RMBS

  • Hedge fund AUM hits highs

    Investors allocated heavily into hedge funds in April, the third consecutive month of elevated inflows, according to eVestment. The US$17.9bn of new capital added offset the slight asset-weighted performance declines and pushed the industry's AUM to an all-time high of US$2.94trn.

    Credit fund flows were positive but near flat for the second consecutive month, albeit AUM remains at an all-time .......

    News Round-up 15 May 2014

  • Mortgage trading platform launched

    Third-party mortgage administration firm HML has launched the Asset Trading Solutions service, which is aimed at investors that are looking to acquire, manage or sell a performing or distressed mortgage portfolio and maximise its value. The platform supports the entire process of asset trading - from sourcing assets and analysing any associated risks to migrating portfolios and servicing customers effectively .......

    News Round-up 15 May 2014

  • Multi-borrower SFR concerns outlined

    Credit concerns related to single-family rental (SFR) securitisations backed by loans to multiple borrowers will differ in several important respects from the single-borrower SFR transactions that have recently been issued, according to Moody's. Such deals - especially when backed by loans to many small borrowers, each of which owns only a few properties - will likely exhibit less default volatility .......

    News Round-up 15 May 2014

  • Tightening seen in risk-sharing bonds

    CAS and STACR spreads continued to grind tighter last week, with M2 classes hovering at 225bp-250bp and STACR M3s reaching new tights, coming in by about 20bp-25bp to 288bp-291bp. All classes from the risk-sharing RMBS are now trading above par and some earlier M2 classes are trading at significant premiums.

    Secondary trading volumes of risk-sharing bonds rose by 60% month-on-month .......

    News Round-up 14 May 2014

  • Portuguese sovereign ceiling lifted

    Moody's has upgraded Portugal's government bond rating to Ba2 from Ba3 and placed the rating on review for possible further upgrade. Concurrently, it raised the country's local and foreign currency bond and deposit ceilings to Baa1 from Baa3 to reflect the country's reduced economic, legal and political risks.

    Consequently, the maximum achievable rating for Portuguese structured finance rated transactions has .......

    News Round-up 14 May 2014

  • FHA expands access to credit

    The FHA has released its 'Blueprint for Access', designed to expand access to credit for underserved borrowers. The move is being seen as a further effort to loosen the current tight mortgage underwriting standards (SCI 13 May).

    Under the latest measures, MIP requirements for FHA purchase borrowers that undergo housing counselling will be reduced. The changes include a 50bp reduction .......

    News Round-up 14 May 2014

  • RMBS fraud action dismissed

    A New York state court last week dismissed a fraud action filed by MBIA Insurance against JPMorgan. The suit was filed in 2012 in connection with a US$1.2bn RMBS - GMACM Home Equity Loan Trust 2006-HE4.

    MBIA alleges that it was fraudulently induced by Bear Stearns to issue an insurance policy for the transaction, which went on to sustain US$168m .......

    Job Swaps 14 May 2014

  • Incremental changes for the GSEs

    The FHFA has released its 2014 strategic plan for the conservatorship of and the scorecard for the GSEs. Many of the changes are seen as incremental in nature compared with previous strategic plans.

    Under the scorecard, the FHFA has set a US$90bn target for risk transfer in 2014 and each enterprise must utilise at least one transaction type in addition .......

    News Round-up 14 May 2014

  • Bid-list boost for US RMBS

    US non-agency RMBS BWIC volume reached US$716m in yesterday's session as supply was up across all product types. Most of the supply came from senior and mezzanine subprime floaters but there was also interest in senior Alt-A current-pays and senior option ARMs.

    SCI's PriceABS data shows supply concentrated in 2005-2007 vintage names. However, there were also .......

    Market Reports 14 May 2014

  • Switch sense

    Non-conforming pay-down triggers anticipated

    UK non-conforming RMBS continues to outperform US subprime RMBS and several deals are now approaching their pay-down switch triggers. Anticipating the switch is a key factor in deciding where and when to invest.

    "Investors have not really suffered losses. There have been reserve fund draws in deals, but performance has been stable and it is improving," says Steve Rogers, director .......

    News Analysis 13 May 2014

  • GSE guidelines loosened

    The GSEs have updated their representation and warranty guidelines, effective for mortgages settled on or after 1 July 2014. The changes are anticipated to increase the number of loans eligible for rep and warranty relief, but no substantial changes appear to have been made to the relief provided.

