RMBS

  • Credit-scoring models contrasted

    The importance to ABS of the VantageScore credit-scoring model continues to grow, with structured finance transactions increasingly using the credit metric. As such, rating agency DBRS believes investors would benefit from a greater understanding of the FICO alternative.

    "Evidence points at VantageScore gaining traction in consumer lending and, by extension, in structured finance. The inclusion of VantageScore as a credit .......

    News 31 May 2017

  • Irish central bank steps up NPL pressure

    The governor of the Central Bank of Ireland stated this week that the pace of NPL reduction in Ireland is too slow and new strategies are needed to combat the still elevated volume of bad loans. The move signifies increased political pressure on Irish banks to reduce NPL ratios.

    This is somewhat complicated by the fact that Ireland is considered .......

    News Analysis 26 May 2017

  • Job swaps round-up - 26 May

    North America

    SFIG has hired Covell Adams as chief administration officer and Scott Brody as director of education and conferences. Adams joins from Wells Fargo Securities where she was head of business strategy and development for the asset backed finance and securitisation unit. Brody was previously md at IMN-Euromoney and he co-founded IMN in 1994.

    KBRA has hired Michael Dean .......

    Job Swaps 26 May 2017

  • Investors overweight RMBS

    Investors are moving out of consumer ABS and into US non-agency RMBS, agency RMBS and cash, according to a Morgan Stanley survey. 89% of survey respondents expect to stay in line or add to their current allocation to securitised products.

    The 2Q17 global investor survey polled 30 hedge funds, 67 asset managers, 23 insurance companies, 27 banks, two pension funds .......

    News 23 May 2017

  • Global interest in Euro SF surges

    The number of investors in European securitisations is ramping up and transactions are increasingly oversubscribed. Issuance volumes still lag behind 2016, but structured finance analysts at Bank of America Merrill Lynch are optimistic that 2017 can gain momentum thanks to increased global investor demand.

    There has been renewed investor interest in European structured products, which the analysts believe will push .......

    News 22 May 2017

  • Job swaps round-up - 19 May

    CDO manager transfers

    Dock Street Capital Management has replaced Vertical Capital as portfolio advisor to Summer Street 2005-HG1 and Vertical CDO 2003-1. Moody's confirms that the move will not impact the ratings on the ABS CDOs.

    EMEA

    BlueMountain Capital Management has named Louisa Church ceo for Europe. She will also continue in her role as head of client advisory - .......

    Job Swaps 19 May 2017

  • Regulatory proposal for SPVs 'credit negative'

    Proposed European regulatory changes to classify SPVs as financial counterparties have created significant uncertainty and are credit negative, rating agencies warn. Should the European Commission's (EC) intended amendments to EMIR be carried out, transactions would be required to post two-way variation margin and clear derivatives centrally.

    The EC's proposals remain subject to approval from the European Parliament and Council. Fitch .......

    News 19 May 2017

  • Structured sale to be resecuritised

    Freddie Mac is auctioning an approximately US$292m pool of seasoned re-performing loans from its mortgage investments portfolio in its second such structured sale. The transaction will involve a two-step process and ultimately result in the issuance of the Freddie Mac SLST Guaranteed Securities Series 2017-1 resecuritisation.

    The pool is comprised of loans with step-rate modifications (primarily HAMP) and loans modified .......

    News 19 May 2017

  • Big appetite for BTL RMBS pair

    The two UK buy-to-let RMBS issued by Blackstone and Prudential last month (SCI 4 April) provided a significant source of paper for the market. With UK Asset Resolution (UKAR) set to offload more loans later this year there could be future RMBS in the pipeline as well - although as with the latest two deals, absorbing that paper may test the .......

    News Analysis 18 May 2017

  • CRT customisation gains traction

    The GSE credit risk transfer (CRT) market has continued to evolve since it began in 2013, with Fannie Mae and Freddie Mac respectively issuing US$23.9bn and US$19.8bn in CAS and STACR securities to date. The sector has taken a further step forwards in recent weeks, following the execution of the first exchangeables trades.

    GSE CRT deals are a compelling investment .......

    News Analysis 17 May 2017

  • Optionality driving RMBS focus

    The legacy US non-agency RMBS market is experiencing a 'perfect storm' of events, given the current low rate, low volatility environment. Strong performance and increasing optionality has prompted a renewed focus on the product.

