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Call for Fed MBS exclusion

20 August 2014

The US fixed income indices commonly used by money managers exclude Fed Treasury holdings when calculating their composition but include its RMBS holdings. However, money managers would likely be overweight MBS rather than underweight if the Fed's RMBS holdings were also excluded. The Fed's Treasury holdings have historically been excluded from f...

© L.Miguel Bugallo Sanchez

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Call likelihood gauged

20 August 2014

US RMBS clean-up call activity picked up in 2Q14, with 10 deals called during the period versus six in the previous quarter. Together with lower rates, one factor that may be contributing to the up-tick is rising prices for non-performing/re-performing loans. "If rates stay range-bound and NPL/RPL markets remain strong, call activity will likely...

© Shoshie8

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Watching waterfalls

20 August 2014

Call for increased derivatives disclosure in securitisations
A first step towards creating a safe and transparent ABS market in Europe, in line with recent ECB rhetoric, could be greater scrutiny of cashflow waterfalls. A list of items that securitisation issuers should disclose has been put forward to facilitate such scrutiny. "Derivatives contracts at the top of cashflow waterfalls mean that most securit...

© Roger McLassus

Read more » Structured Finance

Servicer advances 'attractive' despite headline risk

19 August 2014

Ocwen and HLSS last week announced that they will restate their financial statements for 2013 and 1Q14 and delay filing their second-quarter 10-Qs until the revisions have been completed. The move is due to a change in how Ocwen accounts for the valuation of 'rights to MSRs' that it had earlier sold to HLSS, according to Barclays Capital RMBS analy...

Read more » Structured Finance

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