RMBS

  • Above par pricing anticipated

    Achmea Bank is in the market with its second swapless RMBS. The €690.5m Dutch Residential Mortgage Portfolio II is also expected to be priced above par.

    Rabobank credit analysts note that interest rate risk is mitigated by several features, including a Euribor cap agreement for the first ten years, subject to amortisation following a 5% CPR. Subordination to the senior .......

    News Round-up 27 October 2016

  • Spanish special servicers 'key'

    Loss severities on Spanish mortgage foreclosures have increased again this year, says Fitch, despite the continued price recovery in the broader residential property market. The rating agency believes the growing role of specialist mortgage loan servicers could be an important driver of future developments in the distressed market and may already be reflected in fewer foreclosures.

    Sales price discounts on .......

    News Round-up 27 October 2016

  • SFR refi incentive boosted

    Total home equity has increased by 27% since issuance across the 71,955 properties underlying the 18 single-family rental securitisations issued in 2013-2015, according to Deutsche Bank figures. The trend is expected to boost SFR issuers' refinance incentive.

    Based on property-level data released by the SFR issuers, Deutsche Bank RMBS analysts estimate that the aggregate BPO value of these properties increased .......

    News 27 October 2016

  • Euro ABS/MBS quiet

    This week has continued to be slow across the European ABS/MBS secondary market.

    "There's nothing going on," says one trader. "UK half-term means a lot of people are out this week and anyone who is here will be looking at primary where there are few interesting deals marketing."

    Secondary supply has been more limited than in recent weeks, the trader .......

    SCIWire 27 October 2016

  • Aussie CMBS has RMBS elements

    Think Tank Group is in the market with a CMBS deal which includes features more typically found in RMBS. Think Tank Series 2016-1 Trust is a securitisation of loans to commercial borrowers secured by mortgages over commercial or residential properties originated by Think Tank Group.

    S&P has provisionally rated the A$130m A1 notes and A$17m A2s at triple-A. The A$1.6m .......

    News Round-up 26 October 2016

  • UKAR sells as BAWAG preps

    UKAR has launched the sales process for the Bradford & Bingley assets. Coinciding with the announcement was BAWAG's mandating of its debut UK prime RMBS - Feldspar 2016-1 - backed by Granite mortgages.

    BAWAG - of which the majority shareholder is Cerberus - acquired the portfolio at end-2015. Barclays, Citi and Credit Suisse are joint-leads on the transaction, which is .......

    News Round-up 26 October 2016

  • Russian RMBS risks recognised

    High LTV Russian RMBS loans are twice as likely to default as lower LTV loans, says Moody's. There are also higher chances of default for loans taken out by borrowers who are self-employed, loans secured by houses rather than flats, and loans underwritten by small lenders.

    In its first ever analysis of default drivers in the Russian RMBS market, the rating .......

    News Round-up 26 October 2016

  • Loan origination tool enhanced

    Freddie Mac is set to add new capabilities to its Loan Advisor Suite in the spring. The GSE says that as the cost of originating a mortgage has more than doubled since before the financial crisis, it is collaborating with lenders to create innovative tools that reduce the costs of producing and selling high-quality loans.

    These new capabilities include: a .......

    News Round-up 25 October 2016

  • New CIRT structure trialled

    Fannie Mae has secured commitments for a new front-end credit insurance risk transfer (CIRT) structure to be executed with affiliates of approved mortgage insurance companies. The FHFA sought feedback on front-end credit risk transfer transactions over the summer (SCI 30 June).

    The pilot deal - CIRT FE 2016-1 - will be the first CIRT transaction done on a flow basis, .......

    News Round-up 25 October 2016

  • Euro secondary starts slow

    It was a slow start to the week in the European securitisation secondary market, but a large CDO liquidation should generate some interest today.

    Yesterday was quiet across the board thanks to an element of supply fatigue as the well-established pattern of primary focus linked to flurries of BWICs continued into the end of last week and was met with .......

    SCIWire 25 October 2016

  • SFIG files CRT opinions

    SFIG has responded to the FHFA's request for information on Fannie Mae and Freddie Mac's credit risk transfer strategies. Along with its own letter, SFIG has also participated in the submission of a joint trade comment letter with organisations such as the American Bankers Association, Association of Mortgage Investors, Housing Policy Council of the Financial Services Roundtable, Mortgage Bankers Association .......

