Tagged with: Fannie Mae Freddie Mac Front Cash Flows GSEs Last Cash Flows LIBOR floaters Modifiable and Combinable REIT eligibility RMBS Securities Data Provider Black Knight to Acquire Top of Mind 2 days ago Home / Daily Dose / Credit Risk Transfers: Hot Topic of 2017 The Credit Risk Transfer (CRT) market continues to be a compelling investment vehicle that offers residential mortgage backed security (RMBS) investors an opportunity to achieve attractive risk-adjusted returns, while accessing various parts of post-crisis mortgage credit and origination. Following the mortgage crisis, the Federal Housing Finance Agency (FHFA) has mandated a number of changes affecting the government-sponsored enterprises (GSEs), mainly Fannie Mae and Freddie Mac, reducing the risk of losses that the GSEs may pose to taxpayers. Both Freddie Mac and Fannie Mae issued the first CRT transactions in 2013 in efforts to convey portions of their previously retained credit risk for the Agency mortgages they guarantee to the private sector. The collateral is newly issued (post-crisis) and incorporates significant reform in origination standards. Further, the reference collateral can vary in coupon and loan-to-value, but is primarily conventional 30 year fixed rate mortgages.CRT issuance primarily comes in two series: Connecticut Avenue Securities (CAS) by Fannie Mae, and Structured Agency Credit Risk (STACR) by Freddie Mac. As of May 2017, 47 CRT deals with combined security balances of $45 billion have been issued since the program’s inception in 2013. This represents exposure to over $1.3 trillion of residential single-family mortgages. Unlike traditional RMBS securities, payments made to investors are not directly from the underlying mortgage cash flows, but are instead remitted by Fannie or Freddie to CRT investors. The prepayments and the defaults incurred on the underlying reference pools are then reflected in payments by the GSEs to bondholders.The coupons paid by the GSEs are uncapped LIBOR floaters and carry various attachment points of credit enhancement. The GSE oversight and review of originator and servicer performance provides an additional layer of surveillance, which represents a further positive to underlying fundamentals. The CRT program offers a uniform and standardized investment vehicle for investors to access post-crisis mortgage credit. Program issuance has dwarfed the size of the RMBS 2.0 market (i.e., post-crisis non-QM mortgage securitizations) through today, in part due to the lack of standardization of the RMBS 2.0 market. CRT has become one of the few investment areas where investors can access this post-crisis mortgage credit. The deal structures have been evolving since 2013, initially originating only a first pay (M1) and last cash flow (LCF). Since then, these securities have evolved into anywhere from three to five tranches per transaction collateral pool. The deals now also offer exchangeable securities (MAC) where bondholders can split holdings into various access points of credit tranching or interest rates.Investors have many options to express views within housing including relative value to other U.S. structured products and broader fixed income, views on the path of home prices and the path of interest rates going forward, and technical factors arising from the declining outstanding float in legacy RMBS sectors. Dealers are heavily involved in making markets on the various tranches due to the synergies in primary issuance and trading this sector in secondary markets. Rating agencies have taken positive actions on many of the tranches due to the credit performance of the assets, issuing several upgrades and positive rating outlooks as the depth of the market continues to grow. Given that the CRT market is one of the only sizable sectors available to investors in post-crisis mortgage credit and underwriting today, the GSEs continue to work on expanding the investor base. For instance, once the work on the products REIT eligibility is finished and implemented, it should further improve the size and depth of the investor base.The CRT market remains well supported, while the collateral and structural benefits are high. We believe different parts of the capital structure add relative value in our portfolio construction. Some of the areas we find beneficial include:Front Cash Flows (M1s) are front sequentials, which pay atop the cash flow waterfall. They shorten as rates rally, but don’t extend significantly in an interest rate selloff. To clarify, mortgage rates are pegged to the on-the-run 10-year U.S. Treasury note and with higher rates, mortgage rates increase, slowing principal prepayments and therefore these bonds slow down or extend. The uncapped LIBOR floater offers additional protection against rising rates enhancing the risk-adjusted return profile. They are low beta and stable carry.Last Cash Flows (LCFs) are generally the second or third payer in the sequential waterfall. They are longer in spread duration and carry thick coupon spreads. Similar to the M1, the LCF’s are also uncapped floaters that may increase in value in scenarios of higher rates and cash flow extension.Modifiable and Combinable (MACs): These options allow a framework for investors to exchange tranches to express differing credit or interest rate views, for example by splitting off the interest-only portion or