RMBS

  • Dutch mortgage market changes examined

    Recent actions by the Dutch government will likely reduce origination of NHG-backed mortgages, chiefly through reducing the maximum guaranteed loan value, according to Fitch. The agency suggests that increasing the cost of the guarantee to borrowers would probably have less impact, although it is unclear how banks will adjust mortgage pricing to account for the risk-sharing provisions introduced for new .......

    News Round-up 13 November 2013

  • QM exposure draft released

    Fitch expects the Bureau of Consumer Financial Protection's (CFPB) Ability-to-Repay (ATR) and Qualified Mortgage (QM) Rule to have wide-reaching implications for both the primary and secondary US mortgage markets. The agency has consequently published a report outlining how the rule is expected to impact its analysis and rating approach for mortgage loans originated on or after 10 January 2014.

    Among .......

    News Round-up 13 November 2013

  • Loss severity improvements lagging

    US RMBS loss severities have not improved at the rate that might be expected from recent home price gains, Fitch notes. Home prices have increased by roughly 14% nationally and by 30% in California since 4Q11, while loss severities have only improved 5% over the same timeframe.

    The key factor offsetting home price gains has been extending liquidation timelines, according .......

    News Round-up 12 November 2013

  • Hedge fund returns rising

    Hedge fund returns rose by an average of 1.5% in October, according to eVestment. The industry is on pace to return 8.6% on an annualised basis for the year, ahead of 2012's 7.5% increase.

    Credit strategies were up by 0.85% in October (and by 6.18% year to date), with a rise in deviation of returns observed. While the universe in .......

    News Round-up 12 November 2013

  • APRA plots securitisation overhaul

    The Australian Prudential Regulation Authority (APRA) plans to reform its securitisation rules by 2015. Charles Littrell, executive general manager of APRA's policy, research and statistics division, yesterday said in a speech given to the Australian Securitisation Forum that the authority intends to publish a consultation paper on APS 120 to further this goal.

    In particular, APRA is considering adding a .......

    News Round-up 12 November 2013

  • US RMBS BWIC supply stays strong

    US non-agency RMBS BWIC volume approached US$850m in yesterday's session, with SCI's PriceABS data recording a number of covers. There were fewer ARM tranches than in the previous session, although Alt-A and subprime collateral was well represented.

    In the subprime space, the NHEL 2003-4 A1 tranche was talked in the low/mid-90s and covered at 92 handle, .......

    Market Reports 8 November 2013

  • RBS settles subprime RMBS charge

    The US SEC has charged RBS Securities with misleading investors in a 2007 subprime RMBS offering. RBS has agreed to settle for US$150m without admitting or denying the allegations.

    RBS is alleged to have failed to mention that nearly a third of the loans backing the RMBS failed to meet the lender's underwriting guidelines. Further, RBS is alleged to have .......

    Job Swaps 8 November 2013

  • Countrywide objections dropped

    The Boston, Chicago and Indianapolis Federal Home Loan Banks and two Cranberry Park entities have dropped their objection to the US$8.5bn Countrywide settlement (SCI passim). However, many other objectors remain.

    Those objectors include AIG, FHLB Pittsburgh, Triaxx CDOs, CIFG Assurance, American Fidelity Assurance, certain small banks and insurance companies, Retirement Board of Policemen's Annuity & Benefit Fund of City of .......

    News Round-up 7 November 2013

  • US home price rises 'unsustainable'

    Several US cities are approaching inflated bubble-year price peaks, according to Fitch. US home prices have risen 13% and the rating agency views this as unsustainable.

    According to Fitch's sustainable home price model, house prices are now 17% overvalued, with Californian cities such as San Francisco seeing prices rise fastest. That city and San Jose are on course to set .......

    News Round-up 7 November 2013

  • Subprime boost seen

    US non-agency RMBS supply picked up yesterday, boosted by a mix of senior and mezzanine subprime floaters. Option ARM bonds were also well represented.

    Among the subprime names out for the bid during the session, JPMAC 2007-HE1 AV2 was talked at low/mid-80s, according to SCI's PriceABS archive. In the Alt-A fixed-rate space, the RALI 2006-QS2 1A4 tranche was .......

    Market Reports 6 November 2013

  • Modified loan trends analysed

    Of the 3.2 million currently outstanding mortgages in the Loan Performance database originated between 2004 and 2007, 1.2 million have been modified at least once, according to Morgan Stanley estimates. Given the variation in modification types, securitised product strategists at the bank have put together some heuristics to help investors evaluate performance prospects within modified deals.

