RMBS

  • 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

  • TBA maintenance margin opposed

    SIFMA has submitted comments to FINRA regarding the agency's proposed amendments to FINRA Rule 4210 to establish margin requirements for transactions in the TBA market (SCI 3 February). The association submitted two parallel letters: a general SIFMA letter focused on the impact to FINRA member firms and another from SIFMA's Asset Management Group (AMG) that highlights specific insight and feedback .......

    News Round-up 31 March 2014

  • Further PLS settlement reached

    The FHFA has reached a settlement in cases involving Bank of America, Countrywide Financial, Merrill Lynch and certain individuals totalling US$5.83bn. The cases alleged violations of federal and state laws in connection with private-label mortgage-backed securities (PLS) purchased by Fannie Mae and Freddie Mac between 2005 and 2007.

    The agreement provides for an aggregate payment of US$9.33bn by Bank of .......

    Job Swaps 31 March 2014

  • US housing finance bill released

    New legislation released by the US House Financial Services Committee's Maxine Waters would significantly reform the current US housing finance system. The Housing Opportunities Move the Economy (HOME) Forward Act creates a new regulator and issuer, as well as providing for the transfer of the GSEs' multifamily programmes.

    The legislation establishes the National Mortgage Finance Administration (NMFA) as a new regulator to .......

    News Round-up 28 March 2014

  • Servicers 'well prepared' for MMR

    The UK FCA on 26 April will implement the Mortgage Market Review (MMR), a set of reforms aimed at creating a mortgage market that works better for consumers and is more sustainable for all participants. S&P reports that third-party residential mortgage servicers are well prepared for the changes ahead of the MMR's implementation.

    "Third-party residential mortgage servicers will need to .......

    News Round-up 27 March 2014

  • 2005-vintage paper propels RMBS

    US non-agency RMBS secondary market activity picked up yesterday as bid-list supply increased to around US$650m. SCI's PriceABS data shows a wealth of 2005-vintage paper out for the bid, as well as a range of other names as fixed-rate and subprime levels improved.

    The oldest tranche to be captured by PriceABS during the session was MRFC 2001-TBC1 A1, .......

    Market Reports 27 March 2014

  • Servicer concentration emerging

    The past year has seen a sea-change both in who is servicing severely delinquent US mortgage loans and how they are being serviced, Fitch observes in its latest quarterly servicing index report. The transfer last year of non-agency RMBS mortgage servicing rights (MSRs) from banks to non-bank servicers, along with increased usage of subservicing arrangements has had a dramatic impact .......

    News Round-up 27 March 2014

  • Advancing rates levelling off

    Declines in US servicer advancing rates are now levelling off and could see modest improvement this year as home price gains of over 20% have increased recovery values for servicers, according to Fitch. Last month's servicer advancing rate stood at 56% after slowly increasing for four of the last five months.

    Since the start of 2007, the percentage of delinquent .......

    News Round-up 27 March 2014

  • Low FSD supports Dutch RMBS

    The Dutch RMBS market on average maintains low delinquencies (0.87%, as of December 2013), low defaults (0.44%) and low loss severities (29.1%) - despite average LTVs of over 100%, interest-only (IO) mortgage concentration of over 50% and a drop in home prices of 20% from the 3Q08 peak. Further, DBRS analysed a sample of defaulted loans across the sector from .......

    News Round-up 27 March 2014

  • SFR trade group launches

    A non-partisan coalition focused on increasing education about the professionally managed single-family rental industry has been formed. The National Rental Home Council (NRHC) will serve as a resource for policymakers, media, market observers, industry leaders and local officials.

    The professionally managed single-family rental home industry that is institutional investor-owned represents around 200,000 homes in a market of 14 million. Founder .......

    Job Swaps 27 March 2014

  • BSABS surprise in March remittances

    In a somewhat unexpected move, JPMorgan has recognised in the March remittances prior forbearance-related losses for a number of BSABS deals. A couple of other RMBS also realised similar losses during the month.

    BSABS 2005-AQ2, 2005-HE9, 2006-HE3, 2006-HE7, 2006-HE9, 2006-HE10, 2007-AQ1, 2007-HE1, 2007-FS1, 2007-HE2 and 2007-HE3 recognised losses of between US$7.5m and US$24.4m - representing 5.3%-7.1% of the current balance .......

