RMBS

  • US supply sees sharp up-tick

    US secondary market activity has picked up significantly across the board, with SCI's PriceABS archive listing over 700 line items for yesterday's session. Bid-lists in each of the ABS, CMBS and RMBS sectors boosted supply.

    While a wide variety of collateral types were out for the bid in the ABS sector, a sizeable list of student loan floaters .......

    Market Reports 25 September 2013

  • NCUA files RMBS, Libor suits

    The NCUA has filed lawsuits against Morgan Stanley and eight other institutions over the sale of nearly US$2.4bn in RMBS to Southwest and Members United corporate credit unions. As with similar suits filed by the agency (SCI passim), it alleges that the securities were faulty and led to the two credit unions collapsing.

    As well as Morgan Stanley, the NCUA .......

    Job Swaps 25 September 2013

  • Independent credit advisory formed

    Rod Moulton has launched Euro Credit Risk (ECR) with headquarters in London and offices in Milan and Madrid. The firm will offer independent expertise to investors, hedge funds, investment banks, loan providers and other parties holding or acquiring legacy loan portfolios of secured, unsecured or commercial debt.

    Moulton serves as ceo, while George Patellis will serve as chairman. Moulton was .......

    Job Swaps 25 September 2013

  • RMBS prices to follow ratings upwards

    US RMBS rating upgrades picked up steam in the second half of 2012, boosting the prices of the affected tranches in their wake. As many as 2,000 more bonds could be in line for an upgrade, with cleaner jumbo and Alt-A bonds most likely to see uplifts to investment grade.

    Upgrade activity almost stopped between 2008 and 2011, but 3,800 .......

    News 24 September 2013

  • NAIC scenario update discussed

    The NAIC is proposing to update its macroeconomic assumptions that it will use when valuing non-agency RMBS and CMBS at year-end. The changes are expected to be positive for both asset classes.

    For non-agency RMBS, the most significant change is that the NAIC's peak-to-trough home price assumptions are significantly more lenient than they were last year, Barclays Capital analysts note. .......

    News Round-up 24 September 2013

  • Richmond injunction dismissed

    US District Judge Charles Breyer last week dismissed the preliminary injunction lawsuit that Wells Fargo and Deutsche Bank filed against Richmond, California, having previously ruled that it was "not ripe" (SCI 13 September). The judge reportedly decided to dismiss the suit altogether rather than pause court proceedings because the trustees' claims depend on "future events that may never occur".

    The .......

    News Round-up 24 September 2013

  • Pre-crisis RMBS features re-emerging

    Some issuers of US private label RMBS have re-introduced structural features that were common in pre-crisis deals and which can increase the risks to certain senior bonds in the event of very high mortgage losses, Moody's reports. The agency suggests that transactions incorporating super-senior support bonds, exchangeable securities, principal-only (PO) bonds and pool interest-only (IO) bonds deviate from standard cashflow .......

    News Round-up 24 September 2013

  • Portfolio loss metrics introduced

    Fitch has introduced new measures in connection with its expectations for portfolio losses for EMEA structured finance and covered bond programmes. Dubbed portfolio loss metrics, the measures are designed to improve the transparency of the agency's opinions on expected asset pool performance and provide a consistent framework for comparison of asset portfolios and tranches.

    The aim is to provide complementary .......

    News Round-up 24 September 2013

  • Risk management specialist joins REIT

    Two Harbors Investment Corp has appointed Robert Rush as risk management md. He will report to Paul Richardson, who serves as partner and chief risk officer for Pine River Capital Management.

    Rush was previously at UBS in New York, where he worked in risk strategy, RMBS, CMBS and ABS roles as well as serving as head of CDO and esoteric asset .......

    Job Swaps 24 September 2013

  • Aussie RMBS downgraded on tail risk

    Moody's has downgraded 27 tranches and 11 counterparty instrument ratings (CIRs) across 19 Australian RMBS. These ratings were placed on review after the agency published its approach to addressing tail risk in Australian RMBS that pay principal pro-rata (SCI 20 June).

    The affected tranches are senior and mezzanine bonds from transactions that pay principal pro-rata with ineffective or no triggers .......

