RMBS

  • Replacement risk weighing on BWIC volume?

    International ABS BWIC volume totalled €9.7bn in 2016, according to JPMorgan figures. Average weekly BWIC volume of €186m last year fell by around 17% from 2H15 and has subsequently fallen to €96m per week in 2017 year to date, reflecting the lack of supply and replacement risk.

    JPMorgan international ABS analysts point to peaks and troughs in secondary market activity .......

    News 9 March 2017

  • Euro secondary simmers

    The European securitisation secondary market is still simmering without yet fully coming to the boil.

    Volumes have picked up a little this week as expected, but have not yet really taken off. Instead, familiar patterns are being maintained across the board - flows remain patchy and BWICs sporadic.

    At the same time, demand continues to outstrip supply amid strong market .......

    SCIWire 9 March 2017

  • Euro secondary supply spikes

    This week is scheduled to see a spike in the volume of paper in for the bid across the European securitisation secondary market.

    Last week was once again very quiet, exacerbated by the Vegas conference and month-end, and yesterday's session was similarly slow. However, flows could be kick-started by the growing BWIC schedule for this week headlined by a very .......

    SCIWire 7 March 2017

  • UK NC clean-up calls considered

    UK non-conforming RMBS clean-up calls have long been considered out of the money options, but recent activity has changed that. Despite a rally in mezzanine UK non-conforming bonds since the beginning of the year, Deutsche Bank analysts believe this option is not yet fully priced in.

    UK non-conforming RMBS are structured with date-based calls driven by step-up margins on notes .......

    News 6 March 2017

  • First ratings for AOMT non-prime RMBS

    Angel Oak is in the market with its first rated non-prime RMBS (see SCI's pipeline). As with the issuer's previous unrated deals, the collateral combines loans to borrowers with prior credit events and self-employed borrowers who use bank statements to verify their income.

    The US$140m Angel Oak Mortgage Trust I 2017-1 RMBS has been rated by both Fitch .......

    News 3 March 2017

  • Proposed retention metric assessed

    Risk retention regulations in Europe and the US are severely flawed with respect to their key intention of imposing a strict loss retention requirement, argues a Sustainable Architecture for Finance in Europe (SAFE) white paper published last month. A new risk retention metric (RM) measuring an issuer's level of retention relative to the expected loss of a given securitisation is .......

    News 1 March 2017

  • MSR transfers under scrutiny

    The purchase by non-banks of MSR portfolios from large US banks has ramped up in recent months, as the associated capital charges bite. However, such activity has sparked concern about the ability of the buyers to adequately manage the MSRs and the potential impact on the RMBS market.

    Two REITs that have purchased MSR portfolios and increased their involvement in .......

    News Analysis 1 March 2017

  • Trading expansion underlines optimism

    INTL FCStone's broker-dealer rates group has expanded its trading remit into US agency CMBS and a wider spectrum of ABS, following the formation of a new securitised products group. Alongside its existing involvement in other securitised mortgage products, the move signals the firm's optimism about the value structured products will bring in 2017 and beyond.

    Rob Laforte, senior md, head .......

    News 28 February 2017

  • Galton debut 'weaker' than other prime RMBS

    GMRF Mortgage Acquisition Company is in the market with its first ever RMBS (see SCI's pipeline), funded by Mariner Investment Group. Galton Funding Mortgage Trust 2017-1 (GFMT 2017-1) is backed by 363 prime quality, mainly 30-year residential mortgages with total unpaid balance of US$254.5m, but Moody's warns that collateral is weak compared to recent prime deals.

    GMRF Mortgage .......

    News 24 February 2017

  • Investment differentiation

    SCI's profile questions are answered by Triphonas Kyriakis, md for analytics at MSCI; Raghu Suryanarayanan, executive director of MSCI's risk research group; and Thomas Ta, who directs the company's development of risk management analytics.

    Q: How and when did MSCI's analytics business become involved in the securitisation market?
    TT:     MSCI has been helping investors analyse securitised products for over a decade, .......

    Provider Profile 24 February 2017

  • Slow start to year 'not concerning' for Euro ABS

    The European securitisation market started the year with its traditional quiet January, but issuance has picked up through February and there are large, innovative deals on the horizon. However, the future of the ECB's ABSPP already appears to be weighing on the market.

    "January issuance was about €3bn this year. It was €6bn in 2016, but only €3.2bn the year .......

