RMBS

  • 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

  • RMBS tender amended

    Fir Tree Partners has amended certain terms of its cash tender offer for six RMBS that are subject to the proposed US$4.5bn JPMorgan settlement (SCI 23 January). Importantly, the offer now includes on a trust-by-trust basis a minimum aggregate principal balance of securities required to be tendered. The right to extend the withdrawal deadline, the expiration date or the settlement .......

    News Round-up 5 February 2014

  • FHFA RMBS claim settled

    Morgan Stanley has agreed to settle RMBS claims brought by the FHFA for US$1.25bn. The company will also record an addition to legal reserves of US$150m, reducing income by US$97m after tax.

    The settlement covers faulty RMBS sold to Fannie Mae and Freddie Mac (SCI 5 September 2011). The agreement in principle is subject to final approvals by the parties.

    .......

    Job Swaps 5 February 2014

  • 'Unusual' accounting flagged

    A number of US RMBS that were originally serviced by Bank of America but were recently transferred to Nationstar received no principal payment and limited interest payments last month. The accounting of advance recoupment on a number of transactions also appears to be unusual.

    The lack of principal payments seems to have resulted from Nationstar's heavy recoupment of P&I advances .......

    News Round-up 5 February 2014

  • Further ESAIL restructuring underway

    Noteholders of another UK RMBS - ESAIL 2007-PR1 - have directed the trustee to execute the sale if remaining Lehman claims via an auction. The auction was completed on 28 January and the issuer agreed to transfer all of its rights related to the remaining claims for US$22.68m. Acenden has been appointed for the purpose of managing the rating agencies, .......

    News Round-up 5 February 2014

  • Stronger start for US RMBS

    It was a promising start to the week for US RMBS, as non-agency BWIC volume picked up to reach US$477m. SCI's PriceABS data shows price talk for a number of legacy names out for the bid - with vintages as far back as 2000 represented - as well as covers on dollar-denominated bonds from recent-vintage European deals.

    Activity .......

    Market Reports 4 February 2014

  • South African SF to remain 'resilient'

    Fitch predicts that the performance of assets backing South African structured finance will be resilient in 2014 amid a stalling domestic economy. The agency consequently expects the South African structured finance transactions it rates to perform within base-case assumptions.

    Borrowers continue to benefit from a low interest rate environment, which has helped offset lacklustre growth in the country and aid .......

    News Round-up 4 February 2014

  • Court excludes Countrywide mod claims

    While the US$8.5bn rep and warranty settlement between Bank of America and Bank of New York on 530 Countrywide shelf trusts has been approved by Justice Barbara Kapnick, releases on certain modification related claims have been excluded as Bank of New York was found to have acted unreasonably in its role as trustee. The ruling could delay cashflow payments to .......

    Job Swaps 3 February 2014

  • German affordability to remain sustainable

    Fitch says that despite rising house prices, mortgage affordability in Germany should remain sustainable, supporting its stable outlook for RMBS transactions. Aggregate debt-to-income (DTI) in the country has been stable over the last few years, with a slight downward tendency.

    Affordability reflects rising disposable income, Germany's unemployment being at its lowest level since reunification and historically low interest rates. Fitch .......

    News Round-up 3 February 2014

  • RFC issued on TBA margining

    FINRA is seeking comment on proposed amendments to FINRA Rule 4210 to establish margin requirements for transactions in the To Be Announced (TBA) market. The proposal - which is designed to reflect the growth of the TBA market and to replace current interpretive materials under Rule 4210 that have become outdated - is informed by the set of best practices .......

    News Round-up 3 February 2014

  • Arch completes mortgage insurance move

    Arch US MI (Arch) has completed its acquisition of CMG Mortgage Insurance Company, having entered into an agreement last year with the sellers CUNA Mutual and PMI Mortgage Insurance (SCI 12 February 2013). The acquisition and operating platform will form the foundation for Arch Mortgage Insurance Company (Arch MI) to offer mortgage insurance throughout the US.

    Arch's charter has also .......

    Job Swaps 3 February 2014

  • Tapered to fit?

