RMBS

  • Euro secondary surge

    There is a surge in activity throughout the European securitisation secondary market.

    Activity has picked up across the board following the US holiday last Thursday and this week is seeing a notable pick-up in BWICs either side of month-end. Until now the buying bias remains and spreads have held up in the majority of sectors. However, continuing concern around the .......

    SCIWire 29 November 2016

  • Small value operations due

    The New York Fed's open market trading desk intends to conduct two small value agency MBS sales operations on 29 November and 1 December. The total current face value of sales across the two operations will not exceed US$100m.

    The Fed says such small value exercises are a matter of prudent advance planning. The desk has published an operating schedule, .......

    News Round-up 24 November 2016

  • Euro ABS/MBS firm

    Tone remains firm in the European ABS/MBS secondary market albeit on low volumes.

    Inevitably with the US Thanksgiving holiday flows have been very light over the past couple of sessions and look set to stay that way for the rest of the week. Nevertheless, sentiment remains positive across the bulk of sectors and consequently secondary spreads are unmoved. Even Italian .......

    SCIWire 24 November 2016

  • RMBS legal claims dropped

    Fraud claims alleged by Federal Home Loan Bank of Boston (FHLBB) against RBS Securities and other RBS companies relating to the marketing and sale of 10 RMBS certificates are being dropped after the plaintiff and defendants filed a joint stipulation seeking dismissal. However, a further two claims against RBS remain, and FHLBB also retains claims against other defendants.

    "FHLBB brought .......

    Job Swaps 23 November 2016

  • Positive review for RPL deals

    Fitch has reviewed 175 classes from seven US RMBS transactions backed by re-performing loans. The transactions have between five and 23 months' seasoning and serious delinquencies range from 0.6% to 4.7%, which is better than initially expected for peak-vintage RPL collateral. No deal has more than 33bp of realised loss to date, as a percentage of the closing pool balance.

    News Round-up 23 November 2016

  • Risk firm swipes mortgage vets

    MountainView has hired David Bennett and Michael Riley for its risk analytics team. Both will take the role of md and focus on expanding and improving MountainView's range of services.

    Bennett was previously at Compass Analytics, where he was md working on hedging pipeline risks for mortgage originators. Prior to that, he was MSR manager at Fifth Third Bank, responsible .......

    Job Swaps 22 November 2016

  • Mortgage loan servicing evolving

    An environment of continued regulatory scrutiny will lead US mortgage loan servicing to increasingly fall to non-banks, says Fitch. At a servicer roundtable hosted by the rating agency, 89% of servicers agreed that non-bank servicers will continue to take market share from banks next year.

    The source of non-bank portfolio growth is evolving. Where growth among non-banks was previously driven .......

    News Round-up 22 November 2016

  • RMBS case settled

    Ally Financial has agreed to pay US$52m in conjunction with its resolution of all outstanding investigations and potential claims by the US Department of Justice (DOJ) related to RMBS issued by the company's former mortgage subsidiary Residential Capital and its ResCap RMBS subsidiaries. It has also agreed to withdraw the broker-dealer registration of Ally Securities, which it says has not .......

    Job Swaps 22 November 2016

  • CIRT programme diversifies

    Fannie Mae has completed its tenth Credit Insurance Risk Transfer (CIRT) transaction of 2016. For the first time since the programme's inception, the loan pool covered by the US$11.7bn CIRT 2016-9 deal consists of 15-year and 20-year fixed rate mortgages.

    Fannie Mae says the transaction allows it to offer reinsurers a more diversified investment opportunity. "With CIRT 2016-9, we identified .......

    News Round-up 18 November 2016

  • RMBS, re-REMIC criteria updated

    Fitch has updated its criteria for analysing outstanding US RMBS and new and outstanding re-REMICs. The criteria revisions are not expected to have immediate rating implications for outstanding rated classes, although a revision to the time-specific payoff requirements for rating upgrades of recent vintages could lead to an increased number of rating upgrades over time.

    The rating agency's updates are .......

    News Round-up 17 November 2016

  • Euro ABS/MBS unchanged

    There's been little movement in the European ABS/MBS secondary market this week, so far.

