RMBS

  • Rate rises threaten RMBS performance

    Increased default risk for US RMBS is a potential result of the reduced mortgage prepayments expected to follow the Federal Reserve's decision to raise interest rates. Mortgages with LTVs under 60% and interest rates under 6% could see the biggest drop in prepayments.

    Morningstar Credit Ratings estimates the concentration of borrowers in this most highly affected group to be 2.5x .......

    News 27 January 2017

  • CA bringing RMBS 'first'

    Credit Agricole has mandated its first public French RMBS (see SCI's pipeline). It is Credit Agricole's first public securitisation of French home loans and is the first pure funding transaction since the financial crisis.

    The €1.136bn FCT Credit Agricole Habitat 2017 transaction is a securitisation of prime mortgage loans. Rabobank credit analysts note that the timing of the .......

    News Round-up 27 January 2017

  • Placed issuance up

    €59bn of securitised product was issued in Europe in 4Q16, an increase of 26.9% from 3Q16 (€46.5bn) and a decrease of 19% from 4Q15 (€72.8bn), according to AFME figures. Of this, €31.1bn was placed (representing 52.7%), compared to €21.5bn placed the previous quarter (46.2%) and €15.7bn placed in 4Q15 (21.6%). Placed securitisation grew by 16% in 2016, compared to 2015's .......

    News Round-up 27 January 2017

  • CRT variances examined

    Fannie Mae's latest risk-sharing RMBS - the US$1.4bn CAS 2017-C01 - offered class 1B1 bonds are no longer first-loss portions of the capital structure and instead feature 50bp of credit support, in the form of another subordinate B tranche that it retained. In a new study, Wells Fargo structured product analysts suggest that the move is reflective of how credit .......

    News 26 January 2017

  • Non-prime issuance 'to double'

    Fitch suggests that 2017 could be a watershed year, with a more large-scale return of new US non-prime RMBS. The agency projects a two-fold increase in issuance and a more rapid growth trajectory longer term.

    Over the last 18 months, 10 non-prime RMBS deals totalling over US$1bn from five issuers have come to the market. "Growth in US non-prime RMBS .......

    News Round-up 26 January 2017

  • Extra RMBS cash set aside

    RBS is setting aside a further £3.1bn provision for various investigations and litigation matters relating to its issuance and underwriting of US RMBS. The extra £3.1bn takes the total aggregate of provisions to £6.7bn.

    The bank says that it continues to cooperate with the US Department of Justice in its civil and criminal investigations of RMBS matters, and RBS considers .......

    Job Swaps 26 January 2017

  • Decree may impact RMBS

    Following recent court decisions, the Spanish government has announced a Royal Decree 1-2017, which requires banks to identify mortgage loans where the presence and operation of interest rate floor clauses were not originated with sufficient transparency. Fitch expects the move to clarify any impact on RMBS transactions.

    Banks will now propose and agree settlements with affected mortgage borrowers, with loan reviews and .......

    News Round-up 24 January 2017

  • Weak pools blunt Countrywide boost

    The positive credit effects of the US$7.35bn settlement proceeds distributed to outstanding Countrywide RMBS trusts last June (SCI 19 May 2016) have been muted by increasing pool losses and rising shares of seriously delinquent loans, says Moody's. The rating agency notes that the influx of cash to the Countrywide deals was not large enough to significantly affect the transactions' credit .......

    News Round-up 24 January 2017

  • Euro secondary still seeks supply

    Demand continues to outstrip supply in the European securitisation secondary market.

    Tone remains positive across the board and investor appetite is still strong in every sector. However, there continues to be next to no supply via BWICs or new issuance. Consequently, when auctions do appear they trade exceptionally well and are keeping spreads flat to slightly tighter.

    There is currently .......

    SCIWire 24 January 2017

  • Dutch market strengthening

    The recent STORM 2017-I involved the sale of the largest publicly distributed senior Dutch RMBS tranche since the financial crisis, at €2bn (see SCI's primary issuance database). The deal, amid a number of other credit positives, suggests that the Dutch RMBS market could be poised for growth in 2017.

    JPMorgan European securitisation analysts point out that the Netherlands has enjoyed .......

