RMBS

  • UK resi criteria change unveiled

    Fitch has published an exposure draft detailing proposed new elements of its criteria for estimating losses on UK residential mortgage pools. The agency proposes to apply the sustainable loan-to-value (sLTV) ratio as a predictor of default instead of using the original loan-to-value (OLTV) ratio.

    SLTV is the ratio of the current loan balance to Fitch's estimated sustainable house price (SHP) .......

    News Round-up 26 March 2014

  • RFC issued on QM approach

    Moody's is requesting comment from market participants on its proposed approach to evaluating incremental risks of qualified and non-qualified mortgage loans in its ratings of US RMBS. The agency notes that the US Consumer Financial Protection Bureau's ability-to-repay (ATR) rules, which established the qualified mortgage (QM) category, create incentives that could lead to incremental risks for RMBS trusts.

    "The broad .......

    News Round-up 26 March 2014

  • Credit Suisse settles PLS charges

    Credit Suisse and related companies have settled private-label mortgage-backed (PLS) securities fraud charges with the FHFA for US$885m. The settlement resolves all of the FHFA's claims against Credit Suisse in the FHFA's lawsuit against the bank as well as all claims against it in the FHFA's lawsuit against Ally Financial.

    The PLS were purchased by Fannie Mae and Freddie Mac .......

    Job Swaps 24 March 2014

  • Fed tapering continues

    The New York Fed will next month further reduce its asset purchases to a pace of about US$25bn per month for MBS and US$30bn per month for longer-term Treasury securities. The existing March schedules for purchases at a pace of US$30bn and US$35bn per month respectively remain in effect until that time.

    The Fed will also maintain its existing policies .......

    News Round-up 20 March 2014

  • Hedge fund assets near all-time high

    Investors allocated more to hedge funds in February than in any other month since eVestment began tracking monthly flow data in October 2008. An estimated US$41bn flowed into hedge funds during the month.

    Performance gains added a further US$45.9bn, bringing February's asset increase to US$86.9bn, an increase of 3.1%. This is the industry's largest asset growth since performance gains drove .......

    News Round-up 20 March 2014

  • RMBS, covered bonds converging

    DBRS has published an overview of how RMBS and covered bonds (CBs) are becoming increasingly alike. In particular, exacerbated refinancing risk embedded in bullet CB structures has led to the development of conditional pass-through (CPT) CBs (SCI 21 October 2013).

    CPT CBs are instruments that, upon a default of the issuer/sponsor, switch to a pass-through repayment structure. The maturity of .......

    News Round-up 20 March 2014

  • Richmond preps rehab programme

    Richmond, California's city council is now developing a distressed housing rehabilitation programme, following opposition to its efforts to use eminent domain (SCI passim). Under the latest plan, Richmond would buy, rehabilitate and then sell blighted homes in partnership with a local non-profit organisation (Richmond Community Foundation) and law firm Orrick, Herrington & Sutcliffe.

    RMBS analysts at Barclays Capital note that the .......

    News Round-up 19 March 2014

  • 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
×