RMBS

  • '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

  • Ocwen actions could hit related RMBS

    The recent court actions against Ocwen Financial Corporation (SCI 21 April) are credit negative for the firm and could also negatively affect related RMBS, Moody's suggests. If the consequences of the legal actions are severe enough, the ratings agency says, they could impact Ocwen's ability to adequately service a number of loans that back several RMBS transactions.

    Moody's has placed .......

    News 27 April 2017

  • Second SCRT 'worse credit quality'

    Freddie Mac is in the market with a securitisation of re-performing residential mortgage loans, its second RPL credit risk transfer deal. Moody's notes that the pay history of the transaction is worse than its predecessor (SCI 16 December 2016).

    Moody's has rated the US$30.665m subordinate M1 class of Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1 (SCRT 2017-1) at .......

    News 27 April 2017

  • Euro secondary stifled

    The hoped for boom in the European securitisation secondary market this week is being stifled.

    Market sentiment remains very positive bolstered by the rally in wider markets, but sellers remain thin on the ground as most investors seek to retain current positions. Consequently, flows and BWIC volumes have eased as the week has progressed, but secondary spreads are holding firm across the .......

    SCIWire 27 April 2017

  • Bill to repeal Dodd-Frank scrutinised

    Hearings are scheduled for today on a draft bill published last week by House Republicans which would repeal much of the Dodd-Frank Act. The Financial CHOICE Act would repeal risk retention rules for CLOs and all other asset classes except residential mortgages and would also repeal Volcker Rule restrictions on banks owning the debt securities of CLOs that hold anything .......

    News 26 April 2017

  • Specialist lenders driving UK RMBS

    The UK has accounted for an outsized share of the European RMBS market in 2016 and 2017 year to date, relative to 2014 and 2015 volumes. However, the spike in issuance has largely been driven by specialist lenders (SCI passim) and this seems set to continue, due to the success of the Term Funding Scheme (TFS).

    Net mortgage lending continues .......

    News 25 April 2017

  • Basel 4 raises Dutch SRT prospects

    Higher capital requirements mooted under Basel 4 are likely to disproportionately affect Dutch banks, given their large mortgage exposures. This is expected to result in a flurry of Dutch capital relief trades.

    One industry source notes that a 90%-100% LTV currently results in a 43% risk weight for standardised banks, but the Basel 4 proposal contemplates increasing it to 55%. .......

    News Analysis 25 April 2017

  • Euro secondary boosted

    The European securitisation secondary market has been boosted by the first round result in the French presidential election.

    Trading activity picked up yesterday and the BWIC calendar is slowly growing albeit from very low recent levels. The elements of softness seen last week have reversed and secondary spreads across ABS/MBS and CLOs are flat to slightly tighter.

    There are currently two .......

    SCIWire 25 April 2017

  • European hot spots highlighted

    CLOs and RMBS are seen as the main growth areas in the European securitisation market at present. Drivers include a broadening of the investor base for the former and continued bank deleveraging for the latter.

    AFME data for 1Q17 shows that pan-European CLOs led placed European securitisation issuance, followed by UK RMBS and Dutch RMBS. Volumes across these sectors totalled .......

    Talking Point 24 April 2017

  • Mortgage market model outlined

    The Mortgage Bankers Association has released a whitepaper on GSE reform that outlines its vision for an 'end state' model that fulfills what it describes as an affordable housing/duty-to-serve mission. The report also attempts to shed light on two areas that the association says have tested past reform efforts - the appropriate transition to the reformed system and the role .......

    News 24 April 2017

  • Risk transfer round-up - 21 April

    The EIF returned to the risk transfer market this week, with a €90m mezzanine guarantee for a €1.5bn portfolio of corporate loans originated by Commerzbank. The guarantee aims to spur lending to mainly German SMEs and midcaps by reducing bank capital requirements.

    Elsewhere, sources in the Dutch market suggest that Dynamic Credit is readying another balance sheet relief RMBS, following .......

    News 21 April 2017

  • Job swaps round-up - 21 April

    North America

    Morningstar has hired Charles Citro as md for CMBS ratings and analytics, based in New York, reporting to Vickie Tillman, president of Morningstar Credit Ratings. Most recently, Citro was senior md at Cushman and Wakefield within the asset surveillance group.

    Nations Equipment Finance has hired Susan O'Donovan as cfo. She was previously at Castleton Commodities International as executive .......

    Job Swaps 21 April 2017

  • Clean-up call volume rising

    US non-agency RMBS amounting to more than US$1bn in UPB was called in 1Q17, making it one of the busiest quarters for calls in many years. There is no longer such a clear skew towards prime collateral backing deals being called, while a greater variety in vintages being called is expected to develop.

    New Residential Investment Corp (NRZ) has been .......

    News 20 April 2017

  • Euro ABS/MBS picks up

    Activity in the European ABS/MBS secondary market is picking up after the Easter break.

    Yesterday saw a flurry of both bilateral trading and BWICs primarily driven by rotation activity. Secondary spreads remain firm for now given the recent paucity of supply, but the possibility of some weakening in higher beta paper is emerging.

    There are currently four BWICs on the .......

    SCIWire 20 April 2017

  • Ocwen may target MSR purchases again

    Ocwen Loan Servicing has reached a settlement with the New York Department of Financial Services (NYDFS) which brings closer the prospect of the company being able to acquire MSRs again. The California Department of Business Oversight (DBO) has already lifted its own prohibition against Ocwen purchasing MSRs (SCI 24 February).

    The servicing company has been unable to acquire new MSRs .......

    News 19 April 2017

  • Debut Canadian RMBS prepped

    The first RMBS sponsored by a major Canadian bank is marketing. Dubbed Bicentennial Trust 2017-1, the C$1.96bn deal is backed by 6,364 prime fixed-rate Canadian residential mortgage loans originated by Bank of Montreal (BMO).

    Moody's and DBRS have assigned provisional ratings of Aaa/AAA to the C$1.86bn class A notes, Aa2/AA to the C$39.21m class Bs, A1/A to the C$19.6m class .......

    News 18 April 2017

  • Floating-rate ABS lacks support for growth

    Lack of demand will likely limit the growth of floating-rate ABS and CMBS in the US, despite rising interest rates. Investors may instead hedge against interest rate exposure or invest in floating-rate products with a long performance history, such as corporate CLOs.

    Fitch recently suggested that floating-rate CMBS conduits may re-emerge in the US due to rising interest rates and .......

    News Analysis 13 April 2017
×