RMBS

  • CIRT pricing detail provided

    Fannie Mae is now making additional disclosures for its Credit Insurance Risk Transfer (CIRT) programme. Effective immediately, the GSE is disclosing pricing information for all of its deals dating back to 2014, when the CIRT programme began.

    The additional information complements the disclosures that Fannie Mae has already been providing on its website, including copies of final insurance documents and .......

    News Round-up 1 December 2016

  • RPL RMBS characteristics surveyed

    Re-performing loan (RPL) RMBS issuance has remained steady since the launch of the first transaction, Towd Point Mortgage Trust 2015-1, last year. Moody's expects volumes in the sector to increase, given the steady supply of non-performing loans and RPLs from ongoing sales by the US Department of Housing and Urban Development (HUD), the GSEs and various banks.

    As of 30 .......

    News Round-up 1 December 2016

  • Euro ABS/MBS distracted

    New deals are continuing to keep focus way from the European ABS/MBS secondary market.

    "Primary is still distracting most players, with a couple of new deals in particular drawing most attention right now," says one trader. "The Red & Black autos deal is pretty straightforward, but the next Towd Point issue is more complex and it's taking a bit of .......

    SCIWire 1 December 2016

  • Recovery analysis RFC issued

    S&P is requesting feedback on its structured finance recovery analysis of US RMBS, US and Canadian CMBS and global CLOs. The rating agency's intention is to provide information that looks beyond its first-dollar-of-loss credit ratings in cases where its credit ratings are limited because of timeliness of payments, and to facilitate greater credit differentiation within its existing credit rating categories.

    News Round-up 30 November 2016

  • Dynamic RMBS model introduced

    DBRS has launched the UK RMBS Insight Model, which aims to offer a different way to forecast expected defaults and losses of UK residential mortgages. The tool combines a loan scoring approach and dynamic delinquency migration matrices to calculate loan-level defaults and losses.

    The loan scoring model and dynamic delinquency migration matrices were developed using historical UK data for loan, .......

    News Round-up 30 November 2016

  • SFR portfolio values on the rise

    KBRA has affirmed each of the 151 ratings it has outstanding in the single-family rental securitisation sector, as part of a broader overview. The ratings are assigned to 26 single-borrower transactions - each of which is collateralised by a single loan - with the underlying loans having an aggregate balance of US$15.6bn, secured by 105,310 SFR properties.

    The rating agency finds that property .......

    News Round-up 29 November 2016

  • Mortgage originations 'have peaked'

    The FHFA's decision to raise conforming loan limits for the first time in a decade has been welcomed by the mortgage industry, but Kroll Bond Rating Agency does not believe it will be a meaningfully positive factor for future residential mortgage loan originations. Rather, KBRA believes 2016 may have been the peak for lending volumes for the next several years.

    News Round-up 29 November 2016

  • Strong performance spurs SFR upgrades

    The class B, C and D notes of Invitation Homes 2013-SFR1 have been upgraded by Moody's as a result of the steady build-up in equity in the properties backing the securitisation. IH 2013-SFR1 was the first-ever single-family rental securitisation (SCI 1 November 2013) and the move marks the first-ever upgrade for the segment.

    Moody's has upgraded the class B notes .......

    News Round-up 29 November 2016

  • Rare Irish RMBS priced

    Lone Star has privately placed a rare Irish non-conforming RMBS. Dubbed European Residential Loan Securitisation 2016-1, the €536.6m transaction is backed by both performing (representing 32.58% of gross book value) and non-performing (63.81%) mortgages originated by Irish Nationwide Building Society.

    The loans were extended primarily to borrowers in Ireland, although there are £2.07m of loans secured over residential properties located .......

    News 29 November 2016

  • Euro secondary surge

    There is a surge in activity throughout the European securitisation secondary market.

    Activity has picked up across the board following the US holiday last Thursday and this week is seeing a notable pick-up in BWICs either side of month-end. Until now the buying bias remains and spreads have held up in the majority of sectors. However, continuing concern around the .......

    SCIWire 29 November 2016

  • Small value operations due

    The New York Fed's open market trading desk intends to conduct two small value agency MBS sales operations on 29 November and 1 December. The total current face value of sales across the two operations will not exceed US$100m.

