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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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US ABS activity accelerates

16 April 2014

SCI's PriceABS data shows a mix of auto and railcar bonds circulating on bid-lists yesterday as US ABS secondary market activity picked up. BWIC volume for the session reached around US$125m. Among the auto tranches out for the bid was AMCAR 2013-3 D, which was covered at 103. That was the first time the tranche had appeared in PriceABS, but the...

© Elf

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Second wave?

16 April 2014

NPL securitisation opportunity may be ending
As legacy non-agency RMBS yields have largely dried up, investors have had to look elsewhere. Attractive absolute returns can be found in the non-performing loan (NPL) market, although the opportunity may be overplayed. Yield is undoubtedly a primary driver of investor interest in NPL securitisations. While US single-family rental transactions ar...

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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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