RMBS

  • Bright spots

    Mixed fortunes in structured finance recruitment

    Certain areas of the structured finance recruitment sector are growing, but large parts remain muted. European activity is all but moribund, while the picture in the US is mixed.

    The US securitised markets show several areas of growth, not least in CLOs. While the CMBS and RMBS sectors are mixed, the ABS market is anticipated to become even quieter going .......

    News Analysis 15 January 2014

  • Risk transfer deal differs

    Fannie Mae's US$750m CAS 2014-C01 transaction is broadly similar to the CAS 2013-C01 issue, but there are some notable differences. Weighted average voluntary prepayments are 41bp lower and cumulative defaults are 3bp higher than in the 2013-C01 transaction.

    The M1 tranche of the new transaction has initial subordination of 165bp and the M2 tranche has 30bp of original credit enhancement. .......

    News Round-up 14 January 2014

  • Further repo impact from tapering

    Tapering and financial regulation will impact the US tri-party repo market again in 2014, says Fitch. The tri-party repo market dropped US$257bn in 2013 and all eyes are now on interest rates and how banks adjust to the Basel 3 leverage ratio.

    The US tri-party repo market as a whole declined to US$1.61trn at end-2013. Agency RMBS repo fell by .......

    News Round-up 14 January 2014

  • JPA sought to implement eminent domain

    The city council of Richmond, California has adopted a resolution to seek other cities with which to form a Joint Powers Authority (JPA) that would be able to use eminent domain to acquire underwater mortgages in private label RMBS. Such a move could enable the council to sidestep existing barriers.

    While the city council has failed to achieve a super-majority .......

    News Round-up 14 January 2014

  • Foundation for continued growth?

    The US CLO and CMBS sectors saw impressive issuance in 2013, as the recovery in the asset classes continued apace. European volumes, meanwhile, reflect the growing diversity of jurisdictions on offer across the region's ABS market.

    Last year proved to be impressive for US CMBS 3.0 issuance, with conduit volumes totalling US$53.1bn, a 65% increase from US$32.2bn in 2012. US single-borrower/single-asset .......

    News 14 January 2014

  • Counterparty relationships under pressure

    The implementation of the US Treasury Market Practices Group's (TMPG) margin practices appears to have met its near-term goal of covering a significant amount of agency MBS trading volumes (SCI 16 April 2013). However, the broad-based implementation of the guidelines could have an unexpected impact on the structure of counterparty relationships across the Street, according to Deutsche Bank MBS analysts. .......

    News 13 January 2014

  • IABF auction scheduled

    Six broker-dealers have been invited to submit bids for the second IABF auction, based on the strength of their reverse inquiries (SCI 7 January). The dealers are: Bank of America Merrill Lynch, Barclays, Citi, Credit Suisse, Goldman Sachs and Morgan Stanley.

    The auction will comprise US$4.27bn current face across 360 non-agency RMBS. Bids are due on 16 January and the .......

    News Round-up 13 January 2014

  • Light shed on IABF sale

    An Interactive Data analysis of last month's US$5.1bn IABF sale suggests that the Dutch State Treasury Agency (DSTA) divested itself of the riskier holdings first. The firm notes that while pre-BWIC dialogue and information-sharing on the sale appeared to be robust, post-trade market colour was limited.

    The sale comprised primarily pay option ARM bonds (totalling around US$4.8bn), with the remainder .......

    News 10 January 2014

  • Second ESAIL restructuring on the cards

    Separate meetings for all classes of Eurosail-UK 2007-6NC noteholders have been convened on 10 February to consider an extraordinary resolution to approve the sale of the remaining Lehman claims, as well as a restructuring proposal. If successfully implemented, this will be the third restructuring of a UK Lehman RMBS to resolve 'broken swap' issues (SCI passim).

    The sale relates to .......

    News Round-up 10 January 2014

  • Dutch RMBS default drivers examined

    High loan-to-foreclosure values (LTFV) will remain the key default driver in 2014 for Dutch RMBS, according to Moody's. Secondary drivers include employment type, larger loans and affordability - each of which will have a more pronounced impact on performance than in 2013.

    "High LTFVs are likely to remain a key factor for Dutch loan default because these loans are generally .......

    News Round-up 9 January 2014

  • Underperformance for directional strategies

    Hedge funds gained an average of 1.2% in December and ended 2013 returning 9.2%, according to eVestment figures. In comparison, 2012 and 2011 returned 7.4% and -3.1% respectively.

