Structured Credit Investor SCI’s 5th Annual Capital Relief Trades Seminar 17 October 2019, London
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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).


  • NPL RMBS redemptions spike

    US non-performing loan RMBS early redemption activity has hit record levels this year. US$5.3bn of b...

    News    8 June 2017
  • WAC caps not deterring RMBS investors

    Since early 2016 a number of European RMBS have been issued featuring net WAC caps, which alter the...

    News Analysis    6 June 2017
  • European market growth predicted

    European securitisation market participants expect the number of investors to grow and participation...

    News    6 June 2017
  • SCI Start the Week - 5 June

    A look at the major activity in structured finance over the past seven days.

    Pipeline With many market participants decamping to Barcelona this week for the industry conference...

    News    5 June 2017
  • Job swaps round-up - 2 June

    EMEA BNP Paribas Asset Management has launched a new private debt and real assets investm...

    Job Swaps    2 June 2017
  • Risk transfer round-up - 2 June

    Dynamic Credit is prepping another Dutch RMBS originated under the ELAN Woninghypotheken brand. Dubb...

    News    2 June 2017
  • Euro secondary sporadic

    The European securitisation secondary market continues to exhibit the pattern of recent weeks with s...

    SCIWire    1 June 2017
  • Credit-scoring models contrasted

    The importance to ABS of the VantageScore credit-scoring model continues to grow, with structured fi...

    News    31 May 2017
  • Irish central bank steps up NPL pressure

    The governor of the Central Bank of Ireland stated this week that the pace of NPL reduction in Irela...

    News Analysis    26 May 2017
  • Job swaps round-up - 26 May

    North America SFIG has hired Covell Adams as chief administration officer and Scott Brody as direc...

    Job Swaps    26 May 2017
  • Investors overweight RMBS

    Investors are moving out of consumer ABS and into US non-agency RMBS, agency RMBS and cash, accordin...

    News    23 May 2017
  • Global interest in Euro SF surges

    The number of investors in European securitisations is ramping up and transactions are increasingly...

    News    22 May 2017
  • SCI Start the Week - 22 May

    A look at the major activity in structured finance over the past seven days.

    Pipeline There were 11 ABS deals added to the pipeline last week. These were joined by an ILS, six...

    News    22 May 2017
  • Job swaps round-up - 19 May

    CDO manager transfers Dock Street Capital Management has replaced Vertical Capital as portfolio ad...

    Job Swaps    19 May 2017
  • Regulatory proposal for SPVs 'credit negative'

    Proposed European regulatory changes to classify SPVs as financial counterparties have created signi...

    News    19 May 2017
  • Structured sale to be resecuritised

    Freddie Mac is auctioning an approximately US$292m pool of seasoned re-performing loans from its mor...

    News    19 May 2017
  • Big appetite for BTL RMBS pair

    The two UK buy-to-let RMBS issued by Blackstone and Prudential last month (SCI 4 April) pro...

    News Analysis    18 May 2017
  • CRT customisation gains traction

    The GSE credit risk transfer (CRT) market has continued to evolve since it began in 2013, with Fanni...

    News Analysis    17 May 2017
  • Optionality driving RMBS focus

    The legacy US non-agency RMBS market is experiencing a 'perfect storm' of events, given the current...

    News    16 May 2017
  • SCI Start the Week - 15 May

    A look at the major activity in structured finance over the past seven days.

    Pipeline There was a bit more variety to the pipeline's additions last week, although ABS once agai...

    News    15 May 2017
  • Job swaps round-up - 12 May

    Amicus briefs The LSTA has joined The Clearing House and the American Bankers Association to file...

    Job Swaps    12 May 2017