RMBS

  • Reduction in sovereign ceiling proposed

    S&P has published a request for comment on proposed changes to its methodology for assigning ratings above a sovereign's foreign currency rating on single-jurisdiction structured finance transactions. The proposal is designed to bring additional clarity and comparability to the agency's global approach for considering structured finance ratings above that of the sovereign.

    The proposed criteria apply a rating differential above .......

    News Round-up 15 October 2013

  • IRS impact anticipated

    In light of the ongoing US government shut-down, Kroll Bond Rating Agency says it has reached out to RMBS issuers to find out how they are handling the inability to execute IRS form 4506-T (Request for Transcript of Tax Return) and what impact it may have on both origination practices and origination volumes.

    While the underwriting guidelines of most lenders .......

    News Round-up 14 October 2013

  • SF definition updated

    Moody's has updated its definition of the types of securities it considers to be structured finance instruments. US$45.99bn of securities are affected by the move.

    The agency intends to remove the 'sf' indicator from credit ratings it assigns to: student loan-backed bonds issued by a non-profit or public instrumentality that issues fewer than three classes of debt; US state and .......

    News Round-up 14 October 2013

  • Record year for clean-up calls?

    The number of US non-agency RMBS clean-up calls has doubled since the start of summer (SCI 4 June), putting 2013 on course to see more deals called than in any year since 2005. However, shifting economic conditions may put the brakes on call activity, while not all sellers are embracing calls equally.

    Senior fixed-rate tranches have begun trading above par, .......

    News 11 October 2013

  • H2B2 positive for existing RMBS

    The mortgage guarantee component of the UK government's Help-To-Buy scheme should be positive for existing RMBS transactions via its short-term impact on house prices and mortgage funding conditions, Fitch says. An unsustainable rise in house prices and an increase in riskier lending could damage UK mortgage performance in the longer term, however.

    The agency notes that, combined with generally improved .......

    News Round-up 11 October 2013

  • Credit hedge fund performance lagging

    Credit hedge funds performed well last month, but are struggling to post returns of even half of the level seen in 2012, according to eVestment. The firm estimates that MBS-focused funds, in particular, are on pace for their worst year since the financial crisis.

    Credit strategies appeared to benefit from the reversal of the 10-year US Treasury rate climb in .......

    News Round-up 11 October 2013

  • UROPA 2007-1 redenominated

    The UROPA Securities 2007-1 class A4B tranche has been redenominated from euro to sterling, with the underlying currency swap cancelled as a result. The outstanding balance now stands at £12.186m (as opposed to €18m previously) and the interest rate margin is 28.15bp over Libor (compared to 25bp over Euribor).

    .......

    News Round-up 11 October 2013

  • Sovereign risk still weighing on periphery

    European peripheral ABS and RMBS are more sensitive to a further potential increase in sovereign risk than to asset pool deterioration, Moody's suggests. Specifically, the agency points to further increases in sovereign risk or weakening of the credit profiles of financial counterparties over the next 18 months as being the main drivers of negative credit migration for Irish RMBS, as .......

    News Round-up 11 October 2013

  • Tighter pricing expected for CAS

    Structural differences between Fannie Mae's upcoming CAS 2013-C01 and Freddie Mac's STACR deal should lead to tighter pricing on the former transaction. Based on a Deutsche Bank analysis, the Fannie senior mezzanine class could price 25bp-50bp inside the STACR M1 class.

    One key difference between the CAS and STACR deals is that the CAS M1 tranche is rated (triple-B minus .......

    News 10 October 2013

  • US RMBS criteria updated

    Fitch has published an annual update to its US RMBS criteria. While the framework of the methodology remains unchanged, the loss and cashflow methodology has been revised for manufactured housing, small-balance CMBS, scratch and dent, HELOC and second lien products.

    Collectively, these product types comprise less than 10% of the agency's rated RMBS transactions. Fitch says it does not expect .......

    News Round-up 10 October 2013

  • Aussie IEO exposure examined

    Use of the Australian Bureau of Statistics' Index of Education and Occupation (IEO) shows that regions most disadvantaged in these categories are most vulnerable to a rise in mortgage delinquencies during an economic downturn, according to Moody's.

    "IEO is important because it complements the key metric of loan-to-value ratios (LVR) as an indicator of a region's vulnerability to increased delinquencies .......

