RMBS

  • Activity up across non-agency

    After a quiet start to the week, US non-agency RMBS secondary market activity picked up yesterday. BWIC volumes were around US$850m and SCI's PriceABS data shows bid-list supply contained a strong mix of bonds backed by different collateral types.

    Among the subprime names of interest from the session was the AMSI 2004-R3 M1 tranche, which was .......

    Market Reports 19 March 2014

  • Aussie house prices stress tested

    Moody's Analytics says that it is important to examine house prices and vulnerabilities at the state level, rather than national level, when stress testing the Australian housing market. This finding is based on a study undertaken by the firm of the effects of substantial but plausible external and domestic shocks on the Australian housing market at the state level.

    According .......

    News Round-up 18 March 2014

  • QM criteria finalised

    Fitch has finalised its criteria for analysing loans securing US RMBS under the qualified mortgage (QM) standards and ability-to-repay (ATR) rule recently adopted by the Bureau of Consumer Financial Protection (CFPB). The finalisation of the criteria follows the conclusion of the agency's request for comment on its proposed approach (SCI 13 November 2013).

    Fitch has developed assumptions regarding the probability .......

    News Round-up 18 March 2014

  • New Penn beefs up in sales

    New Penn Financial has nearly doubled the size of its wholesale sales force with the addition of three regional sales executives and 28 account executives from Green Tree Servicing. The move follows the recent closure of Green Tree's wholesale mortgage division.

    The three regional sales executives oversee large territories across the US: Wells Constantine will cover Northern California and the .......

    Job Swaps 17 March 2014

  • Settlement acceptance date extended

    JPMorgan last week agreed to extend by another three months the period for trustees to evaluate and accept its proposed US$4.5bn settlement with 21 institutional investors represented by Gibbs & Bruns. The trustees had asked for more time to investigate the terms of the settlement.

    The new acceptance date is 16 June, having initially been 15 January. In addition, for .......

    Job Swaps 13 March 2014

  • Gleacher to be dissolved

    The directors of Gleacher & Company have determined that it is in the best interests of its stockholders for the firm to dissolve, liquidate and distribute its available assets. The firm reported a net loss of US$2.9m, or 47 cents per share, for 4Q13.

    Gleacher had been engaged in an intensive evaluation of potential strategic alternatives in order to preserve .......

    Job Swaps 13 March 2014

  • Misrepresentation case settled

    The US SEC has charged Jefferies with failing to supervise employees on its MBS desk, who lied to customers about pricing. Jefferies' policy required supervisors to review the electronic communications of traders and salespeople in order to flag any untrue or misleading information provided customers. However, the policy was not implemented in a way to detect misrepresentations about price.

    According .......

    Job Swaps 13 March 2014

  • US RMBS gathering steam

    US non-agency RMBS supply picked up yesterday as BWIC volume reached around US$664m. That level is set to rise with Freddie Mac preparing to sell US$1.15bn of legacy paper.

    The Freddie bid-list, which is due tomorrow, is expected to be the biggest bulk secondary sale of non-agency RMBS bonds since the final ING liquidation a month ago (SCI 31 January). .......

    Market Reports 12 March 2014

  • Housing reform to progress?

    US Senate Banking Committee chairman Tim Johnson and ranking member Mike Crapo have reached an agreement on a housing finance reform proposal. While most of the detail isn't new, the requirement for 10% private capital coverage upfront has caused some surprise.

    SFIG notes that the proposal includes: winding down and ultimately eliminating Fannie Mae and Freddie Mac; promoting a smooth .......

    News 12 March 2014

  • Trader convicted of TARP offences

    A federal jury in New Haven, Connecticut has convicted former Jefferies md Jesse Litvak of multiple offences connected to a scheme to defraud customers trading in RMBS. He was convicted on 10 counts of securities fraud, a count of defrauding TARP and four counts of making false statements within the jurisdiction of the US government.

    Litvak is the first person .......

    Job Swaps 12 March 2014

  • ESAIL 2007-6NCX restructured

    First stage restructuring proposals have been affected for the Eurosail-UK 2007-6NC RMBS, following the sale of the remaining Lehman Brothers claims, as per the extraordinary resolution passed by all noteholders on 10 February (SCI 10 January). The claims were sold to the winning bidder for US$32.88m.