increasing/decreasing loss support.Home prices have continued their steady improvement and today, coupled with new post-crisis underwriting guidelines, the underlying sector outlook is strong. Continued enhancements to the program, structure, and the growing depth of the investor base, all while housing and market fundamentals remain robust, are reasons for our focus and positioning within the CRT sectors. Servicers Navigate the Post-Pandemic World 2 days ago Subscribe Fannie Mae Freddie Mac Front Cash Flows GSEs Last Cash Flows LIBOR floaters Modifiable and Combinable REIT eligibility RMBS Securities 2017-05-30 Neil Aggarwal in Daily Dose, Featured, News, Secondary Market Servicers Navigate the Post-Pandemic World 2 days ago Data Provider Black Knight to Acquire Top of Mind 2 days ago Governmental Measures Target Expanded Access to Affordable Housing 2 days ago Governmental Measures Target Expanded Access to Affordable Housing 2 days ago About Author: Neil Aggarwal The Week Ahead: Nearing the Forbearance Exit 2 days ago The Best Markets For Residential Property Investors 2 days ago Sign up for DS News Daily Share Save Previous: Carson: The Right Mindset Can Overcome Next: Under the Microscope – How Effective are QM Rules? Demand Propels Home Prices Upward 2 days ago Demand Propels Home Prices Upward 2 days ago Related Articles Neil Aggarwal, Portfolio Manager & Sector Specialist, RMBS, joined Semper Capital Management in 2017 as the Portfolio Manager and Sector Specialist for RMBS and other residential credit sectors. Aggarwal has over 14 years of experience in securitized products, trading, structuring, and credit analysis. Prior to joining Semper, he served as the Mortgage Credit Sector Head and Senior Trader for a securitized products strategy at BlueCrest Capital Management. Prior to BlueCrest, he was a SVP in RMBS and mortgage trading at Jefferies, where he primarily focused on market making and structuring. Earlier in his career, he was a residential mortgage loan/RMBS trader for Barclays Capital and C12 Capital, and a RMBS structurer for Citigroup. Aggarwal earned a BS in Mathematics and a BS in Finance with Honors from the University of Maryland. The Best Markets For Residential Property Investors 2 days ago Credit Risk Transfers: Hot Topic of 2017 Print This Post May 30, 2017 2,889 Views
Gov. Eugenio Lacson (left) discusses with the Department of Education Division of Negros Occidental officials during the Provincial School Board meeting held at the Capitol Social Hall. The agency received a P9-million financial assistance from the provincial government. PROVINCIAL GOVERNMENT OF NEGROS OCCIDENTAL Sabbaluca said that the financial aids, they will be able to improve the facilities of the recipient-schools so they can provide a conducive environment for learners and school personnel. BACOLOD City – The provincial government has released P9-million financial assistance to the Department of Education (DepEd) Division of Negros Occidental.Gov. Eugenio Lacson turned over the check to Provincial Schools Division Superintendent Marsette Sabbaluca during the Provincial School Board meeting held at the Capitol Social Hall here last week.The amount, sourced from the Special Education Fund, will be utilized for the upgrading of public school facilities in the municipalities of Calatrava, Candoni and Isabela, which received P3 million each. This is the second time in two months the provincial government released financial assistance to the DepEd Division of Negros Occidental. “The main goal of the DepEd Division of Negros Occidental is to endeavor that education will continue even in times of disruptions. How do we do that? It is by improving practices for a better normal,” Sabbaluca said during the meeting. On May 12, Lacson also handed a P7-million check to Sabbaluca as financial assistance to improve the facilities of 64 elementary and secondary schools. “This will do so much, especially now that our schools are preparing for the opening of classes amidst the COVID-19 pandemic,” the DepEd official said. (With a report from PNA/PN)
MONTREAL – The Montreal Port Authority says it has crossed a key milestone in its plans to grow its container-handling capacity in order to stay competitive with large American ports.The authority says it has submitted its plans to the Canadian Environmental Assessment Agency and will be part of a public consultation, with information sessions beginning at the end of the month.It says for several years it has been planning a container terminal on its land in Contrecoeur on Montreal’s South Shore, a land reserve it acquired between 1988 and 1992.The MPA says this is a strategic location for container handling because of its favourable geometry, nearby rail and road networks and the proximity of the markets it serves.The MPA says the project submitted to the assessment agency will make it possible, when completed, for the port to handle 1.14 million TEUs (twenty-foot equivalent units) per year.Project lead Daniel Dagenais says the additional port space will allow the MPA to make the most of the economic and commercial opportunities arising from emerging markets, the Canada-European Union Comprehensive Economic and Trade Agreement and the Quebec Maritime Strategy.Melanie Nadeau, director of communications for the Montreal Port Authority, says the project’s value is estimated at $750 million.
