RMBS

  • Supply up ahead of IABF sale

    Sales from the ING Illiquid Assets Back-up Facility are set to begin with a US$5.1bn list scheduled to trade tomorrow (11 December). The list consists of 316 RMBS bonds that are predominantly backed by 2006 and 2007 option ARM collateral.

    The assets could trade either on a CUSIP level or as an AON, which may allow for broader client participation. .......

    News Round-up 10 December 2013

  • RMBS call dates extended

    The Langton Securities series 2010-1, 2010-2 and 2011-2 RMBS have been restructured. The restructuring involved extending the call dates and margin step-up dates on six rated notes (2010-1 A5 and A9, 2010-2 A3, and 2011-1 A1, A2 and A7) and two unrated notes (2010-1 Z1 and Z2). The margins paid on the cross-currency swaps for the two euro-denominated notes - .......

    News Round-up 9 December 2013

  • Tunisian RMBS downgraded

    Moody's has downgraded the global scale ratings of the senior FCC BIAT-CREDIMMO 1 and FCC BIAT-CREDIMMO 2 notes, as well as the global and national scale ratings of the junior FCC BIAT-CREDIMMO 2 notes. The agency has also affirmed the national scale ratings of the senior notes in both transactions and the global and national scale ratings of the junior .......

    News Round-up 6 December 2013

  • Minimal Euro default rate underlined

    Only 1.5% by original issuance volume of European structured finance notes outstanding in mid-2007 had defaulted by end-3Q13, according to S&P's latest quarterly transition study. The quarterly transition study analyses cumulative rating transitions and defaults from the beginning of the financial downturn - which is assumed to be mid-2007 - until end 3Q13, aggregating by issuance volume.

    "The 12-month rolling .......

    News Round-up 6 December 2013

  • Euro ABS market still active

    The European ABS and RMBS secondary markets continue to witness strong BWIC supply. SCI's PriceABS data shows a number of covers from yesterday's session, while one trader reports that next week is also expected to be busy.

    "There have been a lot of bid-lists lately and those are mainly coming from hedge funds rather than legacy accounts. What .......

    Market Reports 6 December 2013

  • RFC issued on non-QM approach

    Kroll Bond Rating Agency is proposing to extend its existing methodologies for rating RMBS to address additional risks for pools backed by non-Qualified Mortgage loans. The agency has released for comment a methodology relating to non-QM loans that are prime credit quality mortgage loans.

    The key components of KBRA's non-QM rating methodology consist of: loan originator and servicer reviews; loan .......

    News Round-up 6 December 2013

  • RMBS credit quality to vary

    New issue private-label US RMBS credit quality implications will vary next year, according to Moody's. The agency expects new transactions in 2014 to be of lower credit quality because originators will likely have trouble maintaining volume in loan pools as refinancing activity decreases.

    This will lead originators to relax underwriting standards, resulting in further deterioration of the credit quality of .......

    News Round-up 6 December 2013

  • Greek country ceiling lifted

    Fitch and Moody's have implemented positive rating actions on a number of Greek securitisations. The move follows an uplift in the Greek country ceiling by both agencies.

    Moody's upgraded 16 notes and affirmed six notes in nine Greek transactions, after the agency raised its country ceiling on Greece to B3 from Caa2 and upgraded Greece's sovereign rating to Caa3 from .......

    News Round-up 5 December 2013

  • Steady RMBS performance predicted

    Fitch's 2014 outlook for US RMBS is stable, with home price growth and stable macro conditions expected to support steady performance across most vintages. Post-crisis transaction performance remains exceptionally strong with no downgrades to date and this trend is expected to continue into next year.

    Past rating actions, combined with improving credit trends and positive momentum in the housing market, .......

    News Round-up 5 December 2013

  • Higher loss severities for non-QM RMBS

    US RMBS backed by non-qualified mortgages will incur higher loss severities on defaulted loans than those backed by qualified mortgages. Non-QM loans will therefore increase risk in new RMBS.

    Moody's notes that the higher loss severities will be driven by the higher legal costs and penalties for non-QM securitisations, where a defaulted borrower can more easily sue a securitisation trust .......

    News Round-up 5 December 2013

  • Divergent Euro rating outlook

    Fitch's rating outlook for European structured finance (SF) transactions is geographically split. Almost 70% of ratings in the core European countries are predominantly stable, with the remainder related to transactions from the eurozone periphery, which are predominantly negative.

