RMBS

  • 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

  • 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
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