    Reduced agency MBS purchases still swamp supply

    This month marks the start of a new phase for the agency RMBS market as the New York Fed further reduces its asset purchases. However, the bank's activity is still overwhelming supply, and demand from private buyers remains low.

    The Fed commenced tapering at the start of the year after months of speculation (SCI passim) and announced further purchase reductions .......

    News Analysis 3 February 2014

  • Home prices face headwinds

    US home prices are continuing their upward push nationwide, though the trend faces strong headwinds from persistent labour market struggles and depressed median wages, according to Fitch's latest sustainable home price update.

    Home price growth is maintaining a near-record pace in much of the western US as supply remains tight, with new home sales limited by low construction rates. Additionally, .......

    News Round-up 31 January 2014

  • Positive outlook for LatAm securitisation

    Prospects for the Latin American structured finance markets in 2014 are good, according to S&P. In particular, the agency expects demand among Mexican issuers and Brazilian investors to create new opportunities for dynamic securitisation structures.

    A rebounding Mexican economy is likely to increase funding needs for local issuers, while an anticipated slowdown in the Brazilian economy may spur investor demand .......

    News Round-up 31 January 2014

  • Third IABF sale announced

    The Dutch State Treasury Agency (DSTA) has launched its third competitive auction for the securities underlying the ING Illiquid Assets Back-up Facility. The auction will be conducted by BlackRock Solutions and comprise US$2.06bn current face across 234 non-agency RMBS.

    Eight broker-dealers have been invited exclusively to submit bids for the portfolio based on the strength of their reverse inquiries. They .......

    News Round-up 31 January 2014

  • Lehman settles with Fannie

    Lehman Brothers Holdings Inc's US$2.15bn settlement with Fannie Mae has been approved in the New York bankruptcy court. The GSE's original claim against the bank was for US$18.9bn, but it had since agreed that the reserve for its claim would be US$5bn.

    The agreement involves a sign-off among Lehman, Aurora Commercial Corp, Aurora Loan Services and Fannie Mae. The GSE .......

    Job Swaps 30 January 2014

  • Fed further reduces purchases

    The New York Fed is set to reduce its asset purchases next month by a further US$10bn, evenly split between agency MBS and Treasuries (SCI 19 December 2013). The bank now plans to buy US$30bn of agency MBS and US$35bn of Treasuries per month.

    The Fed will maintain its existing policies of reinvesting principal payments from its holdings of agency .......

    News Round-up 30 January 2014

  • Prior delinquents provide opportunities

    As part of a move to reduce its retained portfolios, Freddie Mac last year began securitisation programmes for current modified loans and re-instated loans (SCI 24 May 2013). The GSE's H pool, M pool and R pool securities represent new collateral types for agency RMBS that are expected to make attractive investments.

    Freddie Mac has only issued a small number .......

    News 30 January 2014

  • MI ratings to remain stable

    Moody's expects the ratings for Australian mortgage insurance (MI) companies to remain stable over the next 12 months. This is because MI companies are well-capitalised, have low and stable loss ratios, and retain their strong market positions.

    "We view the operating environment for the Australian MI industry as broadly supportive," says Ilya Serov, a Moody's vp and senior credit officer. .......

    News Round-up 29 January 2014

  • Borrowers 'still struggling'

    Recent US home price growth has been insufficient to help some borrowers still struggling to pay their mortgages, Fitch says. The agency notes that this is evidenced in the growing percentage of borrowers entering foreclosure with positive equity in their homes.

    Fitch estimates that the percentage of borrowers entering foreclosure with positive equity has roughly doubled in the last two .......

    News Round-up 29 January 2014

  • RMBS trading probes settled

    Jefferies Group has agreed to pay US$25m to settle US criminal and civil probes into RMBS trading abuses. The firm was investigated after former trader Jesse Litvak was charged with RMBS fraud a year ago (SCI 29 January 2013).

    Jefferies will pay US$11m to counterparties harmed in certain trades, US$10m to the US Attorney's Office and US$4m to resolve an .......

    Job Swaps 29 January 2014
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