    News Round-up 27 March 2014

  • Asia RMBS delinquencies to remain low

    Residential mortgage loans in Australia, Japan and Korea have recorded low delinquency rates with little volatility over the past eight years - a trend that is expected to continue through the end of 2014. When loans default, RMBS in the three regions have not experienced a reduction in the subordination that junior bond classes provide, owing to other credit support .......

    News Round-up 26 March 2014

  • Aussie job stability weighed

    Australian regions highly populated by blue collar and production industry borrowers are more vulnerable than other regions to 30-plus day mortgage delinquencies during economic downturns, according to Moody's. The agency suggests that blue collar and white collar categories better identify a borrower's skill level and hence job stability, compared to the industry that borrowers work in.

    "Blue collar and production .......

    News Round-up 26 March 2014

  • UK resi criteria change unveiled

    Fitch has published an exposure draft detailing proposed new elements of its criteria for estimating losses on UK residential mortgage pools. The agency proposes to apply the sustainable loan-to-value (sLTV) ratio as a predictor of default instead of using the original loan-to-value (OLTV) ratio.

    SLTV is the ratio of the current loan balance to Fitch's estimated sustainable house price (SHP) .......

    News Round-up 26 March 2014

  • RFC issued on QM approach

    Moody's is requesting comment from market participants on its proposed approach to evaluating incremental risks of qualified and non-qualified mortgage loans in its ratings of US RMBS. The agency notes that the US Consumer Financial Protection Bureau's ability-to-repay (ATR) rules, which established the qualified mortgage (QM) category, create incentives that could lead to incremental risks for RMBS trusts.

    "The broad .......

    News Round-up 26 March 2014

  • Credit Suisse settles PLS charges

    Credit Suisse and related companies have settled private-label mortgage-backed (PLS) securities fraud charges with the FHFA for US$885m. The settlement resolves all of the FHFA's claims against Credit Suisse in the FHFA's lawsuit against the bank as well as all claims against it in the FHFA's lawsuit against Ally Financial.

    The PLS were purchased by Fannie Mae and Freddie Mac .......

    Job Swaps 24 March 2014

  • Fed tapering continues

    The New York Fed will next month further reduce its asset purchases to a pace of about US$25bn per month for MBS and US$30bn per month for longer-term Treasury securities. The existing March schedules for purchases at a pace of US$30bn and US$35bn per month respectively remain in effect until that time.

    The Fed will also maintain its existing policies .......

    News Round-up 20 March 2014

  • Hedge fund assets near all-time high

    Investors allocated more to hedge funds in February than in any other month since eVestment began tracking monthly flow data in October 2008. An estimated US$41bn flowed into hedge funds during the month.

    Performance gains added a further US$45.9bn, bringing February's asset increase to US$86.9bn, an increase of 3.1%. This is the industry's largest asset growth since performance gains drove .......

    News Round-up 20 March 2014

  • RMBS, covered bonds converging

    DBRS has published an overview of how RMBS and covered bonds (CBs) are becoming increasingly alike. In particular, exacerbated refinancing risk embedded in bullet CB structures has led to the development of conditional pass-through (CPT) CBs (SCI 21 October 2013).

    CPT CBs are instruments that, upon a default of the issuer/sponsor, switch to a pass-through repayment structure. The maturity of .......

    News Round-up 20 March 2014

  • Richmond preps rehab programme

    Richmond, California's city council is now developing a distressed housing rehabilitation programme, following opposition to its efforts to use eminent domain (SCI passim). Under the latest plan, Richmond would buy, rehabilitate and then sell blighted homes in partnership with a local non-profit organisation (Richmond Community Foundation) and law firm Orrick, Herrington & Sutcliffe.

    RMBS analysts at Barclays Capital note that the .......

    News Round-up 19 March 2014

  • Activity up across non-agency

    After a quiet start to the week, US non-agency RMBS secondary market activity picked up yesterday. BWIC volumes were around US$850m and SCI's PriceABS data shows bid-list supply contained a strong mix of bonds backed by different collateral types.

    Among the subprime names of interest from the session was the AMSI 2004-R3 M1 tranche, which was .......

    Market Reports 19 March 2014
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