RMBS

  • Countrywide settlement signed

    The Massachusetts state pension fund is to receive US$11.3m under a settlement with Countrywide Securities Corporation (CSC). The case is part of the Massachusetts Attorney General's industry-wide review of residential mortgage securitisation practices in the state.

    The total settlement agreed with CSC comprises the US$11.3m to compensate government investors with the Pension Reserves Investment Management Board (PRIM) and an additional .......

    Job Swaps 2 January 2014

  • HQLA move welcomed

    Further details have emerged on the EBA's updated definition of high quality liquid assets (HQLA) in relation to RMBS (SCI 20 December). Under the clarifications, RMBS bonds with the following criteria will be counted as HQLA for the purposes of the LCR: ratings of at least AA-/Aa3; minimum issue size of €100m-equivalent; maximum time to maturity of five years; and .......

    News Round-up 24 December 2013

  • Euro ABS, MBS outlooks mixed

    After declining this year for the first time since 2008, European ABS volumes are expected to rise again in 2014. European RMBS volumes are anticipated to be broadly steady next year, while the growth seen in investor-placed European CMBS issuance could slow, according to S&P.

    Investor-placed ABS issuance reached about €20bn in 2013, down from €27bn in 2012. That is .......

    News Round-up 24 December 2013

  • Loss criteria updated

    Fitch has updated its criteria for estimating losses on US mortgage pools for RMBS transactions to address updates to the treatment of borrower reserves and loan origination channel. The adjustments are not expected to affect any outstanding ratings, but the updated variable treatment may result in more conservative credit enhancements on newly-issued transactions.

    The core principle of the framework remains .......

    News Round-up 24 December 2013

  • Liquidation timelines lengthening

    With the US housing market seemingly on the path to recovery, the volume of distressed non-agency mortgages has this year dropped to less than half of what it was at its peak in February 2010, according to S&P. As of November 2013, US$232bn of non-agency mortgages remains in the shadow inventory, down from US$495bn at the beginning of 2010. However, .......

    News Round-up 24 December 2013

  • G-fee hike delayed

    Incoming FHFA director Mel Watt intends to delay the increase in GSE guarantee fees announced earlier this month (SCI 11 December), after he is sworn in on 6 January. The implementation will be delayed until he has had "the opportunity to evaluate fully the rationale for the plan".

    Limiting g-fee increases is a high-priority demand from consumer advocacy groups and .......

    News Round-up 24 December 2013

  • NAIC changes 'mildly positive'

    The US National Association of Insurance Commissioners (NAIC) last week released its 2013 model results for RMBS and CMBS bonds owned by insurance companies, which will be used to determine their capital requirements in 2014. The 2013 valuation process incorporates improvements in underlying macroeconomic assumptions, especially for the most conservative scenario.

    Approximately 68% of RMBS experienced an increase in NAIC .......

    News Round-up 24 December 2013

  • Cherry picking

    Euro relative value trades explored

    The European securitisation market offers a number of relative value opportunities going into 2014. Top picks include CLO 1.0, mezzanine CMBS and peripheral RMBS bonds.

    European ABS relative value is being driven by seemingly irrational investor behaviour and US appetite, according to Peter Nowell, head of ABS trading at BNP Paribas. He cites Dutch RMBS as an example: the sector .......

    News Analysis 24 December 2013

  • Multi-state servicing settlement sealed

    Ocwen Financial Corporation has entered into a US$2.1bn settlement with 49 states, the District of Columbia and the Consumer Financial Protection Bureau, which resolves allegations that the company engaged in mortgage servicing misconduct. Also included are Ocwen Loan Servicing, Homeward Residential and Litton Home Servicing.

    The alleged misconduct resulted in premature and unauthorised foreclosures, violations of homeowners' rights and protections and the .......

    Job Swaps 23 December 2013

  • FHFA supporting return of private capital

    Numerous initiatives by the FHFA in recent weeks support the return of private capital to the US mortgage market, Fitch notes. The FHFA recently put out a request for feedback on future decreases in loan purchase limits for Fannie Mae and Freddie Mac, as well as moving to stay the current loan limits for another year and announcing higher guaranty .......

