RMBS

  • UK ratings addendum released

    DBRS has published a European RMBS Insight-UK Addendum methodology. The UK Addendum, together with the European RMBS Insight Methodology, supersede the Master European Residential Mortgage-Backed Securities Methodology and Jurisdictional Addenda published in August 2016 for DBRS ratings assigned to UK RMBS and UK covered bonds.

    The methodology and the UK addendum is a significant change as the methodology introduces a .......

    News Round-up 3 November 2016

  • Error results in review

    Fitch has placed the class A notes - currently rated single-A - of Atlantes Mortgages No 2 on rating watch negative. The action follows the discovery of errors in the manual processing of the loan-level data and manual entry of data into the agency's EMEA RMBS surveillance model for Portugal.

    Fitch has found that the data relating to original loan .......

    News Round-up 3 November 2016

  • Jumbo RMBS 'could see growth'

    Should lenders start offering jumbo mortgages to a greater number of creditworthy borrowers, the US jumbo mortgage securitisation market could grow, according to recent research from S&P. The research also looks at the variation in the jumbo-conforming spread over time and finds that it directly impacts the US RMBS market.

    S&P analysts examine drivers of the variation between conforming and jumbo mortgage rates .......

    News Round-up 2 November 2016

  • Euro secondary patchy

    Activity in the European securitisation secondary market continues to be patchy.

    After a primarily quiet week last week, Friday saw a slight pick-up in volumes, which followed through into Monday in advance of month-end. However, activity across the board remains patchy and is further hampered by European public holidays this week and broader market volatility driven by negative headlines in .......

    SCIWire 2 November 2016

  • GSEs announce validation frameworks

    Both Fannie Mae and Freddie Mac have announced new validation tools aimed at making the mortgage origination process smoother for lenders and borrowers, with greatly reduced rep and warranty risk uncertainty. Fannie Mae's programme, which will be fully ready by 10 December, is called Day 1 Certainty.

    Freddie Mac's programme is expected to be ready next spring. Both programmes provide .......

    News 1 November 2016

  • Loan repurchase planned

    Banca Popolare di Vicenza (BPVi) and Banca Nuova (BN) are set to repurchase on 1 November all the loans in Berica 6 Residential MBS that are classified as defaulted, as of 30 September 2016. The issuer will distribute the proceeds of the sale according to the transaction waterfall on the January 2017 IPD.

    The amounts remaining after payment of the .......

    News Round-up 31 October 2016

  • Leek redemption due

    UK non-conforming RMBS Leek Finance Number 18 is set to be redeemed on 21 December, five years after the original step-up and call date. Currently £617m of bonds remain outstanding from the transaction, which JPMorgan European securitisation analysts estimate equates to nearly 2% of the distributed UK NCF opportunities held by investors.

    The move follows the full redemption of Leek .......

    News Round-up 31 October 2016

  • Deleveraging programme completed

    Permanent TSB has finalised the sale of £2.29bn worth of loans by its UK subsidiary, Landsdowne 199, to Cerberus Capital Management. The gross proceeds from the sale of the assets - which represent RWAs of £855m - is approximately £1.95bn.

    The loan assets constitute the total balance sheet of the residual book of the group's former UK subsidiary, Capital Home .......

    News Round-up 28 October 2016

  • Above par pricing anticipated

    Achmea Bank is in the market with its second swapless RMBS. The €690.5m Dutch Residential Mortgage Portfolio II is also expected to be priced above par.

    Rabobank credit analysts note that interest rate risk is mitigated by several features, including a Euribor cap agreement for the first ten years, subject to amortisation following a 5% CPR. Subordination to the senior .......

    News Round-up 27 October 2016

  • Spanish special servicers 'key'

    Loss severities on Spanish mortgage foreclosures have increased again this year, says Fitch, despite the continued price recovery in the broader residential property market. The rating agency believes the growing role of specialist mortgage loan servicers could be an important driver of future developments in the distressed market and may already be reflected in fewer foreclosures.

    Sales price discounts on .......

    News Round-up 27 October 2016

  • SFR refi incentive boosted

    Total home equity has increased by 27% since issuance across the 71,955 properties underlying the 18 single-family rental securitisations issued in 2013-2015, according to Deutsche Bank figures. The trend is expected to boost SFR issuers' refinance incentive.