    However, last year credit strategies posted their third lowest annual return (6.26%) since 1998, besting only 2011 (2.3%) and 2008 (-8.7%). "Performance was dragged down by directional credit strategies underperforming in the .......

    News Round-up 9 January 2014

  • FINRA urged to revisit TRACE proposal

    SIFMA has submitted a comment letter to the SEC on FINRA's proposed rule change relating to TRACE reporting and dissemination of transactions in additional ABS (SCI 5 November 2013). The association requests that FINRA not implement this proposal and instead engage in further discussion with the industry as to how best to preserve ABS market liquidity and re-propose this proposal .......

    News Round-up 9 January 2014

  • RMBS BWICs make return

    After US ABS BWIC volumes picked up on Monday, it was the turn of non-agency RMBS supply to rise yesterday. Bid-list volume approached US$550m, with activity up across fixed rate, hybrid and subprime bonds.

    Fixed rate supply came from a mix of senior prime, Alt-A and re-performing fixed bonds, while adjustable rate supply mainly came from senior Alt-A hybrids and .......

    Market Reports 8 January 2014

  • CFPB rules 'challenging' smaller servicers

    Fitch expects smaller US residential mortgage servicers to be challenged by the increased costs of new servicing requirements as they seek to opportunistically grow through strategic acquisitions. The new requirements, issued by the Consumer Financial Protection Bureau (CFPB), become effective on 10 January.

    The new servicing requirements include changes to how servicers handle borrower notifications and interaction, as well as .......

    News Round-up 8 January 2014

  • FHFA set for new course?

    The swearing in of Mel Watt as FHFA director on Monday (6 January) marked the official end to the DeMarco era. While there is little context for Watt's views on specific issues at this stage, how he re-shapes the agency has significant implications for agency MBS (SCI passim), including increased policy uncertainty.

    RMBS analysts at Barclays Capital suggest that Watt's .......

    News 8 January 2014

  • Recourse reduced in statute of limitations case?

    A unanimous ruling by a four-judge bench of the Supreme Court of the State of New York holds that the six-year statute of limitations on representation and warranty breaches applies to private label securitisations from the date of a deal's closing. If it stands, the move could reduce investor recourse for both legacy and new issue RMBS.

    There had previously .......

    News 7 January 2014

  • WaMu lawsuit filed

    JPMorgan last month filed suit in the US District Court of the District of Columbia against the FDIC in connection with the Washington Mutual estate. The bank is seeking to recover payments to the FHFA to repurchase loans sold to the GSEs by WaMu, as well as payments made to private investors under securities law claims on RMBS deals originated .......

    Job Swaps 7 January 2014

  • Second IABF sale underway

    The Dutch State Treasury Agency (DSTA) has announced its intention to continue a competitive auction process to sell the non-agency RMBS underlying the ING Illiquid Assets Back-up Facility (IABF). BlackRock Solutions will execute the sale of the securities via a competitive auction process through a number of selected broker-dealers.

    A short-list of broker-dealers will be selected based on the competitiveness .......

    News Round-up 7 January 2014

  • Solvency revisions still strict

    EIOPA has recalibrated the proposed Solvency 2 spread risk charges for securitisations to increase differentiation between ABS asset classes (SCI 20 December 2013). However, securitisation remains heavily penalised under the current proposals, with the capital charges potentially making it more efficient to invest in the underlying assets than in a securitised bond.

    While proposed capital charges for some bonds are .......

    News 3 January 2014

  • Make-whole payments accelerating

    Last month's remittance reports show that a number of US non-agency RMBS received make-whole payments. At the same time, forbearance recognition continues apace.

    Early indications suggest that at least three FFML deals received over US$2m as make-whole payments in December, continuing the trend of the past 12 months. Subsequent recoveries in FFML 2006-FF12, FFML 2006-FF14 and FFML 2006-FF10 are US$4m, .......

    News 3 January 2014

  • Countrywide settlement signed

    The Massachusetts state pension fund is to receive US$11.3m under a settlement with Countrywide Securities Corporation (CSC). The case is part of the Massachusetts Attorney General's industry-wide review of residential mortgage securitisation practices in the state.

    The total settlement agreed with CSC comprises the US$11.3m to compensate government investors with the Pension Reserves Investment Management Board (PRIM) and an additional .......

    Job Swaps 2 January 2014
×