    The last 12 months have been stable - with a couple of short-lived bouts of volatility around the Brexit vote and in the run-up to the .......

    News 16 May 2017

  • Job swaps round-up - 12 May

    Amicus briefs

    The LSTA has joined The Clearing House and the American Bankers Association to file amicus briefs in cases initiated by the State of Colorado against Avant and Marlette, both of which have bank partners (WebBank and Cross River Bank respectively). In January, Colorado regulators sued the two marketplace platforms, claiming that their loans are subject to Colorado interest .......

    Job Swaps 12 May 2017

  • Letter opposes Lehman proposal

    Lawyers from Kasowitz Benson Torres, representing an investor group holding certificates issued by RMBS trusts with claims in the Lehman Brothers bankruptcy, have expressed concern over a proposed US$2.4bn settlement. The case is one of the few remaining put back disputes arising from pre-crisis RMBS and one of the last remaining Lehman bankruptcy cases.

    Trustees for 244 RMBS trusts are .......

    News 12 May 2017

  • Floaters beat ARMs in a bear flattener

    Yield curve flattening and a rapid increase in prepayments on post-reset adjustable rate mortgages (ARMs) are expected as US interest rates rise. As such, certain floating-rate products - including SBA floaters, CMO floaters and agency CMBS - could become more attractive in the next 12-18 months.

    The yield curve bear flattened recently as investors increased their probability of a June .......

    News Analysis 10 May 2017

  • Euro ABS/MBS quiet

    Despite the resolution of the French presidential election the European ABS/MBS secondary market remains quiet.

    "Overall, it's still very quiet," says one trader. "We had a new Bavarian SKY issue announced yesterday, but that's the first primary deal in a few weeks."

    The trader continues: "In secondary not much happened between the two rounds of the French presidential election. We're .......

    SCIWire 9 May 2017

  • Job swaps round-up - 5 May

    North America

    Hunton & Williams has hired John Dedyo as corporate partner to its New York office. Dedyo represents issuers, underwriters, asset managers, credit enhancers, rating agencies and investors in all aspects of privately placed and publicly offered securitisation transactions. Dedyo was previously a partner at Weil, Gotshal & Manges.

    Ares Management and Ares Commercial Real Estate (ACRE) has hired .......

    Job Swaps 5 May 2017

  • 'Major uncertainy' from swap mismanagement

    Notices have been released highlighting swap book mismanagement by 11 issuers in the E-MAC RMBS series. CMIS, which serves as loan servicer and SPV issuer administrator, has stepped in to cover certain fees, but in claiming for reimbursement has created what Rabobank analysts refer to as "a major uncertainty".

    The affected issuers are: E-MAC NL 2004-1; E-MAC NL 2004-II; E-MAC .......

    News 5 May 2017

  • Irish NPL wave expected

    Allied Irish Bank last month sold €400m gross book value of non-performing buy-to-let loans to Goldman Sachs at a 50% discount to their original value. The transaction signals a shift in the seller base for non-performing loans from foreign banks and bad bank NAMA to domestic Irish lenders.

    According to Tom McAleese, md at Alvarez and Marsal, between 2011 and .......

    News Analysis 3 May 2017

  • Job swaps round-up - 28 April

    EMEA

    Ashurst has promoted Alex Biles and Malcolm Charles to its partnership in London. Biles advises on a broad range of debt capital market products, including structured finance. Charles is a member of the firm's corporate trust and agency practice, advising on securitisations.

    Tikehau Capital has appointed Peter Cirenza as head of its London operations. His new role is aimed .......

    Job Swaps 28 April 2017

  • GSE CRT value explored

    High-LTV GSE credit risk transfer (CRT) deals differ from low-LTV ones in more ways than just LTV ratio. While controlling for these differences shows worse delinquencies for high-LTV deals, loss severities are actually better, and therefore high-LTV CRTs could provide compelling opportunities for spread pickup.

    When Fannie Mae and Freddie Mac launched their CRT programmes in 2013, reference pools consisted .......

    News 28 April 2017

  • SFR composition trends analysed

    Fewer distressed buying opportunities for institutional investors in single-family rental houses has led to a shift of securitised properties from the southwest US to the southeast. A new Morningstar Credit Ratings analysis highlights that the composition of future issuance in the sector will depend on market-driven property acquisition and disposition strategies.

    After peaking in 2014, fewer single-borrower SFR properties are .......

    News 28 April 2017
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