RMBS

  • 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

  • Positive review after error

    Fitch has placed 12 classes of notes issued by Salisbury 2015-1 on rating watch positive. The move reflects a model correction, which leads to a higher rating recovery rate (RRR) in the portfolio credit model (PCM) output.

    The PCM used at closing did not correctly apply the market value decline, as specified by Fitch's UK RMBS criteria. The agency says .......

    News Round-up 16 November 2016

  • UK inflation to affect ABS, RMBS

    Brexit-driven inflation in the UK will be credit negative for securitisations backed by mortgages, auto loans and other consumer debt, primarily through an increase in defaults among low income borrowers, warns Moody's. These borrowers will be less able to absorb the higher costs resulting from the decision to leave the EU.

    The rating agency notes that the UK is reliant .......

    News Round-up 15 November 2016

  • GSE issuance calendars released

    Fannie Mae and Freddie Mac have released 2017 issuance calendars for the Connecticut Avenue Securities and Structured Agency Credit Risk programmes respectively. The first CAS credit risk transfer RMBS is scheduled to launch in early to mid-January, while the first STACR deal is scheduled for February.

    Fannie Mae notes that during each issuance window, it has the option to issue .......

    News Round-up 15 November 2016

  • Euro secondary softens

    Declines in the bond market have begun to feed into the European securitisation secondary market.

    While sentiment continues to be generally positive across secondary, investor interest appears to have thinned since the end of last week with the spike in rate volatility. At the same time, some softness is appearing in spreads in certain sectors.

    Peripheral and UK RMBS are .......

    SCIWire 15 November 2016

  • Dutch RMBS criteria tweaked

    Fitch has updated its criteria addendum for Netherlands residential mortgage assumptions. The change is expected to negatively affect up to four existing RMBS ratings.

    The addendum updates the maturity concentration test that Fitch applies to portfolios that comprise more than 20% interest-only loans maturing within a three-year period, and if the structure includes notes that are rated single-A minus or .......

    News Round-up 14 November 2016

  • GSE RPLs beating private-label

    Re-performing loans (RPLs) owned, guaranteed or securitised by Fannie Mae and Freddie Mac will continue to outperform private-label RPLs, despite the negative performance impact on GSE loans from increased use of streamlined modifications in the coming years, says Moody's. GSEs will increasingly use streamlined loan modifications once HAMP expires, which is a credit negative because the other mods have looser .......

    News Round-up 10 November 2016

  • Dutch arrears 'lowest since 2009'

    Dutch mortgages in late-stage arrears are at the lowest levels since 2009, due to an improved macroeconomic background and proactive servicing, according to Fitch. The agency finds that of its rated RMBS, only 0.38% of mortgage loans were more than three months in arrears in 3Q16, down from 0.69% a year earlier.

    This is partly due to the addition of .......

    News Round-up 10 November 2016

  • BTL lending standards 'credit positive'

    The UK Prudential Regulation Authority's new lending standards should improve the credit quality of UK buy-to-let mortgages, Moody's suggests. The agency says that the rules are credit positive because they reduce the risk of excessive losses in UK RMBS and covered bonds.

    "The rules will reduce the risk of excessive losses and help prevent a weakening in mortgage credit quality. .......

    News Round-up 10 November 2016

  • Spanish RPL correlation examined

    Default driver analysis for Spanish re-performing (RPL) loans shows a positive correlation between the probability of default (PD) and the loan-to-value (LTV) ratio upon renegotiation, says Moody's. Foreign residents and those with homes on Spain's coast represent higher mortgage default risk.

    "Foreign residents are twice as likely to default on their mortgage loans upon restructuring. A default by a foreign .......

    News Round-up 10 November 2016

  • Euro secondary stable

    The European securitisation secondary market remains stable despite wider market volatility.

    The continuation of the buying bias and positive tone seen in secondary ABS/MBS in recent weeks ensured all sectors remained insulated from the big moves seen in equities and broader credit yesterday. Consequently, spreads were unchanged on the day and have stayed the same into this morning's open.

    Inevitably .......

