduction and rate modification categories; and total .......

    News Round-up 4 June 2014

  • ResCap proceeds materialise

    An estimated third of affected RFC/GMAC RMBS deals saw settlement proceeds of US$17.65 per unit from the ResCap Liquidating Trust flow through to bondholders during the May remittance period. Some trusts expecting distributions are yet to receive proceeds, possibly due in part to the lack of clarity around how to handle subsequent recoveries, with trustees seeking advice on how to .......

    News Round-up 3 June 2014

  • Canadian private-label RMBS discussed

    A number of changes have been made to Canada's housing finance system over the last few years, but how they might influence mortgage lender financing strategies and borrower behaviour in the medium- to long-term remains unclear. Given the potential for a private-label RMBS market to emerge in the country, S&P notes that there are some unique features to consider when .......

    News Round-up 2 June 2014
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