    The Fed says such small value exercises are a matter of prudent advance planning. The desk has published an operating schedule, .......

    News Round-up 24 November 2016

  • Euro ABS/MBS firm

    Tone remains firm in the European ABS/MBS secondary market albeit on low volumes.

    Inevitably with the US Thanksgiving holiday flows have been very light over the past couple of sessions and look set to stay that way for the rest of the week. Nevertheless, sentiment remains positive across the bulk of sectors and consequently secondary spreads are unmoved. Even Italian .......

    SCIWire 24 November 2016

  • RMBS legal claims dropped

    Fraud claims alleged by Federal Home Loan Bank of Boston (FHLBB) against RBS Securities and other RBS companies relating to the marketing and sale of 10 RMBS certificates are being dropped after the plaintiff and defendants filed a joint stipulation seeking dismissal. However, a further two claims against RBS remain, and FHLBB also retains claims against other defendants.

    "FHLBB brought .......

    Job Swaps 23 November 2016

  • Positive review for RPL deals

    Fitch has reviewed 175 classes from seven US RMBS transactions backed by re-performing loans. The transactions have between five and 23 months' seasoning and serious delinquencies range from 0.6% to 4.7%, which is better than initially expected for peak-vintage RPL collateral. No deal has more than 33bp of realised loss to date, as a percentage of the closing pool balance.

    News Round-up 23 November 2016

  • Risk firm swipes mortgage vets

    MountainView has hired David Bennett and Michael Riley for its risk analytics team. Both will take the role of md and focus on expanding and improving MountainView's range of services.

    Bennett was previously at Compass Analytics, where he was md working on hedging pipeline risks for mortgage originators. Prior to that, he was MSR manager at Fifth Third Bank, responsible .......

    Job Swaps 22 November 2016

  • Mortgage loan servicing evolving

    An environment of continued regulatory scrutiny will lead US mortgage loan servicing to increasingly fall to non-banks, says Fitch. At a servicer roundtable hosted by the rating agency, 89% of servicers agreed that non-bank servicers will continue to take market share from banks next year.

    The source of non-bank portfolio growth is evolving. Where growth among non-banks was previously driven .......

    News Round-up 22 November 2016

  • RMBS case settled

    Ally Financial has agreed to pay US$52m in conjunction with its resolution of all outstanding investigations and potential claims by the US Department of Justice (DOJ) related to RMBS issued by the company's former mortgage subsidiary Residential Capital and its ResCap RMBS subsidiaries. It has also agreed to withdraw the broker-dealer registration of Ally Securities, which it says has not .......

    Job Swaps 22 November 2016

  • CIRT programme diversifies

    Fannie Mae has completed its tenth Credit Insurance Risk Transfer (CIRT) transaction of 2016. For the first time since the programme's inception, the loan pool covered by the US$11.7bn CIRT 2016-9 deal consists of 15-year and 20-year fixed rate mortgages.

    Fannie Mae says the transaction allows it to offer reinsurers a more diversified investment opportunity. "With CIRT 2016-9, we identified .......

    News Round-up 18 November 2016

  • RMBS, re-REMIC criteria updated

    Fitch has updated its criteria for analysing outstanding US RMBS and new and outstanding re-REMICs. The criteria revisions are not expected to have immediate rating implications for outstanding rated classes, although a revision to the time-specific payoff requirements for rating upgrades of recent vintages could lead to an increased number of rating upgrades over time.

    The rating agency's updates are .......

    News Round-up 17 November 2016

  • Euro ABS/MBS unchanged

    There's been little movement in the European ABS/MBS secondary market this week, so far.

    While sentiment continues to be positive, volumes have remained low this week as most investors appear content to sit on the sidelines for now. What activity there has been has revolved around prime assets and Street trading. Consequently, ABS/MBS secondary spreads across the board have remained .......

    SCIWire 17 November 2016

  • Fresh faces

    New breed of RMBS issuer steps up

    A slew of issuance from private equity companies and other non-traditional issuers is changing the face of the European RMBS market. The trend can be seen in multiple jurisdictions, with deal structures evolving as a result.

    In the UK, investor reaction to these deals has been mixed. Austrian bank BAWAG PSK issued Feldspar 2016-1 at the start of this month, .......

    News Analysis 16 November 2016
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