RMBS

Residential mortgage-backed securities, or RMBS, are bonds or notes created by securitisation that are backed by residential mortgages or residential real estate loans. RMBS originators are typically financial institutions that originate residential real estate or residential mortgage loans, including banks, building societies/savings & loans and mortgage finance companies. However, issuers could also include government-guaranteed securities issued following bank bailouts, such as TARP or TALF, and the Government Sponsored Enterprises Fannie Mae and Freddie Mac. To create residential mortgage-backed securities, or RMBS, institutions sell pools of their loans to a special-purpose vehicle, or SPV, which then sells the loans to a trust. The trust then repackages the loans as interest-bearing securities and issues them. This true sale of the loans to the SPV ensures that the RMBS is treated as bankruptcy-remote from the originator. Many different types of assets back RMBS, including prime, non-conforming, sub-prime, Alt-A (or Alternative-A), buy-to-let and single-family rental (SFR) mortgages. The financial crisis caused residential mortgage valuations to plummet, leading to severe losses/defaults in many RMBS transactions (and ABS CDOs), as well as efforts to begin modifying loan documentation and indeed the creation of many credit/dislocation/distressed opportunity/recovery funds to take advantage of opportunities in the RMBS sector. Post-crisis, the Government Sponsored Enterprises Fannie Mae and Freddie Mac have developed a credit risk transfer market, comprising synthetic RMBS structures (whereby the risk is transferred via CDS tranches).


  • SCI Start the Week - 21 September

    A review of securitisation activity over the past seven days

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    News    21 September 2020
  • Forbearance crossroads

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    The number of US home loans in forbearance plans declined for the fourth week in succession and is n...

    News    18 September 2020
  • Aussie opportunities

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    The recent announcement that the Royal Bank of Australia’s (RBA) Term Funding Facility (TF...

    News    15 September 2020
  • LLPA exceptions

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    The controversial adverse market fee announced by the GSEs in August initiated an immediate 12.5bp i...

    News Analysis    11 September 2020
  • Pent-up demand

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    The European securitisation market reopened post-summer with a blow-out print for ARA Venn&rsquo...

    News    10 September 2020
  • Multi-level Libor exposure eyed

    Sector developments and company hires

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    Market moves    9 September 2020
  • Euro CLO payment mismatch grows

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    Market moves    8 September 2020
  • Dispersion emerging

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    News Analysis    7 September 2020
  • Reporting template RTS published

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    Market moves    4 September 2020
  • Liquidity boost

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    News    4 September 2020
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    Market moves    2 September 2020
  • View from an investor Part II

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    Market moves    1 September 2020
  • CECL eligibility expanded

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    Market moves    28 August 2020
  • A touch of seasoning

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    While the new category of qualified mortgage (QM) proposed by the Consumer Financial Protection&...

    News    27 August 2020
  • View from an investor

    SCI hears from an US MBS buyer about what he likes in the market... and next week what he doesn't

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    Talking Point    25 August 2020
  • Skilled nursing CMBS eyed

    Sector developments and company hires

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    Market moves    24 August 2020
  • SCI Start the Week - 24 August

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    News    24 August 2020
  • Seasoned QMs proposed

    Sector developments and company hires

    Seasoned QMs proposed The CFPB has issued a notice of proposed rulemaking (NPRM) to create a new ca...

    Market moves    20 August 2020
  • Freddie, Fannie fight back

    The GSEs have come out swinging after widespread denunciation of the LLPA

    Fannie Mae and Freddie Mac have offered a robust defence of their August 12 announcement to impose a...

    News    20 August 2020
  • Lack of transparency

    Reporting discrepancies cause confusion

    US RMBS reporting discrepancies are becoming a source of confusion among investors, with some shelve...

    News Analysis    20 August 2020