    While sentiment continues to be positive, volumes have remained low this week as most investors appear content to sit on the sidelines for now. What activity there has been has revolved around prime assets and Street trading. Consequently, ABS/MBS secondary spreads across the board have remained .......

    SCIWire 17 November 2016

  • Fresh faces

    New breed of RMBS issuer steps up

    A slew of issuance from private equity companies and other non-traditional issuers is changing the face of the European RMBS market. The trend can be seen in multiple jurisdictions, with deal structures evolving as a result.

    In the UK, investor reaction to these deals has been mixed. Austrian bank BAWAG PSK issued Feldspar 2016-1 at the start of this month, .......

    News Analysis 16 November 2016

  • Positive review after error

    Fitch has placed 12 classes of notes issued by Salisbury 2015-1 on rating watch positive. The move reflects a model correction, which leads to a higher rating recovery rate (RRR) in the portfolio credit model (PCM) output.

    The PCM used at closing did not correctly apply the market value decline, as specified by Fitch's UK RMBS criteria. The agency says .......

    News Round-up 16 November 2016

  • UK inflation to affect ABS, RMBS

    Brexit-driven inflation in the UK will be credit negative for securitisations backed by mortgages, auto loans and other consumer debt, primarily through an increase in defaults among low income borrowers, warns Moody's. These borrowers will be less able to absorb the higher costs resulting from the decision to leave the EU.

    The rating agency notes that the UK is reliant .......

    News Round-up 15 November 2016

  • GSE issuance calendars released

    Fannie Mae and Freddie Mac have released 2017 issuance calendars for the Connecticut Avenue Securities and Structured Agency Credit Risk programmes respectively. The first CAS credit risk transfer RMBS is scheduled to launch in early to mid-January, while the first STACR deal is scheduled for February.

    Fannie Mae notes that during each issuance window, it has the option to issue .......

    News Round-up 15 November 2016

  • Euro secondary softens

    Declines in the bond market have begun to feed into the European securitisation secondary market.

    While sentiment continues to be generally positive across secondary, investor interest appears to have thinned since the end of last week with the spike in rate volatility. At the same time, some softness is appearing in spreads in certain sectors.

    Peripheral and UK RMBS are .......

    SCIWire 15 November 2016

  • Dutch RMBS criteria tweaked

    Fitch has updated its criteria addendum for Netherlands residential mortgage assumptions. The change is expected to negatively affect up to four existing RMBS ratings.

    The addendum updates the maturity concentration test that Fitch applies to portfolios that comprise more than 20% interest-only loans maturing within a three-year period, and if the structure includes notes that are rated single-A minus or .......

    News Round-up 14 November 2016

  • GSE RPLs beating private-label

    Re-performing loans (RPLs) owned, guaranteed or securitised by Fannie Mae and Freddie Mac will continue to outperform private-label RPLs, despite the negative performance impact on GSE loans from increased use of streamlined modifications in the coming years, says Moody's. GSEs will increasingly use streamlined loan modifications once HAMP expires, which is a credit negative because the other mods have looser .......

    News Round-up 10 November 2016

  • Dutch arrears 'lowest since 2009'

    Dutch mortgages in late-stage arrears are at the lowest levels since 2009, due to an improved macroeconomic background and proactive servicing, according to Fitch. The agency finds that of its rated RMBS, only 0.38% of mortgage loans were more than three months in arrears in 3Q16, down from 0.69% a year earlier.

    This is partly due to the addition of .......

    News Round-up 10 November 2016

  • BTL lending standards 'credit positive'

    The UK Prudential Regulation Authority's new lending standards should improve the credit quality of UK buy-to-let mortgages, Moody's suggests. The agency says that the rules are credit positive because they reduce the risk of excessive losses in UK RMBS and covered bonds.

    "The rules will reduce the risk of excessive losses and help prevent a weakening in mortgage credit quality. .......

    News Round-up 10 November 2016

  • Spanish RPL correlation examined

    Default driver analysis for Spanish re-performing (RPL) loans shows a positive correlation between the probability of default (PD) and the loan-to-value (LTV) ratio upon renegotiation, says Moody's. Foreign residents and those with homes on Spain's coast represent higher mortgage default risk.

    "Foreign residents are twice as likely to default on their mortgage loans upon restructuring. A default by a foreign .......

    News Round-up 10 November 2016
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