RMBS

  • Japan RMBS performance 'strong'

    Japanese RMBS performance remained strong in 2Q16 and was unaffected by the Kumamoto earthquake, reports Moody's. Deals rated by the agency continued to exhibit low delinquency and default rates, while the prepayment rate hit a record high.

    Moody's-rated Japanese RMBS has limited exposure to mortgages on properties in the Kumamoto prefecture and Kyushu region. Performance is expected to remain stable .......

    News Round-up 28 September 2016

  • NCUA suits resolved

    RBS has reached a final settlement with the NCUA to resolve two outstanding civil lawsuits for US$1.1bn. The settlements relate to two RMBS cases that assert claims on behalf of US Central Federal Credit Union and Western Corporate Federal Credit Union.

    The bank says the settlement amount is substantially covered by existing provisions, as of 30 June 2016, and will .......

    Job Swaps 28 September 2016

  • Fifth community impact NPL pool sold

    Fannie Mae has successfully sold its fifth community impact pool of NPLs. The winning bidder on the pool was The Community Loan Fund of New Jersey, which is an affiliate of New Jersey Community Capital.

    The transaction is expected to close on 22 November and includes 120 loans secured by properties located in the Miami, Florida area with an unpaid .......

    News Round-up 28 September 2016

  • Flow-basis deal debuts

    Freddie Mac is rolling out a new front-end credit risk transfer offering dubbed Freddie Mac Deep MI CRT. Through a forward credit insurance policy provided by a panel of mortgage insurance company affiliates, this pilot structured transaction provides additional coverage beyond the primary mortgage insurance on 30-year fixed-rate mortgages with 80%-95% LTVs, which is placed immediately upon their sale to .......

    News Round-up 27 September 2016

  • Treasure hunt

    Investors seek other assets as UK RMBS shrinks

    The UK RMBS universe is set to shrink throughout 2016, exacerbated by limited supply and the redemption of the €4.4bn Aire Valley master trust. Against this backdrop, other sectors could benefit from excess investor cash.

    Paragon Group, for one, recently announced that it will not be issuing further RMBS this year. Clayton Euro Risk strategic projects head Simon Collingridge notes .......

    News Analysis 27 September 2016

  • Euro ABS/MBS starts slowly

    The European ABS/MBS secondary market has started the week slowly.

    Softer broader markets meant a dip in activity across ABS/MBS sectors yesterday. However, they remain insulated from the weaker sentiment elsewhere and secondary spreads generally held firm.

    In contrast, the previous few sessions saw robust activity boosted by a positive response to comments from the Fed. Decent two-way flows, with .......

    SCIWire 27 September 2016

  • Chinese NPL trio prepped

    Three Chinese issuers are in the market with NPL securitisations (see SCI pipeline). One of them - China Construction Bank - only made its debut in the asset class last week.

    China Construction Bank is joined by China Merchants Bank and the Industrial and Commercial Bank of China (ICBC). China Construction Bank's next offering is sized at CNY1.56bn. The ICBC .......

    News Round-up 26 September 2016

  • Mexican RMBS ratings amended

    Moody's has changed the ratings on several Mexican RMBS transactions to reflect a correction to its cash flow modelling.

    The upgrades consist of certificates from METROCB 06U, from Caa3 to Caa2. This primarily results from a correction to the cash flow waterfall model used to rate this transaction. This led to an increase in the available excess spread to make .......

    News Round-up 23 September 2016

  • Bank shuffles SF pros

    Credit Suisse has made a series of changes to its asset finance team, with a number of structured finance pros changing roles. Among the changes, Jay Kim has been promoted to global head of structured products.

    Kim's promotion follows the appointment of Brian Chan, former co-head of credit and securitised products, to the firm's board with the new role of .......

    Job Swaps 23 September 2016

  • Settlement talks watched closely

    Final settlements reached by European banks with the US Department of Justice (DoJ) for the issuance and underwriting of RMBS are likely to be far lower than the DoJ's US$14bn opening position in relation to Deutsche Bank (SCI 16 September), says Fitch. Deutsche Bank has already made the point that US peer banks settled for far lower sums than the .......

    News Round-up 22 September 2016

  • Record involvement for new CIRTs

    Fannie Mae has completed two more credit insurance risk transfer (CIRT) transactions, worth US$14.4bn. The company has now transferred a portion of the credit risk on US$759bn in single-family mortgages, with its latest deals attracting a record number of reinsurers.