Bengaluru: Two people were killed and several others trapped when a four-storeyed under construction building collapsed at Dharwad in north Karnataka Tuesday, police said. The building came crashing down, triggering panic among neighbours and passers-by, a police official said. “Two have died while some 30 to 40 people are trapped,” said a police officer at Dharwad police station. Police said four people have been brought out from the debris while rescue operations are in full swing. As many as 10 ambulances and five fire tenders have beenengaged to carry out rescue and relief operations. Chief Minister H D Kumaraswamy said he was shocked to learn about the collapse of the under construction building. Kumaraswamy said he has directed the chief secretary to supervise the rescue operation and to send experienced rescue teams by special flight toDharwad.
Beijing: The Chinese military on Thursday said it hopes all countries can take “real actions” to maintain lasting peace and stability in the outer space, a day after India successfully test-fired an anti-satellite missile by shooting down a live satellite. The test made India the fourth country in the world after the US, Russia and China to acquire the strategic capability to shoot down enemy satellites. Commenting on the development, Chinese Defence Ministry Spokesman Sr. Col Wu Qian told a media briefing: “We have read the related reports”. Also Read – Uddhav bats for ‘Sena CM'”We hope all the countries can take real actions to protect lasting peace and stability in the outer space,” he said without referring to India. Soon after the test, China reacted guardedly and expressed hope that all countries will uphold peace and tranquillity in the outer space. The Chinese Foreign Ministry, in a written response to a question from PTI, said: “We have noticed reports and hope that each country will uphold peace and tranquillity in outer space”. China conducted such a test in January 2007 when its anti-satellite missile destroyed a defunct weather satellite. Also Read – Farooq demands unconditional release of all detainees in J&KPrime Minister Modi said in New Delhi that the action was not directed against any country and the satellite was a pre-determined target orbiting at an altitude of 300 km. He said India did not breach any international laws or treaties by testing the anti-satellite missile. Mission Shakti, which was led by the Defence Research and Development Organisation, was aimed at strengthening India’s overall security, Modi said in his address that comes a fortnight before the start of the general election. In New Delhi, the Ministry of External Affairs (MEA) said in a statement that India has no intention of entering into an arms race in outer space.
Rabat – Minister delegate for foreign affairs Mbarka Bouaida met, on Monday in Rabat, with a delegation of American journalists led by Cloves C. Campbell, president of the National Newspaper Publishers Association (NNPA) currently on a visit to the Kingdom. During this meeting, the Minister highlighted the success of the recent visit by HM King Mohammed VI to the United States, saying that it has opened new horizons for cooperation, according to a statement from the Ministry of Foreign Affairs. Noting that the joint statement issued at the end of this visit is a clear roadmap for the strategic partnership between Morocco and the United States, Bouaida stressed that the two countries are continuously strengthening the bases of a renovated and ambitious partnership. Briefing the delegation of American journalists on the latest developments of the national cause, Bouaida said the Moroccan autonomy initiative, which is in line with the international law, is the only practical and viable proposal on the table of negotiations.
