RMBS

  • Deephaven debuts non-conforming deal

    Deephaven Mortgage is in the market with an RMBS backed primarily by non-QM loans extended to non-conforming borrowers. Dubbed Deephaven Residential Mortgage Trust 2017-1, the US$219.82m transaction features a double true sale structure and an atypical cashflow waterfall.

    The DRMT 2017-1 pool consists of 715 fixed rate (31.7% by balance), adjustable interest-only (6.1%) and five- and seven-year hybrid adjustable-rate fully .......

    News 6 April 2017

  • Euro ABS/MBS active

    The European ABS/MBS secondary market is once again active without yet fully taking off.

    "Secondary is now chugging along," says one trader. "There's enough going on to keep us occupied, but nothing major."

    The trader continues: "There are selective opportunities, but there's no real stand-out activity. One possible exception to that is some of the racier positions from the big .......

    SCIWire 6 April 2017

  • Largest STACR to date prices

    Freddie Mac has priced its largest STACR deal to date. The US$1.32bn STACR 2017-DNA2 is also Freddie Mac's second low-LTV deal of the year.

    The M1 class has priced at one-month Libor plus 120bp, while the M2s priced at plus 345bp. The B1 class priced at plus 515bp and the B2s at plus 1125bp.

    STACR 2017-DNA2 has a reference pool .......

    News 5 April 2017

  • B&B portfolio sale to bring new RMBS

    UK Asset Resolution (UKAR) has sold two asset portfolios comprising performing buy-to-let loans totalling £11.8bn to Blackstone and Prudential (SCI 31 March). The loans come from the old Bradford & Bingley portfolio and are set to be securitised in two deals, including potentially the largest post-crisis European RMBS to date.

    The two RMBS are Ripon Mortgages and Harben Finance 2017-1 .......

    News 4 April 2017

  • Euro secondary restarts

    The turn of the quarter has restarted activity in the European securitisation secondary market.

    Flows and BWIC supply are picking up across the board this week. So far execution levels remain strong as long-standing pent up demand gets some release.

    As a result, secondary spreads remain firm amid positive market sentiment. However, the growing secondary and primary calendars are yet .......

    SCIWire 4 April 2017

  • Job swaps round-up - 31 March

    EMEA

    EJF Capital is to float its closed-ended investment fund on the London Stock Exchange. Dubbed EJF Investments, it will aim to invest in long-term, cashflow generating assets in three identified target investment areas - risk retention, capital solutions, ABS and specialty finance. Liberum Capital is acting as financial advisor on the admission and it's expected that dealings in the .......

    Job Swaps 31 March 2017

  • Value seen in jumbo 2.0 and RPL deals

    US non-agency issuance volumes are inching up on the back of the housing market recovery. Re-performing (RPL) and post-crisis prime jumbo RMBS, in particular, are tipped as offering value in the current environment.

    Jason Merrill, structured specialist at Penn Mutual Asset Management, says that non-agency legacy RMBS issuance is very tight, without the ratings to support it. This has prompted .......

    News Analysis 31 March 2017

  • Euro ABS/MBS unchanged

    Spreads and activity levels remain unchanged across the European ABS/MBS secondary market.

    A combination of month-end and benign wider markets has made for another couple of quiet sessions. Consequently, strong market tone and limited supply continue to hold secondary spreads in.

    The pricing of a number of new issues this week could yet shake out some sellers before month-end. However, .......

    SCIWire 30 March 2017

  • Euro secondary unmoved

    The European securitisation secondary market remains unmoved by wider market volatility.

    The see-saw in equities and broader credit over the past two sessions has not been reflected in secondary spreads, which continue to hold firm. Indeed, sentiment remains positive and demand continues to outstrip supply.

    Nevertheless, activity overall remains light with only some rotation activity and patchy flows in key .......

    SCIWire 28 March 2017

  • CSP's second phase delayed

    The FHFA has postponed the implementation of Release 2 of the Common Securitization Platform (CSP) until 2Q19. The agency says that additional time is required for the development, testing and validation of controls and governance processes necessary to "have the highest level of confidence that the implementation will be both smooth and successful".

    Under Release 2, Fannie Mae and Freddie .......

    News 27 March 2017

  • Kensington prepping 'recycled' RMS deal

    Kensington Mortgage Company (KMC) is in the market with a £538.7m UK non-conforming RMBS. Dubbed Residential Mortgage Securities 29, the transaction is backed by seasoned collateral from five legacy deals that are scheduled to be called on their next IPDs.

