RMBS

  • 2013 Euro ABS credit quality up, issuance down

    The credit quality of new European ABS and RMBS issuance in 2013 will be better than that of existing transactions, expects Moody's. However, deals will be smaller and that will affect issuance volume for the year ahead.

    The agency adds that the performance of existing transactions will be correlated to sovereign strength, with asset performance being stable in highly-rated countries .......

    News Round-up 10 December 2012

  • South African RMBS reassessed

    Moody's has taken rating actions on eight South African RMBS, following its reassessment of the sector. The review takes into consideration the risks to RMBS ratings following the deterioration of the credit quality of the South African sovereign.

    Specifically, Moody's has downgraded the global scale ratings of one senior note and 19 junior notes, as well as confirmed the global .......

    News Round-up 7 December 2012

  • The changing value of credit

    Even among all the changes in the mortgage investment market...

    For years credit scores provided by the three major credit bureaus set the standard for evaluating creditworthiness. Lenders and investors were able to use credit scores to accurately determine the risk of default and provide risk-based pricing accordingly.

    And these credit scores are still used. But why did the number of defaults among borrowers once deemed prime increase dramatically in .......

    Research Notes 7 December 2012

  • Rating watches resolved

    Fitch has resolved the rating watch status of various classes in the US prime, Alt-A, subprime and re-REMIC RMBS sectors. The classes previously on rating watch negative generally reflected increasing tail risk, as well as rating sensitivity to the agency's updated loan loss model and surveillance criteria (SCI 13 August).

    For classes on watch negative, 89% of them have been .......

    News Round-up 6 December 2012

  • Further FHFA claim to proceed

    The FHFA is to proceed with most of its fraud claims against Societe Generale in connection with losses suffered by Fannie Mae and Freddie Mac related to the purchase of US$1.3bn of RMBS. A trial is scheduled for January 2015.

    The transactions were issued by Societe Generale and underwritten by Deutsche Bank and Bear Stearns. In denying most of the .......

    Job Swaps 6 December 2012

  • Increased clarity on LLD requirements

    The latest amendments to the ECB's collateral eligibility framework include information on loan level data (LLD) requirements for posted securitisations and the European DataWarehouse (ED). Data will have to be reported to the ED at least on a quarterly basis, no later than one month after the IPD. If data is not provided within one month of the IPD, repo .......

    News Round-up 6 December 2012

  • SCI conference line-up unveiled

    Final panellist line-ups have been announced for SCI's 6th Annual Pricing, Trading & Risk Management Seminar, which is taking place on 7 December in London. The event is being held at Reed Smith's offices at 20 Primrose Street, EC2A 2RS.

    This conference will focus on risk management and pricing/valuation issues, as well as trading and secondary market strategies. The programme .......

    News Round-up 5 December 2012

  • Pricing analytics offered

    Deutsche Bank has made two of its analytic models - Deutsche Bank CMBS Credit Model and Deutsche Bank Mortgage Prepayment Model - available on the Bloomberg Professional service. The former is the first independent CMBS model on the Bloomberg Professional service and enables investors to estimate the overall value of commercial mortgage securities and effectively analyse loan portfolios. The latter .......

    News Round-up 4 December 2012

  • Fund closed, new one prepped

    Deer Park Road Corp's flagship fund, STS Partners Fund, has closed to new investors. The fund - which focuses on deeply discounted short-duration, high cashflow MBS and other ABS securities - was launched in May 2008 and has since grown to more than US$600m AUM.

    Michael Craig-Scheckman, portfolio manager and owner of the firm, comments: "In order to preserve the .......

    Job Swaps 4 December 2012

  • CIM3 credit enhancement concern

    Fitch has published an unsolicited comment on CSMC Trust Mortgage Corp 2012-CIM3 (see also SCI 3 December), suggesting that the RMBS has insufficient credit enhancement to achieve a triple-A rating. Although asked to provide feedback, the agency was ultimately not selected to rate the transaction.

    Fitch believes it has a more conservative credit stance regarding the deal: at 5.85%, the .......

    News Round-up 4 December 2012

  • No winter slow-down for US RMBS

    December kicked off with steady supply for the secondary US RMBS market. The non-agency sector continues to be dominated by subprime paper, with a CDO liquidation boosting the number of senior and mezz classes out for the bid.

