RMBS

  • Purchase loans to boost RMBS

    Moody's suggests that lower mortgage refinancing volume could lead to a higher proportion of purchase loans in new US jumbo RMBS. This, in turn, is likely to boost the credit quality of the pools because purchase loans typically have lower default rates.

    "Rising interest rates have caused a drastic drop in mortgage refinancing applications since mid-2013," says Moody's vp and .......

    News Round-up 20 February 2014

  • Return to flexible lending welcomed

    The Dutch Finance Ministry last month published the minutes of its periodic meeting with the Authority for the Financial Markets and Dutch Lenders Association regarding the application of the Code of Conduct for mortgage lending. Moody's considers flexible lending to be credit positive as normal lending practices cautiously return to the Dutch RMBS market.

    The agency notes in its latest .......

    News Round-up 19 February 2014

  • Supply squeeze

    Spread compression to drive non-core issuance

    A supply squeeze in European ABS is driving spread compression across asset classes and between senior and junior tranches. Against this backdrop, non-senior and non-core issuance is expected to pick up.

    Rob Ford, ABS portfolio manager at TwentyFour Asset Management, questions whether there is room for European ABS spreads to move any tighter at the top end of the market. .......

    News Analysis 19 February 2014

  • CMBS commutations announced

    MBIA Insurance Corp has disclosed that it commuted policies insuring approximately US$3bn of CMBS exposure, in which the reference CMBS were originally rated single-A, for a cost in excess of the third-quarter statutory loss reserve. The monoline says it now has approximately US$760m of CMBS exposure remaining, in which the reference obligations were originally rated triple-B, of which approximately US$391m .......

    News Round-up 17 February 2014

  • New Russian SPVs highlighted

    The official text of Federal Law No. 379-FZ 'On Amendments to Certain Legislative Acts of the Russian Federation' was published on 23 December 2013 (SCI passim). A recent Liniya Prava client memo outlines the highlights of the legislation as it pertains to securitisation.

    The law provides for the securitisation of non-mortgage assets and creates a legal framework for project finance .......

    News Round-up 14 February 2014

  • Final straight for legacy issues?

    After some GMAC/RFC deals wrapped by FGIC began to receive settlement payments in the January remittance (SCI 7 February), this month and the next should see further cash flow through for the remaining bonds. Additional returns are also expected to emerge as a result of ongoing settlement negotiations.

    FGIC entered into a settlement with ResCap debtors, deal trustees and certain .......

    News 14 February 2014

  • Stable outlook for Canadian ABS

    Moody's is maintaining its stable outlook for Canadian ABS and RMBS in 2014 because of the improving Canadian economy, which should support already strong collateral performance. Assets backing Canadian ABS and RMBS are predominantly consumer receivables, whose performance correlates to economic conditions.

    "Rising Canadian GDP and employment bode well for the performance of securitised collateral," says Richard Hunt, a Moody's .......

    News Round-up 14 February 2014

  • 'Broken swap' restructurings progressing

    Restructurings are progressing, at different stages, for three UK Lehman RMBS.

    First, restructuring proposals have been implemented for ESAIL 2007-PR1 (SCI 5 February), with an aggregate amount of US$64.87m of proceeds converted into an amount of £39.78m. £1.5m converted realised termination amounts were credited to the restructuring costs ledger and the remainder to the distributable termination proceeds ledger, according to .......

    News Round-up 14 February 2014

  • RMBS tender withdrawn

    Fir Tree Partners has terminated its cash tender offer for six RMBS (SCI passim). All of the trusts that were subject to the offer are involved in active litigations against JPMorgan for breaches of representations and warranties. On those trusts where Fir Tree is acting as a directing holder, it says it will continue to vigorously seek to prosecute these .......

    News Round-up 14 February 2014

  • Best practices

    Noteholder communications, technology and clearing systems discussed

    Participants in SCI's latest corporate trust roundtable met in December to discuss post-closing best practices and noteholder communications. Technology and documentation challenges, as well as improvements to the clearing systems were among the topics covered. (The full SCI Corporate Trust Roundtable discussion can be downloaded here.)

    Corinne Smith, SCI: Investor concern over securitisation noteholder communications is increasing. I .......

    News Analysis 13 February 2014

  • NHG approach clarified

    S&P has published additional criteria for assessing the support from the NHG guarantee in Dutch RMBS. The criteria clarify the methodology the agency uses for the analysis of Dutch government support under the NHG programme.