    The Morgan Stanley strategists .......

    News 6 November 2013

  • Rating withdrawal process detailed

    Moody's has outlined its global process to determine the minimum number of borrowers in the pools underlying RMBS, below which excessive exposure to the idiosyncratic credit risk of a few borrowers may prevent it from assigning or maintaining ratings. The implementation of this process will result in the immediate withdrawal of two ratings in Asia Pacific and of 312 ratings .......

    News Round-up 6 November 2013

  • Benchmark indices tweaked

    Barclays has amended its benchmark fixed income indices, after concluding its annual index review and governance process last month. The governance process has resulted in a number of rule and methodology changes that will take effect next year.

    Under the amendments, agency CMBS will become eligible for the US Aggregate and Global Aggregate Indices, as of 30 June 2014. Barclays .......

    News Round-up 6 November 2013

  • ESAIL 2007-5 restructuring approved

    The extraordinary resolution to approve the sale of the remaining claims against LBSF and LBHI and an associated restructuring proposal was approved by all classes of Eurosail UK 2007-5NP notes on 31 October (SCI 8 October). The resolution will now be implemented by the issuer.

    The proposal relates to the sale of the remaining outstanding claim against LBSF and LBHI .......

    News Round-up 6 November 2013

  • Broker beefs up in structured finance

    Sterne Agee has expanded its structured products offering with the addition of seven new staffers. Joining the company's New York office in various positions are: Katya Baron, David Jacob, Brendan Keane, Mike Krull, Dariush Pouraghabagher, John Rozario and John Woodruff.

    Jacob and Krull join Sterne Agee as co-heads of CMBS trading in the structured products group. The pair will focus .......

    Job Swaps 6 November 2013

  • Further forbearance losses recognised

    At least 28 RMBS serviced by Chase (EMC) took losses related to past forbearance modifications, according to the October remittance. The affected transactions come from the BALTA, BSABS, BSMF, GPMF, HMBT, PRIME and SAMI shelves.

    The average write-down for the month was 0.6%, ranging from 0.0%-6.3% across deals, according to Bank of America Merrill Lynch figures. For some transactions, Chase .......

    News 5 November 2013

  • MSR flow sale agreed

    Two Harbors Investment Corp subsidiary Matrix Financial Services Corporation has entered into a flow sale agreement with PHH Mortgage Corporation for the purchase and sale of mortgage servicing rights. Under the agreement, PHH Mortgage may sell to Matrix the MSRs on 50% or more of PHH Mortgage's newly-originated residential mortgage loans that are eligible for sale, subject to the parties' .......

    News Round-up 5 November 2013

  • TRACE expansion proposed

    FINRA last week filed a proposed rule change with the US SEC to amend the TRACE dissemination protocols to include additional ABS transactions and to reduce the reporting periods for such securities. The agency also proposes to re-name as 'securitised products' the broad group of securities currently defined as 'asset-backed securities' and to redefine the term asset-backed security more narrowly. .......

    News Round-up 5 November 2013

  • Shortfall trends reviewed

    Morningstar has reviewed monthly occurrences of US RMBS interest shortfalls for the year to date through end-3Q13. The data shows that interest shortfalls continue to slowly trend higher across different collateral types, tranche types and vintages, with the likelihood of repayment being impacted by both the amount and duration of the interest shortfall. Smaller and shorter shortfalls are expected to .......

    News Round-up 4 November 2013

  • EverBank MSR sale agreed

    Walter Investment Management Corp has entered into a series of definitive agreements through its Green Tree subsidiary with EverBank Financial Corp. The firm also expects to finalise in the near term the establishment of a delinquency flow outsourcing arrangement, wherein it will provide outsourced default servicing on a flow basis to EverBank from its mortgage portfolio.

    Under the agreements, Green .......

    News Round-up 4 November 2013

  • IABF unwind to boost Alt-A supply

    ING has reached an agreement with the Dutch state to unwind the Illiquid Assets Back-Up Facility (IABF), which was established in 2009 to reduce the risk and uncertainty for the bank from a portfolio of US Alt-A RMBS. The bank says that market developments now allow for the securities to be sold, with a cash profit for the Dutch state.

    News Round-up 4 November 2013

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