    News 23 January 2017

  • CMBS pro named president

    ReadyCap Commercial has named Anuj Gupta as president, responsible for loan originations, affinity relationships, capital markets, credit and asset management. He has played an active role in the firm since 2013 and will now join the executive management team full-time.

    Gupta has more than 20 years of experience in commercial real estate lending, having previously led CRE capital markets and .......

    Job Swaps 23 January 2017

  • Representations claims resolved

    Société Générale has agreed to pay a US$50m civil penalty to the US Department of Justice to resolve claims under the Financial Institutions Reform Recovery and Enforcement Act related to its activities in connection with the marketing, sale and issuance of an RMBS dubbed SG Mortgage Securities Trust 2006-OPT2. As part of the agreement, the bank has acknowledged in writing .......

    Job Swaps 23 January 2017

  • Duration risk

    Rate rises hurt Fed's MBS book

    The December interest rate hike in the US reflected the increasing health of the economy, but it also created issues for the US Fed's large book of MBS, which make up US$1.7trn of its balance sheet. Indeed, rising rates bring the spectre of duration risk for certain fixed rate assets, such as Fannie Mae 30-year mortgage pools.

    These assets account .......

    News Analysis 20 January 2017

  • FHFA seeks GSE mortgage feedback

    The FHFA is requesting public input on chattel loan pilot initiatives for Fannie Mae and Freddie Mac and on proposed evaluation guidance on serving underserved markets. The FHFA issued a final rule on 13 December 2016 to implement duty to serve provisions.

    The GSEs must serve three specified underserved markets by improving the distribution and availability of mortgage financing in .......

    News Round-up 19 January 2017

  • Market risk highlighted

    Fitch highlights Delft 2017 (SCI 12 January), which it hasn't rated, as an example of an RMBS that could expose investors to the strength and liquidity of housing and lending markets in a concentrated period near bond maturity. The agency says that such concentrated refinancing risk in portfolios of high LTV ratio interest-only mortgage loans can result in rating caps .......

    News Round-up 19 January 2017

  • Euro ABS/MBS accelerates

    Activity has accelerated in the European ABS/MBS secondary market after a slow start to the week.

    The continuing strong tone and investor cash reserves continue to fuel demand for paper, which has generated increased bilateral trading in most sectors over the past two sessions. At the same time, BWIC volumes remain low as sellers keep their powder dry, while the .......

    SCIWire 19 January 2017

  • Net negative

    GSE reform could have widespread impact

    Privatisation of Fannie Mae and Freddie Mac could have widespread negative consequences for the US RMBS and CMBS markets, as well as on availability of credit for the housing market. Encouraging private label issuance to step in as the GSEs scale back remains a significant challenge.

    Treasury Secretary designate, Steven Mnuchin, recently stated that Fannie Mae and Freddie Mac should .......

    News Analysis 19 January 2017

  • Modelling head named

    MSCI has recruited David Zhang as head of securitised products research. In this newly created role, he will oversee the firm's development of models that help traders, portfolio managers and other institutional investors analyse risk and return for securitised products.

    Zhang previously headed modelling of securitised products at Credit Suisse. In 11 years at the firm, he designed models for .......

    Job Swaps 18 January 2017

  • Euro secondary slow

    It's been slow start to the week so far for the European securitisation secondary markets.

    Participants look to have taken the opportunity of the US public holiday yesterday to catch their breath and there was little movement in terms of trading or levels. However, tone remains very strong across the board and volumes are likely to pick up as the .......

    SCIWire 17 January 2017

  • Ratings suits settled

    The US Department of Justice, 21 states and the District of Columbia have reached a nearly US$864m settlement agreement with Moody's, Moody's Analytics and their parent Moody's Corporation. The settlement resolves allegations arising from Moody's role in providing credit ratings for legacy RMBS and CDOs, including pending state court lawsuits in Connecticut, Mississippi and South Carolina, as well as potential .......

    Job Swaps 16 January 2017

  • Flawed logic

    Regulators' confidence in extra ratings 'misplaced'

    The regulatory drive to require multiple ratings for European structured finance products may not achieve its intended aims, despite necessarily adding costs. The findings of a recent Finance Research Letters study suggest that the regulatory initiative is based on an understanding of market practices that is not borne out by facts.

    Conventional wisdom states that investors gain comfort from additional .......

    News Analysis 13 January 2017
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