    SCIWire 10 November 2016

  • Simultaneous servicer ratings action

    Fitch has simultaneously affirmed and withdrawn Seneca's US RMBS servicer ratings. It has affirmed the rating of RPS3 on the prime product for the US primary servicer, and RSS3 for the primary special servicer.

    At the same time, the agency has withdrawn Seneca's ratings due to the lack of information to support the ratings and the completed sale of Seneca's .......

    News Round-up 9 November 2016

  • Ocwen rankings affirmed

    Moody's has affirmed its master servicer assessment and servicer quality (SQ) assessments for Ocwen Loan Servicing at SQ3, as a primary servicer of prime, subprime, second lien and special servicer of residential mortgage loans. The agency says that the company has continued to demonstrate above average performance metrics across its operational areas, including collections and loss mitigation.

    Moody's notes that .......

    News Round-up 9 November 2016

  • Reperforming loan bid wins

    Towd Point Master Funding (Cerberus) has been confirmed as the winning bidder on two pools of reperforming loans sold by Fannie Mae. The pools consisted of 3,500 loans totalling US$789.2m in unpaid principal balance.

    The loans were marketed to potential bidders from 11 October (SCI 12 October). The eventual cover bid price for the two pools was 88.15% of unpaid .......

    News Round-up 9 November 2016

  • Debut Italian RMBS priced

    Banca del Mezzogiorno has issued and retained its inaugural RMBS transaction, dubbed MCC RMBS. The €427.20m deal is backed by Italian residential mortgage loans.

    Moody's and DBRS have rated the €320m class A notes (which priced at three-month Euribor plus 80bp) Aa2/AA, but the €107.20m class B notes are unrated. The deal is a static cash securitisation consisting of Italian residential mortgages .......

    News Round-up 8 November 2016

  • HMBS disclosures enhanced

    Ginnie Mae is enhancing the disclosures relating to HECM reverse mortgage pools data in the existing Factor A II and Factor B II files. The first set of changes is in connection with populating data in existing fields.

    Regarding the pool interest rate field, for all HMBS pools, this will contain the current period security interest rate. Previously, this field .......

    News Round-up 8 November 2016

  • Foreign national risks highlighted

    Mortgage loans made to foreign nationals in the US present some unique risks, Moody's notes. The agency says that although currently small, if exposure to such loans in RMBS grows as the market expands, lenders will need to adequately mitigate against the uncertainties associated with this lending.

    "The main risks in lending to foreign nationals relate to a lack of .......

    News Round-up 8 November 2016

  • Euro ABS/MBS distracted

    Activity in the European ABS/MBS secondary market continues to be light with participants focusing elsewhere.

    "Secondary is still relatively quiet," says one trader. "The market continues to be distracted by primary, where there are currently a couple of new issues that we're working on, and obviously events in the US are also taking some attention today."

    Nevertheless, the trader continues: .......

    SCIWire 8 November 2016

  • Roll-rate analysis updated

    DBRS is requesting comments on its proposed update to the RMBS Insight 1.2: US Residential Mortgage-Backed Securities Model and Rating Methodology. The primary update to the methodology relates to the roll-rate analysis when loans migrate from 180-day delinquency to default.

    DBRS has generally used a 100% roll-rate, except in certain post-crisis securitisations where the combined loan-to-value (LTV) ratios are low. .......

    News Round-up 4 November 2016

  • Nomura settles over RMBS

    Nomura Asset Acceptance Corp and Nomura Home Equity Loan have agreed to pay the NCUA more than US$3m to settle claims related to the sale of RMBS that contributed to the failure of Western Corporate Federal Credit Union and US Central Federal Credit Union. The NCUA filed suit in federal district courts in California and Kansas against the Nomura entities. .......

    Job Swaps 4 November 2016

  • Pooling requirements to boost confidence

    Recent changes announced by Ginnie Mae to pooling requirements of streamline refinanced loans are logical, according to Deutsche Bank RMBS analysts. While they suggest that the changes can be seen as mildly more restrictive than current standards, they will overall provide a small but noticeable boost to the sector, particularly to investor confidence.

    Ginnie Mae is requiring - as of .......

    News 3 November 2016
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