    Based on property-level data released by the SFR issuers, Deutsche Bank RMBS analysts estimate that the aggregate BPO value of these properties increased .......

    News 27 October 2016

  • Euro ABS/MBS quiet

    This week has continued to be slow across the European ABS/MBS secondary market.

    "There's nothing going on," says one trader. "UK half-term means a lot of people are out this week and anyone who is here will be looking at primary where there are few interesting deals marketing."

    Secondary supply has been more limited than in recent weeks, the trader .......

    SCIWire 27 October 2016

  • Aussie CMBS has RMBS elements

    Think Tank Group is in the market with a CMBS deal which includes features more typically found in RMBS. Think Tank Series 2016-1 Trust is a securitisation of loans to commercial borrowers secured by mortgages over commercial or residential properties originated by Think Tank Group.

    S&P has provisionally rated the A$130m A1 notes and A$17m A2s at triple-A. The A$1.6m .......

    News Round-up 26 October 2016

  • UKAR sells as BAWAG preps

    UKAR has launched the sales process for the Bradford & Bingley assets. Coinciding with the announcement was BAWAG's mandating of its debut UK prime RMBS - Feldspar 2016-1 - backed by Granite mortgages.

    BAWAG - of which the majority shareholder is Cerberus - acquired the portfolio at end-2015. Barclays, Citi and Credit Suisse are joint-leads on the transaction, which is .......

    News Round-up 26 October 2016

  • Russian RMBS risks recognised

    High LTV Russian RMBS loans are twice as likely to default as lower LTV loans, says Moody's. There are also higher chances of default for loans taken out by borrowers who are self-employed, loans secured by houses rather than flats, and loans underwritten by small lenders.

    In its first ever analysis of default drivers in the Russian RMBS market, the rating .......

    News Round-up 26 October 2016

  • Loan origination tool enhanced

    Freddie Mac is set to add new capabilities to its Loan Advisor Suite in the spring. The GSE says that as the cost of originating a mortgage has more than doubled since before the financial crisis, it is collaborating with lenders to create innovative tools that reduce the costs of producing and selling high-quality loans.

    These new capabilities include: a .......

    News Round-up 25 October 2016

  • New CIRT structure trialled

    Fannie Mae has secured commitments for a new front-end credit insurance risk transfer (CIRT) structure to be executed with affiliates of approved mortgage insurance companies. The FHFA sought feedback on front-end credit risk transfer transactions over the summer (SCI 30 June).

    The pilot deal - CIRT FE 2016-1 - will be the first CIRT transaction done on a flow basis, .......

    News Round-up 25 October 2016

  • Euro secondary starts slow

    It was a slow start to the week in the European securitisation secondary market, but a large CDO liquidation should generate some interest today.

    Yesterday was quiet across the board thanks to an element of supply fatigue as the well-established pattern of primary focus linked to flurries of BWICs continued into the end of last week and was met with .......

    SCIWire 25 October 2016

  • SFIG files CRT opinions

    SFIG has responded to the FHFA's request for information on Fannie Mae and Freddie Mac's credit risk transfer strategies. Along with its own letter, SFIG has also participated in the submission of a joint trade comment letter with organisations such as the American Bankers Association, Association of Mortgage Investors, Housing Policy Council of the Financial Services Roundtable, Mortgage Bankers Association .......

    News Round-up 21 October 2016

  • Japan condo payments 'positive'

    The high loan prepayment rate for condominiums backing Japanese RMBS is credit positive for the asset class, says Moody's. The prepayment rate is expected to remain elevated for some time.

    Most Japanese RMBS deals have a sequential pay structure, with the high prepayment rate increasing credit enhancement at a rapid pace. The prepayment rate for condominium investment loans was 6.7% .......

    News Round-up 20 October 2016

  • Euro secondary unmoved

    The European securitisation secondary market remains unmoved by continuing strong new issue volumes.

    The primary market is still attracting the majority of focus, but secondary continues to tick over with pockets of trading throughout euro and sterling ABS, CLOs and MBS. An overall slight buying bias is ensuring that tone remains positive and secondary spreads are unchanged across the board .......

    SCIWire 20 October 2016
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