OSU players celebrates after an overtime goal against Bowling Green on Oct. 7 at Jesse Owens Memorial Stadium. Credit: Eric Weitz / Lantern PhotographerThe Ohio State men’s soccer team is currently riding the longest winning streak in program history. The Buckeyes are looking to build on their seven-game tear against Cleveland State at 7 p.m. on Wednesday at Jesse Owens Memorial Stadium. The Scarlet and Gary did not face the Vikings last season but are looking to come out with a win despite limited knowledge of the opponent.“We’re going to prepare to play against Cleveland State and do the best that we can against CSU,” coach John Bluem said. “When that game is over, then we will go on to the next.”The Buckeyes have been on fire and plan to take one game at a time to keep its momentum.A daunting challenge for the Vikings will be trying to break through the Buckeye defense, as the OSU back end has been nearly impenetrable lately for the opposition. It’s been three games since a team has found the back of the net against OSU. “The backs are playing fantastic and we know that we just need to go in there and put things away,” senior midfielder Kyle Culbertson said.The Buckeyes have enjoyed the support of their home fans and look for it to continue as the team draws closer to postseason play.“This team is really in a groove right now with seven straight wins and nine unbeaten,” junior forward Christian Soldat said. “It feels great to be at home to play in front of a crowd that grows every single game, and they’re always behind us and we’re going to keep playing for them.”Viking territoryThe Vikings will be entering Wednesday’s match coming off the heels of a shutout win, 1-0, over Belmont on Saturday. Cleveland State has won three games in a row and has extended its record to 6-6-1 overall. Sophomore defender Jake Lagania leads the Vikings with five goals and three assists, followed by junior forward Sergio Manesio with three goals. Cleveland State has used a timeshare system at goalkeeper this season. Junior goalkeeper Nick Ciraldo has played about 600 minutes on the year and has a goals-against average of 2.14, with 16 saves overall, while junior goalkeeper Aleksandar Drobac has played for about 700 minutes and has a goals-against average score of 1.10 with 31 saves.Player of the week awards piling upFor the third consecutive week, redshirt senior goalkeeper Chris Froschauer was named Big Ten Defensive Player of the Week, while junior forward Danny Jensen was named Offensive Player of the Week for the second time in October.Both players have been vital to what OSU has been able to accomplish thus far.Jensen leads the team with four goals and three assists on the season, giving him a total of 11 points.Froschauer has started every game in 2015 after transferring from Dayton. He has logged more than 1,000 minutes and boasts a goals-against average of 0.88 and 45 saves this season.Froschauer became the third player in conference history to rack up three consecutive weekly honors. Moving on upAfter Saturday’s victory, the Buckeyes have moved to first place in the Big Ten conference, followed by Maryland and Rutgers, respectively. The Scarlet and Gray have also moved up to No. 18 in the National Soccer Coaches Association of America poll.Up nextFollowing Wednesday’s action, the Buckeyes are set to travel to Piscataway, New Jersey, to face Rutgers at 1 p.m. on Sunday.
Newcastle United managed to avoid the relegation from the Premier League and Rafael Benitez is convinced that this season has been a really successful one – and they should do well in the last matches to remember it like that.The Magpies’ form has been going downwards lately but the Spaniard believes that they will be able to improve for the final games of the season to show that this season’s success wasn’t a coincidence.The former Real Madrid or Chelsea manager spoke about his side’s season as he said, according to Chronicle Live:“Every game is important if we want to stay 10th.”Jose Mourinho is sold on Lampard succeeding at Chelsea Tomás Pavel Ibarra Meda – September 14, 2019 Jose Mourinho wanted to give his two cents on Frank Lampard’s odds as the new Chelsea FC manager, he thinks he will succeed.There really…“For me, we have to try and finish as high as possible in the table, but the main thing is to be sure that we play at the level we were playing before.”“We must try to do well during the final three games because it has been a very good season and we have achieved what we wanted to achieve.”“If we can avoid having this feeling that we have had after these two defeats, that is what we want. We have to remember that this has been a good season and we need to have good memories at the end of it.”
The British publication, FourFourTwo, have broadcasted the words of Spain national team head coach Luis Enrique concerning Atletico Madrid midfielder Rodri.According to the former Barcelona manager, the 22-year-old hotshot has all characteristics to become a ‘new Sergio Busquets.’Although Rodri is yet to establish himself as a regular starter at the Estadio Wanda Metropolitano following his summer’s arrival from Villarreal, Enrique seems to be a huge fan of the prosperous youngster.“I have already spoken about their similarities,” he told a news conference.“It’s not good to give too much praise and he is very young, but Rodri comes across as very professional and prepared mentally.“He can reach Busquets’ level and maybe surpass it. Who knows what limits he has?”Robert Moreno says he would step aside if Luis Enrique asks him Manuel R. Medina – September 3, 2019 The Spanish national team manager, Robert Moreno, took the job after Luis Enrique stepped down because his nine-year-old daughter passed away after a bone tumor.Rodri will be better than Barcelona icon Busquets – Luis Enrique https://t.co/ohoDJdkoz2 pic.twitter.com/VRS5qnE5za— Goal Nigeria (@GoalcomNigeria) October 4, 2018Now it’s up to the Rodri to give his answer on the field, but a comparison with a figure such as Busquets can only be flattering.The highly-rated midfielder will in the Spain squad for the matches against Wales and England along with Busquets, as well as, his two Atletico companions, Saul Niguez and Koke.