RMBS

  • Freddie hits ACIS milestone

    Freddie Mac has recorded its largest purchase to date under its Agency Credit Insurance Structure programme, obtaining three policies that provide up to a combined maximum limit of US$788m for losses on single-family loans. The policies transfer much of the remaining credit risk associated with the GSE's three STACR issuances this year, STACR 2016-DNA2, STACR 2016-HQA2 and STACR 2016-DNA3.

    These transactions transfer a .......

    News Round-up 1 July 2016

  • Chinese RMBS announced

    Postal Savings Bank of China (PSB) is prepping a RMB3.82bn RMBS called Jiamei 2016-1. The transaction is backed by 9,441 first-ranking Chinese full-documentation mortgage loans with a weighted average loan-to-value ratio of 57.8%.

    Fitch has assigned expected ratings to the deal, which comprises: RMB500m single-A plus rated class A1 notes; RMB900m single-A plus class A2s; RMB1.91bn single-A plus class A3s; .......

    News Round-up 1 July 2016

  • New York foreclosure boost

    New York Governor Andrew Cuomo last week signed a series of laws that could have a sweeping impact on the foreclosure process in the state of New York, according to Morgan Stanley RMBS strategists. In particular, the legislation establishes a pre-foreclosure duty to maintain on mortgagees and creates an expedited foreclosure process for vacant and abandoned houses.

    Under the new .......

    News 1 July 2016

  • Freddie starts RPL sales

    Freddie Mac is offering its first structured sale of seasoned loans by offloading a US$199m pilot deal from its mortgage-related investment portfolio. The collateral consists of option adjustable-rate mortgages or similarly originated loans that have since been modified under a HAMP or proprietary modification.

    The two-step process will first involve the sale upon the result of a competitive bidding process, subject .......

    News Round-up 30 June 2016

  • Rating agency increases reach

    Scope Corporation is set to acquire FERI EuroRating Services, effective from the start of August. The firm intends to establish itself as the European alternative to the US rating agencies.

    Scope Group intends to spread its business across three areas under Scope Corporation. Scope Ratings will be responsible for all credit rating activities; Scope Analysis will be in charge of .......

    Job Swaps 30 June 2016

  • RFC issued on front-end CRTs

    The US FHFA is seeking input in response to two new reports it has released on Fannie Mae and Freddie Mac's credit risk transfer (CRT) programmes. One of the reports sheds further light on single-family CRTs, in an attempt to assist the GSEs in their analysis of front-end transactions.

    The document seeks feedback from stakeholders on specific proposals to adopt additional .......

    News Round-up 30 June 2016

  • Euro ABS/MBS normalising

    European ABS and MBS have been quick to shrug off Brexit worries, with activity building up again this week and more BWICs scheduled for today.

    "The market seems to be over the shock of last week. There was a drop on Friday morning but things started trading again on Tuesday and yesterday was pretty much back to normal," says one .......

    SCIWire 30 June 2016

  • Settlement reinvestment options weighed

    Current holders of non-agency RMBS from 512 Countrywide deals have finally received almost US$8bn in cash payments, five years after the original settlement (SCI passim). As investors look to put the cash back to work, Morgan Stanley analysts believe other securitised products would make a natural destination for reinvestment.

    The Countrywide settlement covers breaches of certain representations and warranties as .......

    News 29 June 2016

  • SF upgrades keep momentum

    The global structured finance upgrade rate reached a record high in 2015, according to S&P. Although the downgrade rate was still higher at 11.2% last year, the upgrade rate increased to an all-time high of 9.8% in 2015 and a jump from 8.4% in 2014.

    Downgrades were up from 10% in 2014, but still presented a slow-down in growth for all but .......

    News Round-up 28 June 2016

  • Reps framework welcomed

    Fitch has commented on the proposed representations and warranties (R&Ws) included in the Structured Finance Industry Group's (SFIG) RMBS 3.0 initiative, noting that they would be an improvement to current practices, if accepted by the US RMBS market. The proposal includes up to four categories for each rep, with each category containing slight variations to reflect feedback from market participants .......

    News Round-up 28 June 2016

  • Countrywide ratings affirmed

    Fitch has reassured Countrywide bondholders that there will likely be no significant US RMBS rating actions as a result of the US$8.5bn in distributed payments from the Bank of America settlement made five years ago. Following the agreement back in 2011 and a series of litigation issues since then (SCI passim), this month finally saw bondholders from most of the 530 trusts receive .......