    The legacy deals are RMS 19, RMS 20, MPS 1, MPS 2 and MPS 3, which were originally issued between .......

    News 27 March 2017

  • Job swaps round-up - 24 March

    North America

    Alcentra has hired Brandon Chao as svp in New York, joining from Omega Advisors, where he was a senior analyst for structured products and corporate credit. He will report to the firm's global head of structured credit, Hiram Hamilton, who is relocating to the New York office in April. Hamilton was previously executive director and head of the .......

    Job Swaps 24 March 2017

  • SFR strategy raises RMBS questions

    American Homes for Rent (AH4R) announced this week an additional public equity offering, expecting to raise over US$250m, in the latest sign that single-family rental (SFR) companies are significantly changing their funding and operations. SFR securitisation performance has been strong, yet the market opportunity may be dwindling just as it proves its value.

    "The SFR subsector remains small compared to .......

    News Analysis 24 March 2017

  • Irish RMBS recaptures attention

    The recent resurgence in primary issuance is not the only way to tap Irish RMBS value, as further redemptions for a number of Celtic Residential Irish Mortgage Securitisation series transactions could also provide value in the secondary market. JPMorgan analysts believe indicative pricing levels for CRSM 9 A2 and CRSM 11 A3A could yield a sizable spread pickup relative to .......

    News 21 March 2017

  • Euro secondary ticks over

    The European securitisation secondary market continues to tick over.

    Activity remains patchy across the board with sporadic BWICs and light bilateral volumes. Further distraction has emerged with a handful of new ABS, CLO and RMBS deals now actively marketing, but overall tone is still positive and secondary spreads continue to hold in or tighten.

    The past couple of sessions remained centred .......

    SCIWire 21 March 2017

  • Spanish RPL RMBS marketing

    Blackstone affiliate Spain Residential Finance is in the market with its second Spanish re-performing RMBS. Dubbed SRF 2017-1, the €403.1m transaction is backed by 3,307 seasoned residential mortgage loans extended to borrowers in Spain.

    Consisting of first lien mortgages on residential properties, the portfolio has a weighted average current loan to value ratio of 60.88%, which is lower than the .......

    News 20 March 2017

  • Job swaps round-up - 17 March

    EMEA

    Dentons has formed a securitisation team in Germany by hiring Arne Kluwer, from Clifford Chance, Matthias Eggert and Timo Riester from Baker Mackenzie and Mortimer Berlet as partner, who joins from Clifford Chance. Kluwer starts at the Frankfurt office on 1 April, Eggert and Riester at the Munich office and Berlet starts on 1 May. The firm also recently hired Carl Bjarnram to the .......

    Job Swaps 17 March 2017

  • Euro secondary trundles on

    The European securitisation secondary market trundles on seemingly unaffected by the ups and downs of broader markets this week.

    Market tone remains strong across the board, as demand easily outstrips limited supply. Consequently, secondary spreads continue to be flat to slightly tighter as each day passes.

    BWICs are still sporadic and are trading at or above talk as and when .......

    SCIWire 16 March 2017

  • Euro secondary strengthens

    Tone and levels if not volumes continue to strengthen across the European securitisation secondary market.

    The large CDO liquidation BWIC on Friday bolstered the market's already strong tone, as expected. End-user interest in the list affirmed the depth of the ongoing rally in most sectors and while the ultimate AON style trade meant the paper has stayed out of investor .......

    SCIWire 14 March 2017

  • Replacement risk weighing on BWIC volume?

    International ABS BWIC volume totalled €9.7bn in 2016, according to JPMorgan figures. Average weekly BWIC volume of €186m last year fell by around 17% from 2H15 and has subsequently fallen to €96m per week in 2017 year to date, reflecting the lack of supply and replacement risk.

    JPMorgan international ABS analysts point to peaks and troughs in secondary market activity .......

    News 9 March 2017

  • Euro secondary simmers

    The European securitisation secondary market is still simmering without yet fully coming to the boil.

    Volumes have picked up a little this week as expected, but have not yet really taken off. Instead, familiar patterns are being maintained across the board - flows remain patchy and BWICs sporadic.

    At the same time, demand continues to outstrip supply amid strong market .......

    SCIWire 9 March 2017
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