RMBS

  • 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

  • Canadian RMBS transferred

    Equitable Bank has entered into an agreement with Canada Mortgage and Housing Corporation (CMHC) to become the successor issuer on C$3.1bn of outstanding National Housing Act (NHA) MBS pools originally issued by Maple Bank's Toronto branch and bought by third-party investors. The move follows Maple's Chapter 15 bankruptcy filing in February after Germany's BaFin initiated a tax probe into the .......

    News Round-up 13 September 2016

  • Chinese issuance gains momentum

    China's structured finance market will continue expanding in both scope and scale, with increased asset class diversification, says Fitch. A total of CNY193.4bn of Chinese structured finance transactions were issued in 2Q16, representing a 96% year-over-year increase.

    In its latest quarterly publication on Chinese structured finance, the rating agency says the increase in issuance was principally driven by 242% growth .......

    News Round-up 13 September 2016

  • Euro secondary unmoved

    The European securitisation secondary markets have been unmoved by recent broader market volatility.

    Tone continues to be positive across the board and secondary spreads were generally insulated from last week's wider market sell-off. Whereas, boosted by the stronger macro sentiment seen yesterday afternoon widespread tightening looked set to resume at this morning's open.

    Shortage of primary supply continues to be the .......

    SCIWire 13 September 2016

  • Housing boost for Spain

    The bottoming-out of house prices in Spain will reduce the expected severity of mortgage defaults, resulting in the improvement of the performance of Spanish RMBS, SME ABS and covered bonds, according to Scope Ratings.

    Analysts at the agency suggest that concerns about the near-term volatility of expected recovery rates on defaulted mortgage loans backed by residential properties in Spanish deals .......

    News 13 September 2016

  • Ocwen fails two tests

    Ocwen failed two compliance tests in 4Q15 due to force-placed insurance, according to the latest US National Mortgage Settlement monitor review by Joseph Smith. The failures came after the servicer had passed all tests in the previous quarter.

    Smith says that Ocwen failed metrics 28 and 29, the former of which tests the timeliness of communications regarding a lapse in .......

    News Round-up 12 September 2016

  • NPL portfolio on the block

    Freddie Mac is auctioning off a US$1.1bn portfolio of seasoned non-performing residential whole loans held in its mortgage investment portfolio. The NPLs are currently serviced by Wells Fargo or Ditech Financial.

    The NPLs are being marketed via five pools: four standard pool offerings (SPO) and one extended timeline pool offering (EXPO). Bids are due from qualified bidders on 29 September .......

    News Round-up 12 September 2016

  • Cannibal territory?

    Covered bond growth poses threat to RMBS

    The pace of the ECB's investment in the ABSPP and CBPP3 appears to be slowing, yet the impact the programmes have had on the market is undeniable, with covered bond volumes now threatening to eclipse RMBS. The comparative simplicity of covered bonds and their resulting favour with the ECB appears to have directly fed the cycle whereby covered bond issuance .......

    News Analysis 12 September 2016

  • Prepayment spikes

    Shift in focus for agency CRT investors?

    Investors in US agency credit risk transfer (CRT) RMBS are taking note of recent STACR prepayment spikes. Robust performance and the re-emergence of a structural nuance have spurred a shift in focus for a sector historically focused on credit risk.

    Freddie Mac STACR prepayment speeds for July continued their recent trend of increasing, with most deals surpassing their highs from .......

    News Analysis 9 September 2016

  • MBS salesman suspended

    Kevin Blaney has agreed to pay a US$30,000 fine and serve a three-month suspension from association with any FINRA members over alleged misleading of customers. The suspension leaves the former Jefferies md and MBS salesman unable to make any contact in the industry until after 5 December.

    FINRA's investigations found that Blaney was tied to six transactions at Jefferies, where .......

    Job Swaps 9 September 2016

  • Credit unions express CSP concerns

    The FHFA's planned Common Securitisation Platform (CSP) might have a negative impact on credit unions, according to The National Association of Federal Credit Unions (NAFCU). In a recent letter to the FHFA, NAFCU counsel Ann Kossachev expresses several concerns about the potential pitfalls of the CSP.

    Kossachev comments: "Although FHFA's efforts to create a more efficient platform with an 'open .......

    News Round-up 9 September 2016

  • 'Less risk' in marketplace RMBS

    Additional risks posed to RMBS issued by marketplace lenders (MPLs) will be mitigated by existing regulatory and securitisation frameworks, Moody's says. In a recent comment, the rating agency says it expects future issuance of RMBS from MPLs, but suggests that it will pose less risk than unsecured consumer loan ABS issued by MPLs.

    The agency has repeatedly stressed the lack .......

    News Round-up 8 September 2016

  • Borrower profile lifted

    Caliber Home Loans is in the market with its latest non-prime RMBS - the US$216.97m COLT 2016-2. Sterling Bank and Trust originated 15.3% of the pool, improving the borrower credit profile compared to the preceding transaction.

    Fitch notes that while the credit quality of the remainder of the pool originated by Caliber in 2016-2 is consistent with the credit quality .......

    News Round-up 7 September 2016

  • Mortgage originations spike

    US mortgage origination figures hit a three-year high in Q2, with REO and short sales making up 7% of all residential transactions, according to Black Knight. While this is the lowest such share for nine years, it is still twice the normal market level of just over 3%.

    The data firm points out that two-thirds of distressed sales in residential .......

    News Round-up 7 September 2016
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