    "The subprime sector continues to see the majority of activity, as it accounts for the most volume and positions out for bid. .......

    Market Reports 4 December 2012

  • CIM3 clarifies repurchase responsibilities

    Credit Suisse has priced its third non-agency RMBS of the year - the US$329.89m CSMC Trust 2012-CIM3. S&P, which rated the transaction, notes that there are significant differences between it and the other two deals in the series (see SCI's pricing database).

    One of the differences is that the CIM3 transaction includes time limits (sunset provisions), within which .......

    News Round-up 3 December 2012

  • Portuguese RMBS restructured

    Bocage Mortgages No.1 has been restructured to include the appointment of a back-up servicer, increased issuance of the unrated variable funding note (VFN) and a termination of the basis swap. In Fitch's view, the appointment of a back-up servicer and the increase in the VFN are both positive for the transaction.

    The move is believed to have been initiated in .......

    News Round-up 30 November 2012

  • RMBS boost

    Post-election housing outlook discussed

    President Obama's re-election appears to have boosted prospects for the private label RMBS market. At the same time, prepayment-related policy risk is expected to rise under the administration.

    The most important outcome for the US housing market of a second Obama administration is that it will now drive the implementation of the Dodd-Frank Act, according to Vincent Varca, md of .......

    News Analysis 30 November 2012

  • Rally seen in ABX

    The ABX index has rallied impressively in 2012. Year-to-date price appreciation for the triple-A sub-indices in the 2006-1, 2006-2, 2007-1 and 2007-2 series is 9%, 36.1%, 36.1% and 39.1% respectively.

    Serious delinquency rates for the same index series declined by 87bp, 70bp, 67bp and 106bp to 35%, 38.7%, 40.7% and 39.2% respectively. The average serious delinquency rate of all ABX .......

    News Round-up 30 November 2012

  • Regional differences skewing recovery

    Fitch believes that recent national increases in previously-owned home sales and reductions in the inventory of homes indicate the recovery in the residential real estate market is continuing. But the agency notes that regional differences remain important, with meaningful improvement likely to be hampered by the foreclosure process in some states and regional unemployment rates.

    Existing homes sold at a .......

    News Round-up 30 November 2012

  • Portuguese RMBS hit

    Moody's has downgraded 20 notes previously rated at the country ceiling and confirmed one note from 18 Portuguese RMBS, further to its reassessment of the entire Portuguese RMBS market. The reassessment takes into consideration the agency's updated European RMBS rating methodology, as well as ongoing deterioration in the credit quality of the Portuguese sovereign and transactions' counterparties.

    Moody's downgraded the .......

    News Round-up 29 November 2012

  • Japanese RMBS prepays rising

    Moody's reports that Japanese RMBS prepayment rates continue to increase significantly, because of falling interest rates and strong competition in the mortgage market. At the same time, default and delinquency rates have remained stable.

    The agency says this is due to: the creditworthiness of borrowers in Japanese RMBS asset pools being higher than the average credit quality of employees in .......

    News Round-up 29 November 2012

  • Italian RMBS reviewed

    Moody's has downgraded three senior notes and 10 junior notes across seven Italian RMBS, further to its reassessment of all rated Italian RMBS. The rating agency's reassessment takes into consideration: its updated European RMBS rating methodology; ongoing collateral performance deterioration; and the deterioration of the ratings of the Italian sovereign and the transactions' counterparties over the last 12 months.

    The .......

    News Round-up 28 November 2012

  • Liquidation boosts RMBS supply

    Tuesday proved a busy session for the secondary US RMBS sector. Non-agency BWIC volume was up by 40% on Monday's levels to an estimated US$687m, with SCI's PriceABS data showing subprime talk edging higher.

    "Subprime maintains its position as the most active sub-sector, propped up by a morning CDO liquidation," notes Interactive Data. "In the ARM space, less .......

    Market Reports 28 November 2012

  • Basis switch increases Dutch appeal

    Dutch RMBS currently offers particularly cheap exposure to core Europe. The traditional Dutch/UK prime RMBS basis has completely reversed from the beginning of the year, with front-pay bonds and longer-dated back-pays especially attractive.

    "While other European vanilla ABS markets have rallied strongly during the course of 2012, Dutch RMBS pricing remained relatively sticky and has largely not benefited from the .......

    News 28 November 2012
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