    News Round-up 23 December 2013

  • GSE PLS settlement reached

    The FHFA has reached a settlement with Deutsche Bank, related companies and named individuals for US$1.925bn to resolve claims alleging violations of federal and state securities laws in connection with private label mortgage-backed securities (PLS) purchased by Freddie Mac and Fannie Mae between 2005 and 2007. Deutsche Bank will pay US$1.63bn to Freddie Mac and US$300m to Fannie Mae.

    As .......

    Job Swaps 23 December 2013

  • NJ RMBS mis-selling suit filed

    The state of New Jersey has filed a lawsuit against Credit Suisse alleging that it offered more than US$10bn in RMBS trusts for sale while misrepresenting the risks involved in the investments. Also charged are Credit Suisse First Boston Mortgage Securities Corp and DLJ Mortgage Capital.

    The lawsuit alleges that Credit Suisse did not disclose to investors that there had .......

    Job Swaps 23 December 2013

  • RBA reporting templates finalised

    The Reserve Bank of Australia (RBA) has finalised its reporting requirements for CMBS and other ABS, as well as measures to strengthen borrower privacy under the RMBS reporting arrangements, following a consultation on proposed new eligibility criteria (SCI 3 October). The implementation date for the new reporting requirements for CMBS and other ABS is 30 June 2015.

    From this date, .......

    News Round-up 23 December 2013

  • European liquid assets examined

    The European Banking Authority (EBA) has published two reports on liquidity. One concerns the impact assessment for liquidity coverage requirements and the other appropriate uniform definitions of high quality liquid assets (HQLA) and extremely HQLA on operational requirements for liquid assets.

    The first report combines an empirical analysis of liquidity data provided by 357 European banks on a voluntary basis, .......

    News Round-up 20 December 2013

  • Volcker Rule spurs CLO sale

    BankUnited has disclosed that it sold its CLO holdings, as well as some Re-Remic positions on the open market. The sales were prompted by the release of the Volcker Rule and its potential impact on the bank's investment activities, it says.

    The amortised cost basis of the CLOs sold was approximately US$431m, comprising the firm's entire CLO portfolio, and the .......

    News Round-up 20 December 2013

  • Credit inflows 'muted' in November

    Investor flows into hedge funds were positive for a fifth consecutive month in November, according to eVestment. New allocations of US$15.3bn brought the five-month total of inflows to US$68.5bn.

    Industry assets hit a five-year high in November of US$2.84trn and trail their pre-financial crisis peak by just over 3%. Total industry assets are on pace to increase by an estimated .......

    News Round-up 19 December 2013

  • Uneven RMBS performance eyed

    The improvement in RMBS performance has been uneven across the US, much like the differences in regional home prices, Fitch notes. While home prices have increased by roughly 17% nationally since 4Q11, regional price changes vary widely around the average.

    Home prices have increased by 40% in some regions over the same time period, while other areas have seen modest .......

    News Round-up 19 December 2013

  • Bulk MSRs acquired

    Two Harbors Investment Corp subsidiary Matrix Financial Services Corporation has entered into an agreement to acquire a bulk pool of mortgage servicing rights from Flagstar Bank. Under the agreement, Flagstar will sell to Matrix the MSRs on residential mortgage loans having an aggregate unpaid principal balance of approximately US$40.7bn, for the purchase price of approximately US$500m.

    The underlying pool of .......

    News Round-up 19 December 2013

  • Taper talk becomes reality

    The New York Fed is to begin tapering its asset purchases with an initial US$10bn reduction in the monthly pace, evenly split between agency MBS and Treasuries. The Fed now plans to buy US$35bn of agency MBS and US$40bn of Treasuries per month beginning in January.

    RMBS strategists at Barclays Capital note that the Fed's announcement implies a quicker beginning .......

    News 19 December 2013

  • US REIT makes board addition

    Two Harbors Investment Corp has appointed Jacques Rolfo to its board of directors. The derivatives and structured products specialist was formerly ceo at CIFG and has also worked at CDC Group, Lehman Brothers and The World Bank.

    .......

    Job Swaps 18 December 2013

  • GSE portfolio execution closer?

    Fannie Mae and Freddie Mac have released updated loan-level pricing adjustment (LLPA) matrices, effective from 1 April. After adjusting for the removal of the adverse market delivery charge (AMDC), it appears that nearly all mortgages will see their LLPAs at least offset the reduction in AMDC and a vast majority will see net increases in excess of the 25bp AMDC.

    News 18 December 2013

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