RMBS

  • 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

  • Further PLS settlement reached

    The FHFA has reached a settlement with Societe Generale and related companies for US$122m. The settlement resolves claims alleging violations of federal and state securities laws in connection with private-label mortgage-backed securities (PLS) purchased by Fannie Mae and Freddie Mac in 2006.

    Under the settlement, Societe Generale will pay roughly half of the settlement monies to Fannie Mae and half .......

    Job Swaps 28 February 2014

  • SFR operational risk highlighted

    S&P says it is yet to see a single-family rental (SFR) securitisation with the level of credit enhancement and other risk-mitigating features that warrant the highest investment grade rating. The agency's primary reservations regarding the sector revolve around the industry's operational infancy, historical performance, the current business model's ability to withstand extreme economic conditions and the ultimate liquidation values of .......

    News Round-up 28 February 2014

  • Subprime settlement in the works

    Morgan Stanley has disclosed in a regulatory filing that it has reached an agreement in principle with the US SEC to resolve "an investigation related to certain subprime RMBS transactions sponsored and underwritten by the company in 2007". Pursuant to the agreement in principle, the bank would be charged with violating Sections 17(a)(2) and 17(a)(3) of the Securities Act, according .......

    Job Swaps 28 February 2014

  • Increased investor, IO loans 'credit negative'

    The increase in the proportion of investor and interest-only (IO) loans in new mortgage originations is credit negative for new Australian RMBS transactions, according to Moody's in its latest 'Structured Thinking: Asia Pacific' publication. As of 30 September 2013, the proportion of investor loans increased to 34.3% from 26.4% in March 2009, while the proportion of IO loans increased to .......

    News Round-up 27 February 2014

  • Debut Dutch RMBS marketing

    RBS is in the market with the inaugural transaction from Venn Partners' new Dutch RMBS platform (SCI 24 February). Dubbed Cartesian Residential Mortgages 1, the €481.3m deal is backed by prime mortgages originated by GE Artesia Bank via three SPVs - Quion 10, Ember Hypotheken 1 and Ember Hypotheken 2.

    The issuer financed the purchase of the mortgage pool by .......

    News Round-up 27 February 2014

  • Moderating servicer growth 'credit positive'

    The New York Department of Financial Services' (DFS) action on Ocwen (SCI 7 February) may signal a broader regulatory push to moderate the growth of the large special servicers, according to Moody's in its latest ResiLandscape publication. The agency notes that regulatory action that moderates the growth of special servicers or otherwise strengthens their operating and financial profiles would be .......

    News Round-up 27 February 2014

  • STACR percentage test triggered

    STACR 2013-DN1 failed its current subordinate percentage test this month and, as a result, the entire prepayment amount was directed away from the M1 tranche to the A tranche. A credit event resulted in a US$14,800 write-down of the B tranche that was enough to push the subordinate percentage to 2.99995% from 3%, RMBS analysts at Barclays Capital report.

    To .......

    News Round-up 27 February 2014

  • Spanish sovereign ceiling lifted

    Moody's has raised the maximum achievable rating for Spanish structured finance transactions to A1 from A3, following the upgrade of Spain's government bond rating to Baa2 from Baa3 and its local and foreign currency bond and deposit ceilings to A1 from A3. The move reflects improvements in institutional strength and reduced susceptibility to event risk, the agency says.

    Moody's is .......

    News Round-up 26 February 2014

  • Ratings vet takes top credit role

    Morningstar has appointed Calvin Wong as chief credit officer. He will be based in New York and report to president Vickie Tillman.

    Wong will take responsibility for enhancing the internal control structured for ratings, supporting credit rating model review processes and overseeing the development of rating criteria. He has in-depth knowledge of ABS and RMBS and was most recently practice .......

    Job Swaps 26 February 2014

  • Countrywide wrangling continues

    Judge Scarpulla of the New York State Court ruled last week that the judgement entered by Judge Kapnick on 31 January in the US$8.5bn Countrywide settlement case will not be further delayed. AIG and other objectors had asked for the entry of the judgement to be stayed, alleging that various issues remained unclear (SCI 12 February).

    AIG is nevertheless pursuing .......

    News 25 February 2014

  • Syncora warns of liquidity mismatch

    Syncora Guarantee has settled its RMBS-related claims with JPMorgan. In return for releases of all of the insurer's claims against the bank and certain of its affiliates arising from insured RMBS transactions that were the subject of litigation or dispute, it will receive a cash settlement.

    Separately, the insurer has remediated its exposure to several material financial guarantee insurance policies .......

    Job Swaps 25 February 2014

  • Agency derivatives trader joins

    Andy Chang has joined Pierpont Securities from Cantor Fitzgerald to trade agency derivatives. He has previously worked at RBS and Donaldson, Lufkin & Jenrette.

    .......

    Job Swaps 25 February 2014

  • Dutch RMBS platform prepped

    Venn Partners has acquired a €500m portfolio of Dutch residential mortgages from GE Artesia Bank. The deal marks the first step in Venn's establishment of a new lending platform focusing on the Dutch residential mortgage market, through primary origination and acquisitions of high-grade secondary mortgage portfolios. The firm plans to finance this business through the creation of a prime RMBS .......

    News Round-up 24 February 2014
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