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Spark returns to US RMBS market

17 April 2014

US RMBS secondary market activity finally picked up yesterday, as a US$678m bid-list traded. Non-agency BWIC volume reached over US$1bn for the session, with SCI's PriceABS data capturing 80 unique RMBS bonds. Interactive Data notes that the US$678m list "has all the hallmarks of being from one of the GSEs", although nothing has been officially c...

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New benchmark needed?

17 April 2014

Meaningful shifts in cashflow, structure and collateral performance for GSMS 2007-GG10 may mean that consideration of other transactions as the benchmark US CMBS is warranted. Although the GG10 duper is still the largest in the sector, recent loan liquidations have seen a number of other tranches being written down. In fact, Interactive Data note...

© Eleassar

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Credit picking

16 April 2014

CLO investing in an evolving regulatory environment discussed
Representatives from Thomson Reuters, Prudential Fixed Income and Guggenheim Securities discussed the CLO investment landscape in an evolving regulatory environment during a live webinar hosted by SCI last month (view the webinar here). Topics included the impact of risk retention requirements and the Volcker Rule, as well as current drivers of rel...

© Felix Burton

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Resets hasten Dutch RMBS CPRs

16 April 2014

European DataWarehouse (ED) loan-level data for Obvion's STORM programme suggests that forthcoming resets may affect Dutch RMBS CPRs significantly. This holds true even if those resets are up to two years away, according to Bank of America Merrill Lynch analysts. Dutch RMBS pools are generally dominated by fixed-rate mortgages that normally featu...

© Loty

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