RMBS
Residential mortgage-backed securities, or RMBS, are bonds or notes created by securitisation that are backed by residential mortgages or residential real estate loans.
RMBS originators are typically financial institutions that originate residential real estate or residential mortgage loans, including banks, building societies/savings & loans and mortgage finance companies. However, issuers could also include government-guaranteed securities issued following bank bailouts, such as TARP or TALF, and the Government Sponsored Enterprises Fannie Mae and Freddie Mac.
To create residential mortgage-backed securities, or RMBS, institutions sell pools of their loans to a special-purpose vehicle, or SPV, which then sells the loans to a trust. The trust then repackages the loans as interest-bearing securities and issues them. This true sale of the loans to the SPV ensures that the RMBS is treated as bankruptcy-remote from the originator.
Many different types of assets back RMBS, including prime, non-conforming, sub-prime, Alt-A (or Alternative-A), buy-to-let and single-family rental (SFR) mortgages. The financial crisis caused residential mortgage valuations to plummet, leading to severe losses/defaults in many RMBS transactions (and ABS CDOs), as well as efforts to begin modifying loan documentation and indeed the creation of many credit/dislocation/distressed opportunity/recovery funds to take advantage of opportunities in the RMBS sector.
Post-crisis, the Government Sponsored Enterprises Fannie Mae and Freddie Mac have developed a credit risk transfer market, comprising synthetic RMBS structures (whereby the risk is transferred via CDS tranches).
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Job swaps weekly: EIF exclusive
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees SCI exclusively reveal that the European Investment Fund’s chief investment officer is retiring from his role after almost three decades with the fund. Elsewhere, Performance Trust Capital Partners has poached three executives from Pagaya, while ELFA announces its ceo is to step down from her role.
Alessandro Tappi is to .......
Market Moves 20 September 2024
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Resilience amidst volatility
European and UK ABS and MBS markets displayed resilience in August, despite widespread volatility.
The European and UK ABS and MBS markets in August demonstrated resilience in the face of volatility, according to monthly European and UK factsheets monitored by SCI.
August saw widespread volatility, which notably affected both primary and secondary markets. According to TwentyFour AM Momentum Bond Fund’s managers, despite this turbulence, primary markets demonstrated resilience, especially in the UK .......
News 20 September 2024
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Breaking regulatory chains
Calls for reform intensify as industry pushes to fuel growth and fund Europe's green transition
The European securitisation market is “far too small and illiquid,” according to a recent report from True Sale International (TSI) and the Association of German Banks (BdB). The scale of the challenges could be having a negative impact on vital innovation across the continent’s economy.
The report, titled ‘A strong, competitive Europe: unlocking the potential of securitisation’, underscores .......
News Analysis 19 September 2024
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Records to fall
European and Australian ABS markets approach post-crisis issuance records amidst autumn surge
Primary markets in Europe and Australia are showing significant momentum as we head into autumn. According to research strategists at JPMorgan, YTD issuance totals in both regions are nearing post-crisis records.
Europe’s YTD issuance stands at €71.5bn, with Australia at €32.9bn, just shy of their respective post-crisis records of €76.5bn and €33.
This has led the bank’s .......
News 18 September 2024
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Silver lining
Optimism around strong growth in RMBS and ABS at S&P conference
Market participants shared widespread optimism at S&P Global Ratings' European Structured Finance conference, buoyed by robust growth and the resilience of the European and UK ABS and MBS markets. Despite global economic challenges, issuance in these markets is experiencing strong momentum, performing even more favourably than 2023.
Panellists and attendees at the event noted that the primary beneficiaries .......
News 13 September 2024
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Engineering efficiency
Structural changes afoot across UK RMBS market
The UK RMBS market continues to evolve as new innovative transaction features emerge with issuers seeking to tackle inefficiencies – an inch at a time. New developments include the use of back-up swap structures to manage counterparty risk, trigger-specific liquidity management mechanisms and the return of pro-rate amortisation – which was last seen pre-GFC.
Fitch Ratings’ latest analysis .......
News Analysis 13 September 2024
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Job swaps weekly: Chatham AM appoints four for new CLO management team
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Chatham Asset Management establishing a CLO management business with four key hires. Elsewhere, Freddie Mac has selected a new ceo, while Arini has named a CLO portfolio manager to replace Evangeline Lim, who is retiring from the industry.
Chatham Asset Management has established a CLO management business - called CTM Asset Management – with .......
Market Moves 13 September 2024
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Off to a flier
Busy week points to standout September for European and Australian ABS and MBS
As the third quarter of 2024 winds down, September is shaping up to be a standout month for the European and Australian ABS and MBS markets. According to a recent JP Morgan report, the ABS market roared back to life in the first week of the month, following a volatile August marked by recession risks and central bank uncertainty.