    News Round-up 28 June 2016

  • Euro secondary sidelined

    Most participants are waiting on the sidelines in the European securitisation secondary market amid broad market volatility.

    Two sessions on from the Brexit vote and liquidity remains thin across the board, but there is yet to be any sign of the tailspin seen in wider markets. Dealers in every sector widened their bids on Friday but other than some opportunistic .......

    SCIWire 28 June 2016

  • MBIA-wrapped RMBS hit

    S&P has lowered its ratings on 112 classes from 58 US RMBS transactions. The affected securities are insured by MBIA Insurance Corp, apart from six, which are re-REMIC notes that have their underlying bonds insured by MBIA.

    The rating actions follow the downgrade of S&P's financial strength rating on MBIA to triple-C from single-B (SCI 17 June). Based on the .......

    News Round-up 27 June 2016

  • GSE risk model update praised

    Fannie Mae last week announced an update to its credit risk assessment model, Desktop Underwriter, as it seeks to better assess the credit risk of non-traditional mortgage borrowers. In its latest Credit Outlook, Moody's says that the GSE's existing technology will improve the credit assessment of loans with non-traditional credit by providing an objective and thorough standard for analysing the risk of the underlying .......

    News Round-up 27 June 2016

  • Single-tranche Russian RMBS debuts

    VTB Capital has completed the first-ever single-tranche Russian RMBS, sponsored by Metallinvestbank. The RUB3.28bn deal offers a 10.25% coupon and will allow the bank to further develop its mortgage business.

    VTB says that a number of innovative features were used in the issue, such as the excess mortgage collateral, reserve funds and issuer's expenses being funded by a loan from .......

    News Round-up 24 June 2016

  • Agency recruits trio

    Morningstar Credit Ratings has made a trio of new hires in New York, including Lea Overby as md, leading structured finance research. This position is a newly created role for the agency, which will see Overby head up structured finance initiatives and support its analytical team in MBS, ABS and CLOs.

    Prior to moving, her most recent role was as executive .......

    Job Swaps 24 June 2016

  • RMBS downgraded on correction

    Moody's has downgraded the rating of the Navigator Mortgage Finance No. 1 €10m class C notes from Ba1 to Ba2. The move reflects the correction of an assumption in the cashflow modelling for the Portuguese RMBS deal, as well as a reassessment of the mitigating factors in relation to counterparty risk.

    In its last rating action on the deal in .......

    News Round-up 24 June 2016

  • Euro secondary settles down

    After a flurry of activity over the past two sessions the European securitisation secondary market has settled down today to await news from the UK EU referendum.

    Following a quiet Monday volumes picked over the next two days sparked by the increase in BWIC activity noted on Tuesday and continuing improvement in wider markets. Flows were relatively healthy yesterday too .......

    SCIWire 23 June 2016

  • NPLs sold to repeat bidder

    Freddie Mac has sold its latest batch of NPLs, auctioning off an additional 2,879 in deeply delinquent loans. Previous successful bidder, Lone Star Funds 9 Mortgage Holdings, was successful in picking up four of the five pools this time around - at US$516.6m worth of loans - while Upland Mortgage Acquisition acquired the remaining US$189.7m pool.

    Three of the pools .......

    News Round-up 22 June 2016

  • Cracks emerging in US housing

    A robust housing market has not prevented a number of 'minor' cracks from opening up within US housing, reports Fitch. Rising interest rates, demographics and employment growth point to a positive 2H16 and start to 2017, but challenges for the housing recovery include ongoing labour shortages and the potential for it to become more widespread. 

    Fitch believes that current trends have created a .......

    News Round-up 21 June 2016

  • Interest deferral supports Spanish RMBS

    Performance among S&P-rated Spanish RMBS has improved over the past 24 months, with the agency's index for 4Q15 showing the lowest level of delinquencies since 1Q13. While a subset of 2006 and 2007 vintage transactions continue to show weak performance, interest-deferral trigger mechanisms are positively influencing the ratings on their senior notes.

    As of 4Q15, severe delinquencies among 2006 and .......

    News Round-up 21 June 2016
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