RMBS

  • US RMBS stays subdued

    The US RMBS secondary market was quiet once again yesterday as bid-list volume dipped to around US$335m. SCI's PriceABS data recorded a number of DNTs for the session, although a number of successful covers were also seen.

    Supply was up slightly for fixed-rate and hybrid bonds, with the focus for each segment on senior current-pays. Subprime supply was .......

    Market Reports 11 April 2014

  • Japanese credit quality improving

    S&P reports that it raised 9.41% of its outstanding ratings on Japanese structured finance securities in 2013, exceeding its downgrade rate of 5.1% for the year. The ratio of upgrades to downgrades stood at 1.85 in 2013.

    The downgrade rate had consistently exceeded the upgrade rate from 2008 through 2010, but that pattern reversed in 2011 and continued to improve .......

    News Round-up 9 April 2014

  • MBS funds lead returns

    Hedge fund performance was negative in March - returning -0.11% for the month and 1.22% for the quarter - but credit exposures remained a bright spot, according to eVestment. Credit funds were up by 0.59% last month and by 2.22% for Q1.

    MBS-focused funds were a leading sub-sector of the industry in March and Q1, returning 1.11% and 3.37% during .......

    News Round-up 9 April 2014

  • Reclassifications unlikely to impact ratings

    In its role as trustee, US Bank recently reclassified approximately US$500m in forbearance modifications as principal losses, causing a spike in cumulative losses for certain US RMBS in the March remittance period. S&P says it does not anticipate these reclassified losses to materially impact the ratings on the affected bonds, however.

    Cumulative losses on the affected deals slightly more than .......

    News Round-up 8 April 2014

  • Citi agrees to settle RMBS claims

    A group of 18 institutional investors has reached an agreement with Citigroup under which it will make a binding offer to the trustees of 68 RMBS trusts issued by Citi to settle mortgage repurchase claims. The investors support the agreement and have asked the trustees to accept it.

    The offer includes a payment of US$1.125bn in cash to the trusts, .......

    Job Swaps 8 April 2014

  • Scrutinising servicing

    Mortgage servicers in the cross hairs

    Investors and regulators have both started to fix mortgage servicers in their sights. A fresh wave of litigation could follow, while the effects are already being felt in the secondary market.

    Investors have previously taken R&W-related legal action against banks and now they are scrutinising the actions of servicers. Certain practices and loan modifications by those servicers may have affected .......

    News Analysis 8 April 2014

  • Servicer advance approach revisited

    S&P has published an advance notice of proposed criteria change concerning US RMBS transactions secured by servicer advance receivables. The agency is proposing to revise its methodology for rating such transactions to clarify the cashflow scenario assumptions and promote transparency in advance rate calculations.

    Separately, S&P has placed 96 ratings from 20 US RMBS servicer advance transactions on credit watch .......

    News Round-up 7 April 2014

  • US RMBS supply rises

    US non-agency RMBS secondary market activity continued to build yesterday. BWIC volume reached around US$850m and SCI's PriceABS data shows raised supply across fixed-rates, hybrids and subprime.

    The oldest-vintage tranche captured in yesterday's session was WFMBS 2003-J 2A1. The tranche traded yesterday but had only previously appeared in the PriceABS archive in November 2012, when it .......

    Market Reports 4 April 2014

  • Agency launches RMBS tool

    Fitch has launched RMBS Compare, an Excel tool providing access to the rating agency's European RMBS surveillance and index data. Analysts can use it to compare key transaction characteristics with others in the sector as well as averages for product type, vintage and originator.

    The tool allows users to review European RMBS transaction performance and compare it to Fitch's benchmark .......

    Job Swaps 4 April 2014

  • Russian notes placed on review

    Moody's has placed the senior notes of AHML 2013-1 under review for possible downgrade. The action follows the senior unsecured debt rating of the Agency for Housing Mortgage Lending (AHML) OJSC being put on review for downgrade earlier in the week.

    The RUB8.916bn class A1 notes and RUB4.978bn class A2 notes, both rated Baa1 have been placed under review. Both .......

    News Round-up 4 April 2014

  • RBS to execute on Granite deeds

    Moody's says the execution of deeds of undertaking by swap provider RBS relating to swap agreements between Granite Mortgages 2003-2, 2004-1 and 2004-2 and RBS will not result in a reduction or withdrawal of the notes' ratings. RBS has chosen not to transfer the swap or obtain a guarantee.

