RMBS

  • Freddie debuts re-performing deal

    Freddie Mac is marketing its first credit risk transfer RMBS backed by seasoned re-performing loans - the US$943.52m Freddie Mac Seasoned Credit Risk Transfer Trust 2016-1. The collateral - comprising 4,097 loans - was either purchased by Freddie Mac from securitised Freddie Mac Participation Certificates or retained by the GSE in whole loan form.

    The portfolio contains 100% modified loans. .......

    News Round-up 16 December 2016

  • Non-QM market 'maturing'

    Caliber Home Loans has closed the US$225.75m COLT 2016-3 Mortgage Loan Trust, the first post-crisis non-QM RMBS to feature a triple-A rated tranche. The transaction is backed by 474 fixed- and adjustable-rate prime and non-prime first-lien residential mortgages.

    Fitch notes that it has become more comfortable with the operational risk of the issuer through extensive due diligence results, multiple on-site .......

    News Round-up 16 December 2016

  • Comfort zone

    Investor interest in SFR muted, despite potential

    A backdrop of declining homeownership in the US and a growing number of renters is driving growth in the single-family rental (SFR) securitisation market. However, limited volume, call risk and operational issues mean that the sector can be overlooked by investors, who remain more comfortable with RMBS and CMBS.

    Earlier in the year Morgan Stanley RMBS analysts highlighted that the .......

    News Analysis 16 December 2016

  • 'Mixed effects' from rate hikes

    The US Federal Reserve has raised interest rates from 0.25% to a range of 0.50%-0.75%, which will have varied implications for structured finance, according to Moody's. The rating agency adds that it expects the Fed to raise rates three more times in 2017 to 1.25%-1.50% year-end.

    Moody's comments that US consumers are generally "well-positioned to cope with rising debt expenses .......

    News Round-up 15 December 2016

  • GSEs introduce new mod programme

    Fannie Mae and Freddie Mac will each offer a new flex modification programme to replace their versions of HAMP, which is set to expire at the end of this year. The GSEs developed the flex modification programme in alignment with each other and at the direction of the FHFA.

    The flex modification programme is expected to provide a 20% payment .......

    News Round-up 15 December 2016

  • ABSPP external managers cut

    The ECB's governing council has decided that the ABSPP should now be fully implemented by national central banks, rather than relying on the support of external managers. This is a change which was planned when the programme was first launched.

    As of 1 April 2017, Nationale Bank van België/Banque Nationale de Belgique, Deutsche Bundesbank, Banco de España, Banque de France, .......

    News Round-up 15 December 2016

  • Euro issuance drops

    €40.2bn of securitised product was issued in Europe in 3Q16, according to AFME's latest securitisation data report. This represents a decline of 46.5% from 2Q16 (€75bn) and a decline of 30.3% from 3Q15 (€57.6bn).

    Of the €40.2bn issued, €16bn was placed (representing 39.8% of issuance), compared to €29.3bn placed in 2Q16 (representing 39.1%) and €18.6bn placed in 3Q15 (representing 32.3%). .......

    News Round-up 15 December 2016

  • Euro secondary unmoved

    The Fed's announcement yesterday appears to have had little effect so far as the European securitisation secondary market resolutely sticks to recent patterns.

    There continue to be pockets of activity across the ABS/MBS secondary market. Tone generally remains positive and spreads unchanged with the exception of Portuguese paper, which continues to edge wider.

    However, CLOs are busier in comparison with .......

    SCIWire 15 December 2016

  • Executive promotions inked

    PennyMac Mortgage Investment Trust has announced changes in the roles of six executive officers in conjunction with organisational changes at PennyMac Financial Services, its manager and service provider. The changes are effective from 1 January 2017.

    Under the reorganisation, chairman and ceo Stanford Kurland will assume the role of executive chairman, while executive md, president and coo David Spector will .......

    Job Swaps 14 December 2016

  • LatAm markets 'will rebound'

    Donald Trump's election victory has implications far beyond the US, not least in Mexico, where potential US policy changes will weigh on economic growth. Mexican RMBS should remain steady, however, while Moody's believes Argentina and Brazil are set to return to growth in 2017, helping to support the credit quality of assets backing securitisations in those countries.

    The Mexican RMBS .......

    News Round-up 14 December 2016

  • Solutions group formed

    CST Trust Company has entered the Canadian custody market as a National Housing Act (NHA) MBS custodian and title custodian, following its qualification last week by the Canada Mortgage Housing Corporation (CMHC). As the first new entrant to the market in 30 years, CST aims to transform the documentation and tracking processes around Canada's NHA MBS programme through state-of-the-art technology .......