    News Round-up 10 October 2013

  • Exploring the whole loan alternative

    As rating agencies continue to alter the status of tranches...

    With the financial services sector continuing to rebuild following the financial crisis, investment funds are on the hunt for the highest yield opportunities to ensure investor satisfaction. This remains a core challenge, however, across most investment sectors as absolute yields remain low.

    Funds that have typically focused their trading strategies on RMBS are currently facing the difficulty of a series .......

    Talking Point 10 October 2013

  • ESAIL 2007-5 restructuring proposed

    Meetings for all Eurosail UK 2007-5NP noteholders have been scheduled for 31 October to consider an extraordinary resolution to approve the sale of the transaction's remaining claims against Lehman Brothers and an associated restructuring proposal. The restructuring proposal revises the original sale proposal, which was approved by the class A noteholder in July 2012 but never implemented.

    Out of a .......

    News Round-up 8 October 2013

  • Validation tool enhanced

    Interactive Data has released a new set of transparency and workflow enhancements to its Vantage solution. The enhanced Vantage Price Validation Workflow module aims to enable buy- and sell-side firms to more efficiently manage their price review process, thereby reducing the operational cost of meeting current regulatory requirements.

    The module is designed to serve as a central hub for client .......

    News Round-up 8 October 2013

  • Modification performance analysed

    At least 31% of the US mortgage loans that were seriously delinquent in December 2008 have been modified at least once and performed much better than those that weren't modified, according to Moody's latest Servicer Dashboard publication. The 2Q13 report focuses on the status, as of June 2013, of approximately 1.1 million loans that were 60-plus days delinquent and in .......

    News Round-up 8 October 2013

  • 2.0 structuring tool launched

    Lewtan has launched a structuring tool geared towards the 'securitisation 2.0' environment. Dubbed ABSNet Modeler, the firm says that the offering is unique due to the transparency of the cashflow waterfall and resulting output.

    The tool is designed to assist users at each step of the deal structuring process with advanced cashflow analytics to run deal, pool, tranche and loan-level .......

    News Round-up 8 October 2013

  • LMI sensitivity examined

    Moody's says that most Australian RMBS transactions with lenders' mortgage insurance (LMI) insuring the mortgage loan payments are insensitive to changes in the credit quality of mortgage insurers. The agency analysed 215 Australian RMBS notes with LMI and found that the ratings of only 11 senior and two mezzanine tranches were reliant on the credit quality of mortgage insurers.

    The .......

    News Round-up 8 October 2013

  • Common GSE platform progresses

    A year after the FHFA released a white paper on a proposed framework for a common securitisation platform for Fannie Mae and Freddie Mac (SCI 5 October 2012), the joint venture is closer to becoming a reality. Among other developments, a certificate of formation has now been filed in Delaware to establish Common Securitization Solutions (CSS) as a limited liability .......

    Job Swaps 8 October 2013

  • NewOak partners with risk specialists

    NewOak Advisors has formed a strategic alliance with Smith Regulatory Strategies (SRS). The alliance will combine NewOak's market expertise with SRS's risk management and regulatory compliance capabilities.

    The alliance will initially focus on Basel 3 risk-based capital compliance, including stress testing, asset valuation, risk assessment and model validation. The firms will also work together on bank-owned life insurance separate accounts .......

    Job Swaps 8 October 2013

  • Collaboration produces OAS model

    Deutsche Bank has partnered with Bloomberg to launch a new option-adjusted spread (OAS) model. Together with the bank's prepayment model, the OAS model seeks to provide a standard, accurate way to value agency RMBS and CMOs.

    The Bloomberg OAS model enables users to generate future interest rate paths using methods that significantly reduce the risk of negative rates. Users are .......

    Job Swaps 8 October 2013

  • Clydesdale redress 'credit neutral'

    The UK Financial Conduct Authority's recent judgment against Clydesdale Bank is anticipated to be credit neutral for its post-crisis Lanark Master Issuer and Lannraig Master Issuer RMBS. A payment system error in place since 2005 led 22,000 borrowers to underpay on their loans, some of which are securitised in Lanark 2011-1 and 2012-1, as well as Lannraig 2012-1, 2012-2 and .......

    News Round-up 7 October 2013
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