    News Analysis 23 February 2017

  • Euro ABS/MBS edges in

    European ABS/MBS secondary spreads continue to edge in.

    "The market remains strong and well-supported," says one trader. "At the same time, we're not seeing any real rotation activity from clients - even though there's action in primary, they appear content to hang on to their secondary positions as well."

    As a result, the trader adds: "Secondary spreads continue to creep .......

    SCIWire 23 February 2017

  • Ratings expansion outlined

    KBRA has named Jim Nadler ceo, with co-founder Jules Kroll stepping down from the position. The move coincides with the rating agency's plans to expand into rating European securitisations and CLOs.

    Nadler will retain the title of president, which he has held since KBRA was established in 2010, while Kroll will remain chairman. Kroll intends to spend more time on .......

    News 22 February 2017

  • Job swaps round-up - 17 February

    Europe
    Wells Fargo     has hired Steve Hulett as head of credit and ABS sales EMEA. He was previously co-head of mortgages and ABS for Jefferies, Europe.

    North America
    Gramercy Funds Management has appointed Bradshaw McKee to the role of md, capital solutions and distressed portfolio manager. He was previously co-head of emerging markets, structured credit trading at Deutsche Bank.

    Houlihan Capital has .......

    Job Swaps 17 February 2017

  • Shift in NPL asset mix anticipated

    Loan disposals totalling €103.3bn were completed in Europe last year, with the number of ongoing transactions at end-2016 representing €69.5bn across 56 deals, according to Deloitte's latest 'Deleveraging Europe' publication. The firm expects the deal rate to rise in 2017, as new markets open up and the asset mix shifts to more performing, sub-performing and complex portfolio structures.

    More complex .......

    News 16 February 2017

  • Euro RMBS volume builds

    Crédit Agricole has priced a rare publicly placed French prime RMBS named FCT Crédit Agricole Habitat 2017. Elsewhere, Fortress subsidiary Paratus AMC is in the market with the £233.23m Stanlington No. 1, a UK non-conforming RMBS.

    The final book for FCT Crédit Agricole Habitat 2017 was seen at around €2bn, out of which the seller raised €1bn. The offered senior .......

    News 16 February 2017

  • Euro ABS/MBS drifts

    The European ABS/MBS secondary market appears to be drifting along this week.

    Trading activity continues to be patchy with overall volumes very light and supply remains limited across all ABS/MBS sectors. Market tone is still strong and as a result secondary spreads are broadly unmoved over the past three sessions. Any major change is unlikely over the next few trading .......

    SCIWire 16 February 2017

  • Call for clarity around GSE reform guidelines

    Following US Treasury Secretary Mnuchin's commitment to reform the GSEs, the Mortgage Bankers Association (MBA) has published proposals as to how this can be best executed. While the recommendations - entitled 'GSE Reform Principles and Guardrails' - may improve on the current system, further clarity on certain areas may be needed if they are to be successful.

    The MBA's proposals .......

    News 14 February 2017

  • Euro secondary unchanged

    Activity in the European securitisation secondary market is little changed from that seen in recent weeks.

    Flows remain light across all sectors as sellers remain largely absent amid continuing positive market sentiment. The few BWICs that do crop up are still met with very strong demand and secondary spreads are consequently holding tight.

    There is currently one BWIC on the .......

    SCIWire 14 February 2017

  • Positive start for Aussie issuance

    Bank of Queensland last week priced its upsized A$1bn Series 2017-1 REDS Trust prime RMBS, the first Australian securitisation to hit the market in 2017, with the senior tranche seeing significant demand. Four transactions from the jurisdiction remain in the pipeline, including a non-conforming RMBS and a consumer ABS (see SCI's pipeline).

    Rated by Fitch and S&P, the .......

    News 13 February 2017

  • High-balance RMBS marketing

    JPMorgan is tapping the RMBS market with a US$1.02bn transaction. Dubbed JPMorgan Mortgage Trust 2017-1, the deal is backed by 1,645 30-year fully-amortising fixed-rate mortgage loans with different origination characteristics to previous JPMMT RMBS.

    JPMMT 2017-1 differs from previous RMBS issued by JPMorgan because the pool consists of a large percentage (36.3% across 724 loans) of high-balance conforming fixed-rate mortgages .......

    News 13 February 2017
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