News 10 September 2024
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Job swaps weekly: The 'Art' of launching
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees two industry veterans join forces to launch Art Capital, a structured finance advisory business. Elsewhere, Citi has boosted its Oceania operation with a new head of asset-backed securitisation, while Cushman & Wakefield has hired a head of capital markets for the Americas from Five Horizons Partners.
Stuart Blieschke and Tim .......
Market Moves 6 September 2024
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MV Credit acquisition agreed
Market updates and sector developments
Clearlake Capital Group is set to acquire pan-European private credit specialist MV Credit from Natixis Investment Managers. Founded in 2000 and headquartered in London, MV Credit has US$5.1bn in assets under management and provides tailored fund solutions to investors across senior direct lending, subordinated direct lending, hybrid and CLO strategies.
MV Credit has deployed more than US$11bn since .......
Market Moves 3 September 2024
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SCI In Conversation Podcast: Mike Nowakowski, Conning
We discuss the hottest topics in securitisation today...
In this episode of the SCI In Conversation podcast, SCI US editor Simon Boughey speaks to Mike Nowakowski, md and head of structured products at Conning, about esoteric ABS and both the agency and non-agency MBS markets. Nowakowski discusses what attracts him to the esoteric space; the type of esoterics that currently offer the most value; potential upcoming tailwinds .......
News Analysis 3 September 2024
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Job swaps weekly: Norton Rose Fulbright adds Paris-based partner
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Norton Rose Fulbright adding a partner to its banking and finance practice in Paris. Elsewhere, CBRE has lured a new executive director to its European debt and structured finance team from Rothesay, while Alantra has appointed a structured-finance-focused senior advisor.
Norton Rose Fulbright has strengthened its banking and finance practice .......
Market Moves 30 August 2024
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Rock-solid July for primary ABS market
Low volatility and strong investor appetite lure new issuers
The primary ABS market remained robust in July despite the typical summer slowdown, with strong issuance and investor demand across various sectors, according to monthly European and UK factsheets monitored by SCI.
Amundi’s portfolio managers observed significant activity in July, particularly among new ABS issuers capitalising on the relatively low market volatility and high investor appetite. “These transactions .......
News 20 August 2024
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Job swaps weekly: New Cayman structured finance chief for Maples
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Maples and Calder naming a new head of its Cayman Islands structured finance practice. Elsewhere, Scotiabank has staffed up for the launch of its new Houston-based mortgage capital markets business, while an ex-Stout md and co-lead of structured credit has taken up a C-suite role at Unifi Asset Management.
Maples .......
Market Moves 16 August 2024
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Israel debuts landmark public RMBS deal
Credito's public offering marks new era in Israeli securitisation industry
Israel is on the brink of a major milestone in its financial sector with the launch of its first public RMBS deal. The groundbreaking deal led by the Israeli non-bank lender Credito represents a major step forward for the country’s securitisation market, traditionally dominated by private and bilateral transactions.
The Credito IPOs RMBS deal consists of a mortgage .......
News Analysis 13 August 2024
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JHG bolsters private credit capabilities
Market updates and sector developments
Janus Henderson Group has entered into a definitive agreement to acquire a majority stake in Victory Park Capital Advisors (VPC). With a nearly two decade-long track record of providing customised private credit solutions to both established and emerging businesses, VPC complements Janus Henderson’s securitised credit franchise and expertise in public ABS markets.
Founded in 2007 by Richard Levy .......
Market Moves 12 August 2024
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August RMBS surge surprises experts
Unseasonably high activity defies market volatility and summer slowdown
In an unexpected twist, the typically quiet international primary market in August has burst into activity, with two UK RMBS and two Australian RMBS deals making notable strides. According to a recent JP Morgan report, this surprising surge of activity has unfolded despite the prevailing market volatility and the customary summer slowdown.
JP Morgan's research strategists point out .......
Market Moves 12 August 2024
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Job swaps weekly: Blackstone names new head of international at BXCI
People moves and key promotions in securitisation
This week’s roundup of securitisation job swaps sees Blackstone appointing a new head of international for Blackstone Credit & Insurance (BXCI). Elsewhere, Paul Hastings has lured a structured finance partner from Weil, Gotshal & Manges, while Milbank has added a number of Latham & Watkins professionals to its alternative investments team, including a new partner.
Blackstone has named .......
Market Moves 9 August 2024
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Australian ABS branches out
IFM Investors' Wanigasekera shares insights on growth and diversification in Australian ABS market
Diversification and growing interest from global investors are fueling innovation in the Australian ABS market, according to Hiran Wanigasekera, co-head of diversified credit and debt investments at IFM Investors.
Since 2021, IFM Investors, with approximately €6bn in securitised assets, has significantly diversified its focus from primarily RMBS to a broader range of ABS. "We have expanded a lot .......
News Analysis 7 August 2024