RMBS

  • RWN placements follow US rating action

    Fitch says it expects to take limited rating actions on US CMBS transactions as a result of its placement of the US sovereign rating on rating watch negative. Bonds in five deals are directly linked to the US rating and have already been placed on rating watch negative, while many others have exposure to defeased collateral and the US government .......

    News Round-up 17 October 2013

  • ARM, subprime names circulating

    US non-agency RMBS BWIC volume picked up yesterday to reach around US$560m, with a focus on ARM and subprime bonds. Bid-side levels appear to be firming across the ARM sector, with POAs up by two points and hybrids up by a point.

    One noteworthy name from the session was SABR 2006-FR1 A2C, which SCI's PriceABS data shows was .......

    Market Reports 17 October 2013

  • New hires to lead EM debt push

    Babson Capital Management has appointed Brigitte Posch and Ricardo Adrogue to lead its new emerging market debt investment team. Posch will be based in London and Adrogue will be based in Boston.

    Posch joins from PIMCO, where she was evp and head of emerging market corporates. Before that she established a Latin American securitisation and trading platform at Deutsche Bank .......

    Job Swaps 16 October 2013

  • EMEA downgrade trends discussed

    Fitch reports that asset underperformance was the dominant driver of EMEA structured finance (SF) downgrades since the onset of the credit crisis in 2007, accounting for 69% of negative rating actions. At the highest rating levels, asset underperformance is a far less dominant driver of rating downgrades, however.

    "This suggests that structured finance structures have operated as intended, with senior .......

    News Round-up 16 October 2013

  • Accounting change to hurt TBA liquidity?

    A new rule amendment being considered by the FASB, if adopted, is set to change the accounting treatment for TBA dollar rolls. The move could reduce the attractiveness of dollar rolls for some investors and thus lower liquidity in the market.

    The new guidance clarifies that a TBA dollar roll without stipulations would not result in the return of a .......

    News Round-up 15 October 2013

  • Greek flavour to RMBS secondary

    The periphery continues to outperform in secondary European RMBS. Among the bonds circulating on BWICs yesterday were a number of Greek tranches, where price talk is trending upwards.

    Among these bonds was the ESTIA 2 A tranche, which was talked at around 70, at 73-74 and at 78-79 during the session. The tranche was covered at 70.5 on 11 July, .......

    Market Reports 15 October 2013

  • Reduction in sovereign ceiling proposed

    S&P has published a request for comment on proposed changes to its methodology for assigning ratings above a sovereign's foreign currency rating on single-jurisdiction structured finance transactions. The proposal is designed to bring additional clarity and comparability to the agency's global approach for considering structured finance ratings above that of the sovereign.

    The proposed criteria apply a rating differential above .......

    News Round-up 15 October 2013

  • IRS impact anticipated

    In light of the ongoing US government shut-down, Kroll Bond Rating Agency says it has reached out to RMBS issuers to find out how they are handling the inability to execute IRS form 4506-T (Request for Transcript of Tax Return) and what impact it may have on both origination practices and origination volumes.

    While the underwriting guidelines of most lenders .......

    News Round-up 14 October 2013

  • SF definition updated

    Moody's has updated its definition of the types of securities it considers to be structured finance instruments. US$45.99bn of securities are affected by the move.

    The agency intends to remove the 'sf' indicator from credit ratings it assigns to: student loan-backed bonds issued by a non-profit or public instrumentality that issues fewer than three classes of debt; US state and .......

    News Round-up 14 October 2013

  • Record year for clean-up calls?

    The number of US non-agency RMBS clean-up calls has doubled since the start of summer (SCI 4 June), putting 2013 on course to see more deals called than in any year since 2005. However, shifting economic conditions may put the brakes on call activity, while not all sellers are embracing calls equally.

    Senior fixed-rate tranches have begun trading above par, .......

    News 11 October 2013

  • H2B2 positive for existing RMBS

    The mortgage guarantee component of the UK government's Help-To-Buy scheme should be positive for existing RMBS transactions via its short-term impact on house prices and mortgage funding conditions, Fitch says. An unsustainable rise in house prices and an increase in riskier lending could damage UK mortgage performance in the longer term, however.

