RMBS

  • Lehman placeholder reserve decided

    A US bankruptcy judge has ruled against increasing the US$5bn placeholder reserve that covers Lehman's potential RMBS rep and warranty claims (SCI passim), based on case law that regards the February 2012 Reserve Order as final. Judge Shelley Chapman also appears to have determined that all 209,000 mortgages underpinning the bonds must be reviewed individually, rather than allowing for statistical .......

    Job Swaps 15 December 2014

  • RFC issued on Irish RMBS

    S&P is requesting comments on its proposed methodology and assumptions for rating Irish RMBS. The proposal aligns the methodology and assumptions for Irish RMBS closely with its global RMBS criteria.

    An S&P comment explaining the move discusses two fundamental principles of structured finance ratings and criteria: the credit quality of the securitised assets, and the payment structure and cashflow mechanics. .......

    News Round-up 15 December 2014

  • European secondary continues to wind down

    The European ABS, MBS and CLO markets look set for another quiet day today.

    "The markets are coasting as people check out for year end," says one trader. "That combined with continued frustration over the lack of speed of ECB purchases makes for a very quiet market - there are only a couple of BWICs in ABS and CLOs today .......

    SCIWire 12 December 2014

  • US RMBS boosted by vol

    The US non-agency RMBS secondary market has been boosted by the broad market volatility seen this week.

    "It's been a very busy week with $600-$700m on BWIC every day after Monday," says one trader. "Those aren't exorbitant levels, but it's rare for each day to be so consistently busy."

    The trader attributes the volumes to the volatility seen in broader .......

    SCIWire 11 December 2014

  • Euro ratings outlook positive

    Fitch says that its rating outlook for European structured finance (SF) transactions is stable, with 86% of its rating outlooks across the region being stable or positive. Performance in the large majority of asset market sectors across the region also has a stable outlook.

    Fitch's expectations for stability for both SF ratings and the underlying asset markets have improved substantially .......

    News Round-up 11 December 2014

  • Trustee litigation gaining traction?

    Progress appears to be being made in the latest US RMBS litigation front - lawsuits against trustees (SCI 8 August). The first-ever settlement between investors and trustees was reached last month in the US district court in Manhattan, when Bank of America and US Bank settled a US$69m class action challenging their conduct as trustees overseeing Washington Mutual deals.

    The .......

    News Round-up 11 December 2014

  • Ratings hit on Genworth downgrade

    S&P has lowered its ratings on 61 tranches of Australian and New Zealand RMBS and affirmed the ratings of a further 82 tranches. All 143 tranches have been removed from credit watch with negative implications, where they had been placed last month (SCI 12 November). An additional five tranches remain on watch negative, pending further assessment.

    The rating actions follow .......

    News Round-up 11 December 2014

  • European ABS/MBS patchy

    European ABS/MBS secondary continues to see patchy trading as year-end and broader macro concerns reduce risk appetite.

    Major UK and European names continue to see two-way interest, but elsewhere bids are weaker. Even Italian RMBS is generally quiet despite the talk of ABSPP buying in the sector.

    Meanwhile, the highlight of the BWIC schedule today is a four line €119.5m .......

    SCIWire 11 December 2014

  • RMBS supply on the rise

    US non-agency RMBS bid-list supply picked up strongly yesterday to more than US$800m. Subprime and Alt-A collateral led the way, although several pieces did fail to trade.

    SCI's PriceABS data captured a long list of names out for the bid, all from pre-crisis deals. Among the earliest of these was the MSAC 2003-NC10 M3 tranche, which .......

    Market Reports 10 December 2014

  • Dutch prime outperforms

    The European ABS/MBS markets are remaining quiet with Dutch prime the only highlight.

    "Client activity is close to zero and that may be it for the year," says one trader. "There are a few sellers here and there and consequently some BWICs, but volumes and liquidity are quite low."

    Except for ECB-eligible assets prices are weaker across deal types, with .......

    SCIWire 10 December 2014

  • LMI assessment criteria unveiled

    S&P has published its methodology for assessing lenders' mortgage insurance (LMI) and similar guarantees as a form of credit enhancement in global RMBS, global covered bonds and debt ratings in the US municipal housing sector. The agency believes the new framework will provide additional transparency to its ratings, while also enhancing comparability across sectors and geographies.