    "On balance, these changes point to an incremental loosening of the credit .......

    News Round-up 13 May 2014

  • Aussie reporting requirements enhanced

    The Reserve Bank of Australia (RBA) has published updated and more detailed information on how its new reporting requirements for repo-eligible ABS will be implemented. In particular, all data for each securitisation must now be provided on a monthly basis, no later than seven calendar days after an issuer's specified coupon payment date and the equivalent monthly anniversary in non-coupon-payment .......

    News Round-up 13 May 2014

  • RMBS market vet recruited

    Cello Capital Management has appointed Nicholas Letica as md and senior portfolio manager. He has 27 years of RMBS experience and has previously worked at Bear Stearns, Deutsche Bank, HSBC and Bankers Trust.

    .......

    Job Swaps 12 May 2014

  • Radian buys to boost RMBS capabilities

    Radian Group is set to boost its RMBS capabilities by purchasing Clayton Holdings. The acquisition is expected to close in the summer, after which Clayton will become a Radian Group subsidiary.

    Radian will pay US$305m to purchase all of the outstanding equity interests in the mortgage solutions provider. The figure includes repayment of Clayton's outstanding debt.

    .......

    Job Swaps 12 May 2014

  • Liquidity rules could 'hurt demand'

    S&P says that upcoming rules governing bank liquidity could hurt demand for European securitisations. The agency also notes that the treatment of securitisations is less favourable than that of some other debt securities, such as covered bonds and corporate bonds, which could significantly reduce banks' incentives to hold securitisation tranches.

    "Historically, banks have been one of the largest investor constituencies .......

    News Round-up 9 May 2014

  • Positive post-crisis performance continues

    Post-crisis US RMBS collateral is performing well, according to Fitch's latest prime jumbo RMBS trends report. However, the agency notes that the pace of new issuance this year remains scarce, with no near-term change likely.

    Fitch calculates that 48 prime RMBS deals have come to market since 2010, though only five have been completed in 2014. "The still-dominant presence of .......

    News Round-up 9 May 2014

  • Aussie credit risk highlighted

    Fitch says that APRA's recently released discussion paper, 'Simplifying the prudential approach to securitisation' (SCI 29 April), may affect RMBS transaction structures and credit risk profiles in the future. In particular, the agency suggests that the proposed APRA requirement for a two-class structure will leave the current triple-A rated AB note orphaned, requiring it to be either merged into the .......

    News Round-up 9 May 2014

  • Credit drives hedge fund returns

    Hedge fund performance was positive in April, rebounding from its decline in March, according to eVestment. Returns rose by 0.16% during the month and are up by 1.35% year-to-date, on pace for an annualised return of only 4.12%.

    Credit strategies appear to have benefited from a decline in rate markets since the beginning of 2014 and are now the best-producing .......

    News Round-up 8 May 2014

  • QM amendments considered

    The Consumer Financial Protection Bureau (CFPB) is proposing several changes to the qualified mortgage (QM) rule, which it is hoped will allow more loans to meet the definition. Specifically, the proposals provide more flexibility for loans to meet QM status, despite its cap on points and fees and its restrictions on debt-to-income ratios.

    Additionally, the CFPB plans to allow more .......

    News Round-up 8 May 2014

  • 'Type 1' capital charges lowered

    EIOPA has updated its technical specifications for the Solvency II preparatory phase. The proposal includes lower capital charges for Type 1 securitisations.

    Proposed capital charges for triple-A, double-A, single-A and triple-B rated Type 1 bonds now stand at 2.1%, 4.2%, 7.4% and 8.5% per year of duration respectively. Type 1 securitisations are defined as those backed by residential mortgage loans, .......

    News Round-up 8 May 2014

  • Additional settlement proceeds projected

    US RMBS investors could receive an estimated US$11.5bn-US$24.2bn in additional proceeds, if other rep and warranty settlements are announced with similar payments to the recent Gibbs & Bruns agreements with Citi and JPMorgan (SCI 24 April). To quantify the potential universe of settlement payments remaining, Bank of America Merrill Lynch RMBS analysts have calculated cumulative collateral loss and settlement projections .......

    News 8 May 2014
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