    Moody's downgraded the long term senior unsecured rating of RBS last .......

    News Round-up 4 April 2014

  • Extraordinary expenses affect assumptions

    The treatment of extraordinary expenses in US RMBS transactions could affect cashflow patterns and credit enhancement, says Fitch. The agency has compared differences in structural treatments of extraordinary expenses with those that allow such expenses to potentially reduce principal distributions subject to higher credit enhancement.

    Extraordinary expenses can arise from a variety of sources but are expected to be infrequent. .......

    News Round-up 4 April 2014

  • Subprime voluntary prepays analysed

    Moody's estimates in its latest ResiLandscape publication that voluntary prepayments, as measured by the 12-month constant prepayment rate (CPR), on 2005-2007 vintage subprime RMBS will increase by approximately 18% in 2014 to about 2.6% from 2.2% in 2013. Rising home prices will lower more borrowers' LTVs to levels at which lenders are more likely to offer refinancing. The balance of .......

    News Round-up 3 April 2014

  • Portuguese paper tendered

    Banco BPI has launched a tender offer for 10 bonds across its Douro Mortgages No. 1, 2 and 3 RMBS. The amount outstanding is €1.85bn.

    According to RBS figures, the minimum indicative prices for the class A notes being tendered range between 85-88. The price ranges for the class B, C and D notes are 73-76, 67-73 and 63-70 respectively.

    News Round-up 3 April 2014

  • Spring in the step

    The European RMBS market has been consistently busy in recent weeks. This healthy level of activity has fuelled a rally in Dutch bonds in particular.

    "The first quarter of the year has seen a big rally for the Dutch market and secondary spreads are evidence of that. The strong tightening on Cartesian Residential Mortgage 1 shows that investors are still .......

    Market Reports 3 April 2014

  • SF lawyer on the move

    Kaye Scholer has appointed Lawton Camp as a finance partner in its New York office. He joins the firm from Allen & Overy.

    Camp specialises in structured finance and securitisation, including CDOs, CLOs, ABS, ILS, RMBS and CMBS. He has two decades of industry experience and worked at Orrick, Herrington & Sutcliffe before joining Allen & Overy.

    .......

    Job Swaps 3 April 2014

  • NC RMBS 'resilient' to rate hikes

    The low interest rate environment post-2009 has benefitted non-conforming mortgage borrowers. A new Moody's analysis suggests that this market segment will be resilient to the moderate interest rate rises that the rating agency forecasts.

    "Our model predicts that a cumulative interest rate increase of 1% - which we do not expect until 1Q16 - will only lead to a 0.9% .......

    News Round-up 2 April 2014

  • Judicial discrepancies affect severities

    Home prices in the US may be going up, but so are loss severities. A marked difference in severities is emerging between judicial and non-judicial states, while several factors are also driving differences within judicial states.

    Severities are higher in judicial states, with differing foreclosure timelines and substantial home price appreciation creating a divide that continues to grow, according to .......

    News 2 April 2014

  • FedTrade to gain traction

    The New York Fed on 9 April is set to increase the use of its proprietary trading platform FedTrade to conduct agency MBS purchases. The move follows a series of small value agency MBS purchase and sale operations undertaken on the platform (SCI 21 November 2013).

    The FedTrade platform allows the Fed to conduct large-scale operations with all of its .......

    News Round-up 2 April 2014

  • RMBS upgrade triggered

    S&P has raised to double-A its ratings on 177 classes of notes from 108 US RMBS, following the 18 March raising of its financial strength ratings on Assured Guaranty Corp, Assured Guaranty Municipal Corp, Assured Guaranty Re and Municipal Assurance Corp to double-A from double-A minus. The outlook on each company is stable. The underlying collateral for the affected transactions .......

    News Round-up 1 April 2014

  • ABS supply leaves MBS trailing

    Healthy US ABS secondary market activity yesterday contrasted sharply with the non-agency RMBS and CMBS segments, where bid-list volumes were muted. SCI's PriceABS data shows that supply was dominated by auto, equipment and student loan paper.

    ABS BWIC volume was up markedly from the previous session, totalling around US$340m. By contrast, volumes in non-agency RMBS only reached around .......

    Market Reports 1 April 2014
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