    CIRT 2016-7 and CIRT 2016-8 shift a portion of the credit risk on pools of single-family loans to insurers and .......

    News Round-up 22 September 2016

  • GS meeting settlement requirements

    Goldman Sachs is meeting its consumer relief requirements as part of its US$5bn RMBS settlement, says the settlement's monitor. A report from monitor Eric Green shows that Goldman Sachs passed its first round of compliance testing for the consumer relief portion of its settlement, which was reached earlier this year (SCI 12 April).

    In addition to a US$2.385bn civil monetary .......

    News Round-up 21 September 2016

  • South African RMBS 'robust'

    South African RMBS will remain robust despite subdued growth expected for the country's economy, according to Moody's. The rating agency adds that the credit risk of borrowers in the collateral pools is minimal relative to borrowers in the wider population.

    Greg Davies, avp at Moody's, states: "While consumer indebtedness is high, RMBS borrowers have lower debt levels compared to their .......

    News Round-up 20 September 2016

  • RFC on RMBS methodology

    DRBS has issued a request for comment on the proposed UK addendum to its European RMBS methodology, which is considered to be a material change. Comments are published on the rating agency's website and should be received on or before 19 October 2016.

    The UK addendum introduces a new proprietary default model to forecast expected defaults and losses on European .......

    News Round-up 20 September 2016

  • Australian mortgage arrears rise

    Mortgage arrears in Australia have risen 4bp to 1.14% in 2Q16, which comes as a surprise to the market, notes Fitch. Its latest Dinkum RMBS Index - which tracks Australian mortgage loans underlying RMBS - report highlights that the rise is unusual given the strong economic environment, low-interest rates and low-but-positive real wage growth.

    It adds that the country has .......

    News Round-up 19 September 2016

  • Brazil RMBS RFC issued

    Moody's has published a request for comment on its proposed approach to Brazilian RMBS, to be submitted no later than 17 October 2016. The approach uses an RMBS collateral analysis model called Moody's Individual Loan Analysis (MILAN) which is a key component in its loan and portfolio loan evaluation.

    It states that in determining Brazil MILAN it used parameters for .......

    News Round-up 16 September 2016

  • DB enters RMBS settlement talks

    Deutsche Bank has commenced negotiations with the US Department of Justice (DoJ) to settle civil claims which may be brought as a result of the bank's issuance and underwriting of RMBS and related securitisation activities between 2005 and 2007. The bank confirms that the DoJ's opening position is a US$14bn settlement, with Deutsche Bank invited to submit a counter proposal. .......

    News Round-up 16 September 2016

  • Ocwen steps up loan mods

    Ocwen's loan modification activity has doubled beginning in July with the implementation of the Streamline HAMP programme. Modification activity is expected to remain elevated for several months as a result of the programme.

    Increased cash flow from the successful modifications is expected to outweigh the costs of unsuccessful modifications, says Ocwen. Fitch notes that unsuccessful modifications will have longer liquidation resolution .......

    News Round-up 16 September 2016

  • Horizontal interest

    Sponsors assess horizontal risk retention benefits

    An increasing number of US sponsors are expected to retain a horizontal rather than a vertical risk slice in upcoming securitisations, despite complexities around valuation and disclosure of the residual interests. Several recent transactions have successfully employed the horizontal risk retention method and its economic efficiencies may convince other sponsors to follow suit.

    Later this year, all classes of US .......

    News Analysis 16 September 2016

  • STACR hits tightest price

    Freddie Mac has priced its sixth STACR offering of the year, with the senior M1 notes printing at the tightest level to date at one-month Libor plus 80bp. The US$515m STACR Series 2016-HQA3 also saw its M2 tranche print at plus 135bp, the M3s at 385bp and subordinate Bs at 900bp.

    Fitch provisionally rated the US$143m M1 tranche at triple-B, while .......

    News Round-up 15 September 2016

  • Second SFR deal repaid

    American Homes 4 Rent (AH4R) has repaid the US$342.1m loan that backs the American Residential Properties 2014-SFR1 single-family rental securitisation. The move follows the merger of the sponsor American Residential Properties with AH4R earlier this year.

    Unlike other single-family rental transactions, ARP 2014-SFR1 had to satisfy a specific debt yield in order to extend its loan terms (SCI 15 April). .......

    News Round-up 13 September 2016
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