    The first stage restructuring proposals include: the conversion of the realised termination amounts from .......

    News Round-up 11 March 2014

  • RFC issued on Turkish methodology

    Moody's is seeking comments on the methodology it is proposing for analysing the credit risk of residential mortgage pools in Turkey. The agency plans to use the proposed approach in conjunction with its existing methodologies to rate RMBS and covered bonds backed by such pools.

    To derive the calibration of country-specific values and assumptions for Turkey, Moody's benchmarked the Turkish .......

    News Round-up 10 March 2014

  • RFC issued on SFR deals

    Moody's has laid out its approach to rating single-family rental (SFR) securitisations. At the same time, the agency has issued a request for comment on the related rating methodology.

    Together with Morningstar and Kroll, Moody's rated the first deal in this sector - Invitation Homes 2013-SFR1 - in November 2013 (SCI passim). The rating agency says it expects an increase .......

    News Round-up 7 March 2014

  • Positive performance for hedge funds

    Hedge fund performance was strongly positive in February, with average returns the highest since January 2012, according to eVestment. In particular, distressed funds posted their best returns in more than two years at 3.18%.

    In the face of below-average investor interest in Q4 and elevated redemptions in January, credit strategies posted solid returns in February at 1.71% and are among .......

    News Round-up 7 March 2014

  • US RMBS BWICs back in bulk

    US non agency RMBS bid-list volumes picked up considerably yesterday to reach almost US$850m for the session. Activity was up across fixed rates, hybrids and subprime, with SCI's PriceABS data capturing a mix of covers and DNTs.

    One such subprime bond was the CWL 2006-26 M1 tranche, which traded during yesterday's session. The tranche was previously .......

    Market Reports 6 March 2014

  • Declining advance rates eyed

    Moody's expects delinquent loan advance rates to continue declining for loans transferred to Nationstar Mortgage from Aurora Loan Services and Bank of America servicing portfolios. Declining servicer advancing is particularly credit negative for fast-pay US RMBS bonds that are more likely to be outstanding when credit support is depleted, at which point they might have to share principal payments and .......

    News Round-up 6 March 2014

  • Sentiment drives ABX prices higher

    Markit ABX triple-A index prices have climbed modestly over the last six months, due to improving investor sentiment on subprime RMBS. Moody's expects recovery values to improve gradually over the next few years, driven by further strengthening in the housing market and better macroeconomic conditions.

    Last cashflow (LCF) triple-A prices have since July 2013 increased by four points for ABX .......

    News Round-up 6 March 2014

  • GSEs to turn to NPL sales?

    The GSEs have published their annual financial reports for last year, confirming that RMBS and CMBS disposals slowed down dramatically in the final quarter as sales targets were reached. With portfolios now significantly reduced, future illiquid portfolio sales may have to come from different sources and non-performing loans could be a candidate.

    The GSEs had an illiquid portfolio sales target .......

    News 5 March 2014

  • Regional factors weigh on UK RMBS

    A new DBRS analysis indicates that the UK housing market in the period following the financial crisis in 2008 is better characterised as a series of regional crises. Each with their own characteristics, the impact of the crisis on different regions within the UK varies widely and has not influenced housing in a homogeneous manner.

    The geographic profile of assets .......

    News Round-up 5 March 2014

  • Court reinstates RMBS claims

    A trial court's decision to dismiss Assured Guaranty Municipal Corp's claims for rescessory and consequential damages in an action against Credit Suisse regarding US$1.8bn in RMBS has been reversed. New York's Appellate Division, First Department has also reinstated claims for damages.

    Assured sued loan originator DLJ Mortgage and underwriter Credit Suisse in 2011, alleging that they had misrepresented the quality .......

    Job Swaps 5 March 2014

  • Swap error corrected

    Moody's has downgraded the ratings of five Granite Master Issuer Series 2006-3 tranches, following a correction to an input to the rating tool the agency used. The agency had either affirmed or upgraded the securities on 18 February.

    The affected tranches are the class A3, A4, A7, B2 and M2 notes. Due to an error, Moody's did not identify all .......

    News Round-up 3 March 2014
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