    The negative outlooks for the eurozone periphery reflect a combination of declining asset performance, uncertainty over timing and extent of recoveries, policy .......

    News Round-up 5 December 2013

  • Euro credit quality to remain stable

    The credit quality of European ABS and RMBS transactions will remain stable overall in 2014, says Moody's in its outlook report for the sector. Against the backdrop of stabilising macroeconomic drivers for most countries, affordability across Europe will be sustained by the low interest rate environment, prudent underwriting criteria and regulatory initiatives to boost credit supply.

    While considerable risks remain, .......

    News Round-up 5 December 2013

  • IABF unwind to begin

    The Dutch government intends to start a competitive auction process to sell the non-agency RMBS underlying the ING Illiquid Assets Back-up Facility (IABF). BlackRock Securities will be responsible for the execution of the sale of the securities on behalf of the Dutch State Treasury Agency (DSTA).

    The IABF was created almost five years ago (SCI 28 January 2009) as one .......

    News Round-up 5 December 2013

  • Freddie settles BAML claim

    Freddie Mac has entered into a settlement agreement with Bank of America concerning the GSE's claims related to representations and warranties on single-family loans it was sold. Under the terms of the agreement, Bank of America agreed to pay Freddie Mac a total of US$404m, less credits of US$13m for repurchases already made and for reconciling adjustments.

    Freddie Mac, subject .......

    Job Swaps 4 December 2013

  • Recourse rankings implemented

    Moody's reports that the European housing market remains full recourse in nature in that, following default and foreclosure, borrowers are still liable for any remaining shortfall after the property sale. That said, considerable variation exists within different European jurisdictions in terms of the use of bankruptcy procedures and the efficiency and timing of the foreclosure process.

    To reflect these differences, .......

    News Round-up 4 December 2013

  • Distressed exchange for ESAIL juniors

    Fitch has downgraded the single-C rated B1c, C1c and D1c classes of Eurosail-UK 2007-5NP to D, following the restructuring of the transaction (SCI passim). In addition, it has placed the double-C rated A1a and A1c classes on rating watch positive (RWP).

    The RMBS received US$35.1m on 21 November through an auction of its remaining claims against the Lehman Brothers bankruptcy .......

    News Round-up 3 December 2013

  • Stable outlook for APAC ratings, performance

    Fitch expects both the ratings and asset sector performance of Asia-Pacific (APAC) structured finance (SF) transactions to remain stable over the course of next year. Most public long-term ratings on APAC SF transactions are anticipated to remain at their current level throughout 2014. Of the 10 non-stable outlooks in place at end-3Q13, six were on positive outlook and four were .......

    News Round-up 3 December 2013

  • Subprime starts RMBS reawakening

    Secondary market activity was sluggish across the board to start the week as traders returned to their desks. US non-agency RMBS was one of the more active markets, with around US$225m in BWIC volume and a range of names captured by SCI's PriceABS data.

    Subprime and option ARM paper dominated supply yesterday, with Countrywide bonds accounting for a .......

    Market Reports 3 December 2013

  • Dutch IO exposure to decline

    The exposure of the Dutch RMBS market to full interest-only (IO) loans is moderate, Moody's says. Moreover, the agency expects the percentage of full interest-only loans in the Dutch RMBS market to decline, with amortising loans becoming the market standard.

    Moody's notes that the limited vulnerability of the Dutch RMBS market to full IO loans stems from the small contribution .......

    News Round-up 2 December 2013

  • New home for Euro ABS trader

    Daniel Turner has joined Ellington Management Group as md in London. He takes responsibility for European ABS.

    Turner was previously a partner at Chenavari Investment Managers, where he focused on European ABS and RMBS. He has also worked at European Credit Management, ING and Capital Economics.

    .......

    Job Swaps 28 November 2013

  • Spanish severities highest in tourist belt

    Moody's loss severity calculations on repossessed Spanish properties show highest loss severities on the Mediterranean coast, Andalucia and the Canary Islands - albeit within its assumptions for defaulted loans. While this is not expected to lead to any rating actions on Spanish RMBS, high loss severities on repossessed mortgaged properties are credit negative, the agency notes.

    Moody's compared the prices .......

    News Round-up 28 November 2013
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