RMBS

  • 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

  • Further large-lot sales expected

    January is anticipated to be an attractive time to bring a large portfolio sale to market, with many investors likely having excess cash to put to work. Of the few large RMBS holdings left that could come to market, the remainder of the ING IABF assets and the GSE portfolios provide the best opportunities for investors to source bonds in .......

    News 17 December 2013

  • SFR risks analysed

    Morningstar has published a report detailing six areas that it recommends investors pay close attention to in future single-family rental securitisation proposals.

    One area is the risk presented by multiple borrowers/property managers. Only a few investors and property managers have an inventory of rental homes large enough to issue a single-borrower securitisation and that have the capability to manage all .......

    News Round-up 17 December 2013

  • Divergence seen in Aussie delinquencies

    Fitch reports that Surfers Paradise, in Queensland, has become the worst performing postcode in Australia for missing housing loan payments - with a 30+ days delinquency rate of 4%. The improvement in property markets over the past six months and the sale of a significant number of foreclosed properties means that Nelson Bay in New South Wales is no longer .......

    News Round-up 17 December 2013

  • Investors on the hook for 'consumer relief'?

    S&P says it is unclear how the US$4bn in consumer relief agreed under JPMorgan's recent US$13bn settlement with the US Department of Justice (SCI 20 November) will be paid, as the settlement provides 'credit' towards this amount to be given for certain types of actions. The agency suggests that in cases where securitised loans are modified, the bank will get .......

    News Round-up 17 December 2013

  • Diversification boost

    Euro periphery to mitigate negative net issuance?

    The European securitisation market is set to end 2013 on a positive footing, boosted by a growing diversity of new issuance. However, while the re-marketing of retained transactions is expected to further augment the peripheral paper on offer next year, negative net issuance remains a concern.

    Placed European ABS issuance volume is expected to reach about €64bn this year, 16% .......

    News Analysis 17 December 2013

  • FHFA individual claims to proceed

    The US District Court for the Southern District of New York has allowed the FHFA to proceed with its claims against several individual defendants in connection with RMBS purchased by Fannie Mae and Freddie Mac between 2005 and 2007. Certain individuals who signed the relevant shelf registration statements but did not sign the relevant prospectus supplements moved to dismiss the .......

    Job Swaps 16 December 2013

  • CRA debuts SF approach

    Scope has published its first methodology guidelines for rating and monitoring structured finance products. The guidelines lay down the key principals that the rating agency intends to apply to all types of structured finance instruments and present how key criteria are integrated in the rating process.

    Scope believes that the analysis of qualitative factors, based on objective components, plays a .......

    News Round-up 16 December 2013

  • Loan-level disclosure enhanced

    Fannie Mae has commenced publication of monthly loan-level disclosure for single-family MBS. The data will be updated monthly and will provide loan-level details for loans underlying single-family MBS with issue dates beginning after 1 January. The loan-level disclosure files are accessible via PoolTalk, Fannie Mae's online disclosure application.

    In addition to releasing monthly loan-level disclosure, Fannie Mae has enhanced its .......

    News Round-up 16 December 2013

  • SEC CDO charges settled

    The US SEC has charged Merrill Lynch with making faulty disclosures about collateral selection for two CDOs that it structured and marketed to investors. Merrill Lynch is also accused of maintaining inaccurate books and records for a third CDO and has agreed to pay US$131.8m to settle the charges.

    The SEC says Merrill Lynch failed to inform investors that hedge .......

    Job Swaps 13 December 2013

  • RMBS supply spikes

    US non-agency RMBS volume yesterday was up day-over-day, boosted strongly by the liquidation of the US$5.1bn ING bid-list (SCI 10 December). The Dutch government is understood to have sold the assets to five dealers.

    As expected, most of the supply consisted of block-sized senior option ARM bonds. But fixed-rate supply also picked up, with a mix of senior current paying .......

    Market Reports 12 December 2013

  • Bank reaches RMBS settlement agreement

    PNC Bank has reached an agreement in principle with Freddie Mac to resolve substantially all indemnification and repurchase obligations related to loans sold between 2000 and 2008. PNC will pay the GSE US$89m - less credits of US$8m - to resolve existing and future repurchase obligations and to compensate Freddie Mac for losses.

    PNC has already agreed to settle with .......

    Job Swaps 12 December 2013

  • Further g-fee hike confirmed

    The FHFA has directed Freddie Mac and Fannie Mae to raise guarantee fees as part of its ongoing drive to shrink the role of the GSEs in the market. The changes will move the effective annual g-fee for 30-year mortgages to around 62bp and decrease the likelihood of Mel Watt hiking fees when he takes over from Ed DeMarco as .......

    News 11 December 2013

  • Top trades touted

    Morgan Stanley suggests in its global securitised products outlook for 2014 that the market is on the verge of a major transition from being liquidity-driven to being growth-dependent. While the returns are more modest in this scenario than they have been in the past, strategists at the bank believe that alpha opportunities within the sector remain more significant, scalable and .......

    News 11 December 2013

  • Newark eyes eminent domain

    Newark City Council has formally voted to start legal research towards using eminent domain to seize underwater mortgages. Newark accounts for 268 first lien loans in RMBS trusts that are underwater but current, according to Barclays Capital figures.

    The UPB of these loans is US$80m and they are expected to take a US$24m loss if they are written down to .......

    News Round-up 10 December 2013

  • Forward-settling MBS supported

    Northern Trust has enhanced its collateral management system to include forward-settling MBS in response to new margin recommendations. Offered as a component of the firm's investment operations outsourcing for asset managers, the service supports two-way variation margin recommended as of 31 December by the Treasury Market Practices Group (TMPG).

    The forward-settling nature of most agency MBS transactions exposes trading parties .......

    News Round-up 10 December 2013

  • Servicing deficiencies remain

    The latest report from Joseph Smith, a court-appointed monitor of the US$25bn national mortgage settlement, indicates that certain deficiencies remain outstanding in meeting the settlement terms in servicing delinquent mortgage loans. Yet the report also notes that progress is being made to address the issues.

    The monitor used 26 metrics and 304 distinct standards to establish compliance. However, broader servicing .......

    News Round-up 10 December 2013

  • Strong results seen for MBS funds

    Hedge fund returns rose by an average of 1.1% in November, boosting average year-to-date returns to 8.2%, according to the latest eVestment figures. On an annualised basis the industry is on pace to return 9% for the year, nearly 150bp ahead of 2012's 7.5% increase.

    With a 0.35% return, credit strategies lagged the industry's average returns in November, weighed down .......

    News Round-up 10 December 2013

  • ResCap objections resolved

    Residential Capital expects to exit bankruptcy by 24 December, having resolved bondholder objections to its reorganisation plan. RMBS holders will be paid US$672.3m in rep and warranty recoveries as part of the plan. The RMBS trustees need to appoint a financial adviser to allocate this money among the RFC and GMAC trusts, with the recoveries likely to flow to bondholders .......

    Job Swaps 10 December 2013

  • Record RMBS settlement agreed

    Countrywide Financial Corporation has agreed to pay US$500m to investors who allege that they were misled by the company's sale of RMBS from 2005 to 2007. It is the largest RMBS class action settlement in history.

    Robbins Geller Rudman & Dowd represented plaintiffs in the record-breaking case. The class action was launched two years ago (SCI 26 September 2011).

    .......

    Job Swaps 10 December 2013
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