    The agency notes that, combined with generally improved .......

    News Round-up 11 October 2013

  • Credit hedge fund performance lagging

    Credit hedge funds performed well last month, but are struggling to post returns of even half of the level seen in 2012, according to eVestment. The firm estimates that MBS-focused funds, in particular, are on pace for their worst year since the financial crisis.

    Credit strategies appeared to benefit from the reversal of the 10-year US Treasury rate climb in .......

    News Round-up 11 October 2013

  • UROPA 2007-1 redenominated

    The UROPA Securities 2007-1 class A4B tranche has been redenominated from euro to sterling, with the underlying currency swap cancelled as a result. The outstanding balance now stands at £12.186m (as opposed to €18m previously) and the interest rate margin is 28.15bp over Libor (compared to 25bp over Euribor).

    .......

    News Round-up 11 October 2013

  • Sovereign risk still weighing on periphery

    European peripheral ABS and RMBS are more sensitive to a further potential increase in sovereign risk than to asset pool deterioration, Moody's suggests. Specifically, the agency points to further increases in sovereign risk or weakening of the credit profiles of financial counterparties over the next 18 months as being the main drivers of negative credit migration for Irish RMBS, as .......

    News Round-up 11 October 2013

  • Tighter pricing expected for CAS

    Structural differences between Fannie Mae's upcoming CAS 2013-C01 and Freddie Mac's STACR deal should lead to tighter pricing on the former transaction. Based on a Deutsche Bank analysis, the Fannie senior mezzanine class could price 25bp-50bp inside the STACR M1 class.

    One key difference between the CAS and STACR deals is that the CAS M1 tranche is rated (triple-B minus .......

    News 10 October 2013

  • US RMBS criteria updated

    Fitch has published an annual update to its US RMBS criteria. While the framework of the methodology remains unchanged, the loss and cashflow methodology has been revised for manufactured housing, small-balance CMBS, scratch and dent, HELOC and second lien products.

    Collectively, these product types comprise less than 10% of the agency's rated RMBS transactions. Fitch says it does not expect .......

    News Round-up 10 October 2013

  • Aussie IEO exposure examined

    Use of the Australian Bureau of Statistics' Index of Education and Occupation (IEO) shows that regions most disadvantaged in these categories are most vulnerable to a rise in mortgage delinquencies during an economic downturn, according to Moody's.

    "IEO is important because it complements the key metric of loan-to-value ratios (LVR) as an indicator of a region's vulnerability to increased delinquencies .......

    News Round-up 10 October 2013

  • Exploring the whole loan alternative

    As rating agencies continue to alter the status of tranches...

    With the financial services sector continuing to rebuild following the financial crisis, investment funds are on the hunt for the highest yield opportunities to ensure investor satisfaction. This remains a core challenge, however, across most investment sectors as absolute yields remain low.

    Funds that have typically focused their trading strategies on RMBS are currently facing the difficulty of a series .......

    Talking Point 10 October 2013

  • ESAIL 2007-5 restructuring proposed

    Meetings for all Eurosail UK 2007-5NP noteholders have been scheduled for 31 October to consider an extraordinary resolution to approve the sale of the transaction's remaining claims against Lehman Brothers and an associated restructuring proposal. The restructuring proposal revises the original sale proposal, which was approved by the class A noteholder in July 2012 but never implemented.

    Out of a .......

    News Round-up 8 October 2013

  • Validation tool enhanced

    Interactive Data has released a new set of transparency and workflow enhancements to its Vantage solution. The enhanced Vantage Price Validation Workflow module aims to enable buy- and sell-side firms to more efficiently manage their price review process, thereby reducing the operational cost of meeting current regulatory requirements.

    The module is designed to serve as a central hub for client .......

    News Round-up 8 October 2013

  • Modification performance analysed

    At least 31% of the US mortgage loans that were seriously delinquent in December 2008 have been modified at least once and performed much better than those that weren't modified, according to Moody's latest Servicer Dashboard publication. The 2Q13 report focuses on the status, as of June 2013, of approximately 1.1 million loans that were 60-plus days delinquent and in .......

    News Round-up 8 October 2013
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