    S&P expects the rating .......

    News Round-up 9 December 2014

  • Make-whole payments received

    The Merrill Lynch RMBS MANA 2007-A2 and MLMI 2007-MLN1 respectively saw over US$8m and US$15m of subsequent recoveries in November's remittance. Most of the recoveries comprised make-whole loss payments, according to Barclays Capital RMBS analysts, and were made on only one of the collateral groups - group 2 for MLMI 2007-MLN1 and group 3 for MANA 2007-A2. Bank of America .......

    News Round-up 9 December 2014

  • GSEs offer lower down payment loans

    The GSEs have released guidelines for offering 95%-97% LTV mortgages. The product is expected to pull loans away from the FHA, resulting in adverse selection for FHA loans.

    FHFA director Mel Watt originally announced in October that the loan limit for the GSEs would increase (SCI 21 October). For Fannie Mae, the product will be available from 13 December, while .......

    News 9 December 2014

  • MHA incentives enhanced

    The US Department of Housing and Urban Development (HUD) and the US Treasury have enhanced the Making Home Affordable (MHA) programme to better assist struggling homeowners and communities still recovering from the effects of the financial crisis. The enhancements are designed to motivate homeowners in the MHA to continue making their mortgage payments on time, strengthen the safety net for .......

    News Round-up 9 December 2014

  • European ABS/MBS bolstered

    European ABS/MBS markets have been bolstered by signs of ECB buying.

    Despite yesterday's disappointing ABSPP number, euro ABS/MBS spreads have stayed firm into this morning on the back of talk of ECB buying picking up this week. "We hear some Italian RMBS has been bought," says one trader. "We're not going much tighter as a result, but it seems a .......

    SCIWire 9 December 2014

  • Reg AB 2 in review

    Shelf-eligibility and data disclosure discussed

    Representatives from Lewtan and Dentons recently discussed the considerations for implementing Regulation AB 2 in a live webinar hosted by SCI (view the webinar here). Topics included privacy concerns, data requirements and practical implications going forward.

    Q: What is the background to Regulation AB 2?
    A:     Ned Myers, svp, Lewtan: Reg AB 2 rules were initially proposed back in 2010 .......

    Talking Point 9 December 2014

  • Report calls for higher mezz charges

    A new report from the BIS states that a simple and transparent asset pool does not translate into mezzanine tranches that are simple to assess. The report sets out the view of policymakers that mezzanine securitisation tranches therefore require substantial safeguards, which should be proportionately much larger than those for the underlying assets.

    The Basel Committee is expected to disclose .......

    News 8 December 2014

  • Euro ABS/MBS BWICs quiet pre ABSPP number

    There's little to distract the European ABS/MBS market as it awaits this afternoon's ABSPP volume update with only two BWICs currently circulating.

    There is a £6m line of GRAN 2004-1 3A due at 12:00 London and at 15:00 a three line mixed list consisting of: €32.3m of AYTPI I A, €5m of MESDG DELT A and £11m of RMAC 2003-NS4X .......

    SCIWire 8 December 2014

  • RFC issued on RMBS loan-mod impact

    S&P is requesting comments on its proposed methodology for assessing the impact of loan modifications and extraordinary expenses on US RMBS ratings. The proposed criteria seeks to incorporate into S&P's rating the credit deterioration of a pool that is manifested through the contractual reduction of an RMBS's interest payment rather than through the reduction in available credit support.

    News Round-up 5 December 2014

  • European ABS/MBS hold steady

    Spreads are still holding steady in European ABS/MBS this morning, albeit on continued low volume levels.

    "It's another quiet day today and we've only got a few BWICs due," says one trader. Of those he highlights a four line €58m Spanish seniors list due at 14:30, which consists of: TDA 16 A1, TDA 19 A, TDAC 7 A3 and TDAI .......

    SCIWire 5 December 2014

  • SCI conference line-up unveiled

    Final panellist line-ups have been announced for SCI's 8th Annual Securitisation Pricing, Investment and Risk Seminar, which is taking place on 12 December in London. The event is being held at Reed Smith's offices at Broadgate Tower, 20 Primrose Street, EC2A 2RS.

    This conference will focus on relative value in light of ongoing regulatory challenges and the ECB's ABSPP. The .......

    News Round-up 5 December 2014
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