    The criteria apply to all new and existing Dutch RMBS and covered bond deals where the benefit of the guarantee provided under the Dutch NHG .......

    News Round-up 13 February 2014

  • Mod claims delay Countrywide settlement

    Approval of the US$8.5bn Countrywide RMBS settlement (SCI 3 February) has been stayed by Justice Saliann Scarpulla of the New York State Supreme Court. On the appeal of objectors including AIG, 19 February has been set as the date for oral arguments on the issues raised by Judge Kapnick's decision.

    In addition to uncertainty over how to handle modification claims, .......

    News 12 February 2014

  • Stable outlook for Russian SF

    Moody's outlook for the performance of Russian RMBS and ABS in 2014 is stable. The agency's view is underpinned by robust collateral performance, continued - albeit slower - economic growth and stabilised house prices.

    Moody's expects the performance of Russian RMBS and ABS transactions to remain relatively stable, even though economic indicators have weakened and portfolio composition in recent transactions .......

    News Round-up 12 February 2014

  • Quieter start for US RMBS

    Bid-list activity eased off in the US RMBS market yesterday, with total non-agency BWIC volume of around US$240m. Dealer offering levels were mostly unchanged and the only non-agency market segment to see an increase in activity was fixed-rate mortgages.

    "One notable list is in focus, consisting mostly of strong performing, relatively clean prime senior fixed-rates, with guidance ranging from the .......

    Market Reports 11 February 2014

  • Stable outlook for Canadian SF

    S&P expects Canadian consumer ABS credit ratings to remain stable in 2014, despite the likelihood of moderate deterioration in underlying collateral performance. The agency believes that new issuers will balance the lack of upcoming maturities from existing ABS issuers, with total issuance volume remaining at around C$11.5bn - split among credit card ABS (C$6bn), auto and equipment ABS (C$2bn), CMBS .......

    News Round-up 10 February 2014

  • MFDRA expiration to pressure recoveries

    The recently expired tax relief provided by the Mortgage Forgiveness Debt Relief Act (MFDRA) may lead to modestly negative pressure on liquidation timelines and recoveries for legacy US RMBS if it is not renewed, Fitch warns. The tax relief expired on 1 January, creating larger tax burdens for underwater borrowers who receive some form of mortgage debt forgiveness. If the .......

    News Round-up 7 February 2014

  • MBS funds outperform

    Hedge fund performance was negative in January, falling by an average of 0.6%, according to eVestment figures. However, the industry broadly outperformed global equity markets in what was a very difficult month, driven by increased uncertainty in emerging markets.

    Credit strategies also posted negative returns in January, the second month in the last six where performance was down. Directional strategies .......

    News Round-up 7 February 2014

  • MSR purchase on hold

    At the request of the New York Department of Financial Services (DFS), Ocwen has agreed to put an indefinite hold on its purchase from Wells Fargo of mortgage servicing rights on a portfolio consisting of approximately 184,000 loans with a total principal balance of US$39bn. The servicer says it will continue to work closely with the DFS to "resolve its .......

    News Round-up 7 February 2014

  • Settlement payments materialising

    Settlement payments from two mortgage insurers were reflected in last month's US RMBS remittances.

    First, FGIC-wrapped RFC and GMAC RMBS bonds received payments as subsequent recoveries. These payments were part of the settlement between FGIC and the Rescap estate, wherein FGIC agreed to pay US$253.3m to trusts with FGIC-wrapped bonds.

    All FGIC policies on these bonds are now terminated and .......

    News Round-up 7 February 2014

  • STACR approach refined

    Freddie Mac is in the market with its first risk-sharing transaction of the year. The US$600m STACR 2014-DN1 notes transfer more risk by selling higher into the capital structure compared to the 2013 transactions.

    The non-rated bond offered to investors is the same thickness as previous deals, but the 2014 triple-B tranche is roughly 50bp thicker, according to Bank of .......

    News Round-up 6 February 2014

  • RFC issued on Aussie set-off risk

    Moody's has requested comment on the approach it is proposing in assessing set-off risk in relation to bank deposits for securitisations and covered bond transactions in Australia. The proposal follows further legal advice that obligors can set off deposits against securitised debt, provided that the deposits were in existence at the time notice of assignment was given.

    If the proposed .......

    News Round-up 5 February 2014
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