RMBS

  • 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

  • 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
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