    News Round-up 21 October 2016

  • Japan condo payments 'positive'

    The high loan prepayment rate for condominiums backing Japanese RMBS is credit positive for the asset class, says Moody's. The prepayment rate is expected to remain elevated for some time.

    Most Japanese RMBS deals have a sequential pay structure, with the high prepayment rate increasing credit enhancement at a rapid pace. The prepayment rate for condominium investment loans was 6.7% .......

    News Round-up 20 October 2016

  • Euro secondary unmoved

    The European securitisation secondary market remains unmoved by continuing strong new issue volumes.

    The primary market is still attracting the majority of focus, but secondary continues to tick over with pockets of trading throughout euro and sterling ABS, CLOs and MBS. An overall slight buying bias is ensuring that tone remains positive and secondary spreads are unchanged across the board .......

    SCIWire 20 October 2016

  • SFR deal's unique structure assessed

    The unique structure of Amherst's inaugural single-family rental securitisation (SCI 6 October) presents specific risks regarding alignment of interest, says Moody's. The rating agency believes this may be partially mitigated by a strong property management agreement and the expertise of Amherst affiliate Main Street Renewal (MSR).

    Amherst will not retain any interest in the issued securities of AMSR 2016-SFR1 Trust .......

    News Round-up 19 October 2016

  • Enhanced CMO reporting due

    FINRA is set to implement changes to TRACE trade reporting and dissemination for CMO securities on 20 March 2017. The authority says it will issue details regarding testing of these changes in a future technical notice.

    The enhancements will include four components: real-time dissemination of securitised products data where CMO quantity is less than US$1m; publication of weekly and monthly .......

    News Round-up 19 October 2016

  • Euro secondary patterns persist

    Trading patterns in the European securitisation secondary market seen towards the end of last week are continuing into this.

    The primary market remains the main focus, but flurries of BWICs continue to bolster secondary activity. A few DNTs aside, line items in all sectors and parts of the capital structure continue to trade well. Despite some skittishness in broader markets secondary .......

    SCIWire 18 October 2016

  • Multi-borrower SFR loan transferred

    The US$4m Delavaco loan, securitised in FirstKey 2015-SFR1, has been transferred to special servicing due to imminent non-monetary default. The loan has appeared on the master servicer's monthly watchlist since December 2015, based on a decline in occupancy below 80% - decreasing to 51% by August 2016 - as well as its failure to meet a debt service coverage trigger. .......

    News Round-up 17 October 2016

  • Recovery rates set to improve

    Securities backed by defaulted Italian mortgage loans may benefit from legislation aimed at expediting property foreclosures, says Moody's. The Bank of Italy has previously said changes implemented last year could reduce both bankruptcy and foreclosure procedures for mortgage loans to around three years.

    "At present, the lengthy time to recovery is credit negative for Italian MBS, since noteholders bear the .......

    News Round-up 14 October 2016

  • Risk-transfer re-REMIC announced

    The first-ever re-REMIC securitising GSE credit risk-transfer securities has hit the market. The US$159.61m Bayview Opportunity Master Fund IVb Trust 2016-CRT1 is collateralised by 12 CRT securities, comprising M2 classes from various Fannie Mae Connecticut Avenue Securities (CAS) transactions and M3 classes from various Freddie Mac Structured Agency Credit Risk (STACR) transactions.

    Provisionally rated by Fitch, BOMFT 2016-CRT1 comprises: US$63.84m .......

    News Round-up 14 October 2016

  • Euro RMBS shelves debut

    The inaugural rated deals from two new European RMBS programmes have been announced. Both platforms are backed by asset managers active in the structured finance space.

    The first transaction to hit the screens was London Wall Mortgage Capital's debut UK RMBS. Dubbed Fleet 2016-01, it is backed by a £238m pool of UK first-lien buy-to-let home loans originated by Fleet .......

    News 13 October 2016

  • Model-implied tool launched

    Fitch has launched a new online tool that will enable investors to conduct their own model-implied rating analysis on underlying loan level portfolios backing RMBS. Dubbed 'Resi Investor', the tool acts as an overlay to Fitch's RMBS presale reports, providing investors with a combination of the agency's own credit analysis and their own preferred scenario testing.

    The solution allows investors .......

    News Round-up 13 October 2016
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