    News Round-up 20 September 2013

  • Increased mortgage, RMBS volume expected

    The unexpected decision by the US Fed to maintain its bond purchases will likely spur increased mortgage volume over the near term, Fitch says. In recent months mortgage rates have increased sharply in response to concerns over a Fed pull-back, with the average 30-year mortgage rate standing at 4.46%, according to the Freddie Mac Primary Mortgage Survey published on 28 .......

    News Round-up 20 September 2013

  • Suit dismissed as time-barred

    The US Court of Appeals for the Third Circuit has affirmed a district court decision dismissing as time-barred a securities class action against UBS in connection with a pension fund's losses from RMBS. Plaintiffs alleged that UBS - which securitised mortgages obtained from loan originators Countrywide and IndyMac Bank - misrepresented in the RMBS offering documents the quality of the .......

    Job Swaps 20 September 2013

  • Waiting for tapering

    The Fed's meeting this week was widely expected to herald the dawn of tapering, but rising interest rates have forced a delay. The announcement that QE will continue for the foreseeable future provided a boost for US RMBS.

    "Household spending and business fixed investment advanced, and the housing sector has been strengthening, but mortgage rates have risen further," the Fed .......

    News Round-up 19 September 2013

  • Co-op redemption concerns emerge

    The fortunes of the Co-operative Bank's outstanding Leek and Silk Road deals are more closely tied to the originator's financial health than most UK RMBS, due to noteholder put options inserted after the lender failed to call the transactions (SCI 14 April 2011). Investors are concerned that the bank may not be able to fund the note redemptions, given the .......

    News 18 September 2013

  • Model integration issues persist

    Principia Partners has released the findings of a survey focusing on ABS, MBS and CDO investors' use of cashflow and waterfall models. The results show that while the growing commoditisation of issuer reporting, collateral performance and loan level data has benefitted the modelling of cashflows, it is not enough to lighten the burden investors carry when building and managing cashflow .......

    News Round-up 18 September 2013

  • Dutch NHI plan weighed

    The Dutch government is set to purchase - via the National Mortgage Institute (NHI) - up to €50bn of RMBS backed by NHG mortgages from banks over the next five years (SCI 4 April). The NHI will issue bonds guaranteed by the government to finance these purchases.

    Fitch suggests that the initiative is unlikely to materially reduce overall funding costs .......

    News Round-up 18 September 2013

  • NCUA's misrepresentation suit to proceed

    The Kansas District Court last week allowed the NCUA to proceed with its claims against a number of financial institutions in connection with the sale of RMBS to credit unions. The NCUA alleges that the originators of the loans underlying the RMBS systematically abandoned the stated underwriting guidelines, resulting in securities that were riskier than defendants disclosed.

    A Lowenstein Sandler .......

    Job Swaps 18 September 2013

  • Swap risk remedies discussed

    Providing collateral with significant cushion remains an important remedy to counterparty ineligibility in a structured finance cross-currency swap, according to Fitch. The agency adds that only allowing replacement as a remedy with little or no collateral posting beforehand exposes noteholders to extra risks.

    "Without collateral providing ample support, both structured finance and covered bond issuers can accumulate significant exposure to .......

    News Round-up 18 September 2013

  • Mexican reform 'credit negative' for RMBS

    The Mexican Congress is expected to pass a new fiscal reform bill that could take effect next year. The bill aims to increase tax revenues for the federal government, but is credit negative for outstanding Mexican RMBS because it would lead to higher delinquencies and higher losses, according to Moody's latest Credit Outlook.

    The bill calls for: a new 16% .......

    News Round-up 16 September 2013

  • Delivering unification?

    Common TBA proposal could ease GSE transition

    The concept of a unified conventional TBA deliverable for the GSEs has gained traction recently. Such a move could mark a first step towards unifying the GSEs themselves, which is one of many GSE reform options under discussion.

    Freddie Mac's securities consistently trade at a lower price than those of Fannie Mae and, despite compensating lenders with guarantee fee rebates, .......

    News Analysis 13 September 2013

  • NCR proposals 'credit positive'

    The French government is proposing to create a National Credit Registry (NCR) that captures individual consumer loan indebtedness. Moody's notes in its latest Credit Insight publication that the creation of such a registry is credit positive for most French auto ABS, consumer ABS and RMBS, as it will improve the ability of lenders to assess borrower affordability.

    The agency suggests .......

    News Round-up 13 September 2013
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