    Job Swaps 14 December 2016

  • Inaugural online RMBS prepped

    SoFi is in the market with its inaugural RMBS transaction, dubbed SoFi Mortgage Trust 2016-1. The US$168.79m deal comprises 36 classes of mortgage-pass through certificates backed by prime jumbo mortgage loans originated via SoFi's online lending platform.

    Fitch and KBRA have issued preliminary ratings on the transaction, with both agencies rating the US$84.11m class 1A6, the US$28.03m class 1A8, the US$11.81m .......

    News 13 December 2016

  • Swapless Dutch RMBS concerns raised

    Dutch RMBS featuring a partial interest rate hedge will face increased risk of interest rate shortfalls in the coming years if prepayments fall, says Moody's. The low interest rate environment over the last few years has led to a steady decrease in average mortgage portfolio interest yields, while rising interest rates in the future will put downward pressure on prepayment .......

    News Round-up 13 December 2016

  • Liquidation timelines 'declining'

    Liquidation timelines on defaulted US mortgage loans appear to have peaked, Fitch comments. While the rating agency expects loss severities to decrease and timelines to shorten, it doesn't expect a rise in ratings on RMBS, as these changes are already reflected in the firm's analysis.

    Timelines topped out at four years earlier in 2016 and have begun to decline, with .......

    News Round-up 13 December 2016

  • Euro ABS/MBS ticks over

    The European ABS/MBS secondary market continues to tick over.

    As with the previous week it's been a solid if unspectacular start to this. BWICs continue to drive the action and trade well. For now, sentiment remains positive, albeit with some softening of tone in weaker peripherals, especially Portuguese names.

    There are currently three BWICs on the European ABS/MBS schedule for .......

    SCIWire 13 December 2016

  • RMBS trader accused of fraud

    A federal grand jury in New Haven has returned an indictment charging former Cantor Fitzgerald bond trader, David Demos, with six counts of securities fraud. Demos was a trader and md at Cantor Fitzgerald from November 2011 until his employment was terminated in February 2013.

    Demos is accused of defrauding customers by fraudulently inflating the purchase price at which Cantor Fitzgerald .......

    Job Swaps 12 December 2016

  • Odd-lot strategies

    Price exploitation likely more widespread

    The US SEC recently fined PIMCO US$20m for misleading investors about the value of MBS odd lots in its BOND Total Return ETF. Valuing odd lots - particularly MBS - can be somewhat of a grey area and it is likely that PIMCO is not the only firm to have misused evaluated prices in this situation.

    "It's common knowledge within .......

    News Analysis 12 December 2016

  • First CSP release rolled out

    Freddie Mac has implemented the Common Securitization Platform (CSP) for certain single-family fixed-rate MBS. Dubbed Release 1, the development paves the way for Release 2, which will enable a combined Freddie Mac and Fannie Mae US$3.5trn market of to-be-announced (TBA) MBS.

    The successful implementation of the CSP's core infrastructure and operations is a critical milestone on the path to the .......

    News Round-up 9 December 2016

  • RMBS proposals praised

    A new R&W form and a common communication platform between investors and issuers proposed by SFIG are 'credit positive' for RMBS, according to Moody's. The ideas are outlined in SFIG's latest RMBS 3.0 fifth edition green papers.

    This edition includes SFIG's Deal Agent Agreement, Recommendations on Bondholder Communications, MISMO/SFIG Data Standardization Recommendations, and Considerations for Materiality Standards and Enforcement in .......

    News Round-up 8 December 2016

  • Disease insurance 'credit positive'

    A growing proportion of mortgages backing Japanese bank-issued RMBS include specified disease insurance, in addition to group life insurance. Moody's says the trend is credit positive for such transactions.

    Specified disease insurance covers mortgage borrowers for serious illnesses - such as cancer, heart attack and stroke - thereby negating the risk that borrowers will default on their loans if they .......

    News Round-up 8 December 2016

  • Euro secondary keeps positive

    Tone across the European securitisation secondary market continues to be positive.

    After a quiet start to the week, yesterday saw a flurry of BWICs from a range of sectors driving activity, most of which were easily absorbed and traded in line with expectations. Consequently, the bulk of secondary spreads remain unmoved.

    Today sees more supply from a variety of sectors, .......

    SCIWire 8 December 2016
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