RMBS

  • RMBS concentration concerns rising

    European RMBS issuance has been limited so far this year, with the bulk of supply coming from a handful of Dutch programmes. The lack of paper has sparked concerns over concentration risk, which may force investors to look elsewhere.

    European primary issuance has been focused on a handful of sectors, meaning that a growing number of investors are reaching their .......

    News 4 September 2013

  • UK RMBS affirmed after modelling error

    Fitch has affirmed 55 tranches of 18 UK non-conforming RMBS. The action follows the detection of an error in a model used in the agency's surveillance analysis of UK RMBS ratings.

    The error was related to the formula that calculates recovery rate assumptions in rating scenarios. The error marginally increased the assumed recoveries that the model takes into account.

    The .......

    News Round-up 4 September 2013

  • Peripheral RMBS takes centre stage

    Peripheral European RMBS has seen an up-tick in activity over the last couple of weeks and a plethora of Spanish and Italian names were out for the bid yesterday. SCI's PriceABS data recorded several successful covers from the session, including for TDAI 2 C, which was talked in the mid/high-60s and talked and covered in the low-60s.

    AYTGH .......

    Market Reports 3 September 2013

  • Another UCI tender underway

    UCI has launched a tender offer for nine bonds across six of its RMBS. The bank is offering to buy back up to €200m of paper from UCI 10, 11, 12, 14, 15 and 17.

    Three class A notes are being targeted for purchase prices of between 83 to 86, with a class A2 targeted at 76. Three class B .......

    News Round-up 3 September 2013

  • STACR to receive NAIC designation?

    NAIC appears to have abandoned its proposal to alter the process used to derive ratings for RMBS and CMBS positions held by insurance companies, which would have reduced NAIC breakpoints for most bonds taking losses or interest shortfalls (SCI 17 April). The organisation is now said to be examining the accounting and reporting framework for Freddie Mac's recent STACR deal .......

    News Round-up 3 September 2013

  • OneWest deals hit by forbearance losses

    A number of OneWest-serviced RMBS that were transferred to Ocwen recognised forbearance losses last month (SCI 5 July). For instance, ALBT 2007-OA1 recognised US$5.4m in past forbearance losses - amounting to 6% of unpaid principal balance - with the A2 bond being written down by US$5.8m.

    A few deals from the MARM shelves took losses of 0.5%-1% of UPB, according .......

    News Round-up 3 September 2013

  • End of Greek moratorium discussed

    Lifting the mandatory freeze on repossessions and auctions of debtors' main residences would be positive for Greek RMBS and cover pools, Fitch says. The move would increase cashflows from recoveries and could shorten foreclosure timing assumptions. However, the increase in supply may prevent recovery rates and recovery times from returning to levels associated with a less distressed housing market.

    A .......

    News Round-up 2 September 2013

  • Eminent domain injunction supported

    SFIG has filed an amicus curiae brief in support of Wells Fargo's motion for a preliminary injunction against the City of Richmond, California and Mortgage Resolution Partners (SCI 13 August). The case - which attempts to halt the city's proposed use of eminent domain to seize mortgage loans from private label securitisation trusts - is currently proceeding in the US .......

    News Round-up 2 September 2013

  • NCUA sets sights on Morgan Stanley

    The NCUA has filed suit in a federal court in Kansas against Morgan Stanley and other firms, alleging legal violations in the sale of more than US$566m of RMBS to the US Central and WesCorp corporate credit unions.

    The suit alleges that misrepresentations were made about the underwriting and in the subsequent sale of the RMBS. The offering documents are .......

    Job Swaps 2 September 2013

  • Restructuring to provide UK NC blueprint?

    As one of several of Lehman Brothers' UK non-conforming RMBS without a currency swap in place after Lehman's bankruptcy, the recent restructuring of MFD 2008-1 may give clues as to how similar deals will be restructured, believe Nomura ABS strategists. The restructuring is positive, they argue, crystallising losses immediately, re-balancing the deal and removing future FX risk.

    The restructuring took .......

    News Round-up 30 August 2013

  • JHF RMBS credit risk up despite lower LTVs

    The positive impact on RMBS of the Japan Housing Finance (JHF) lowering its maximum LTV from 100% to 90% for its Flat35 loans is offset by the increase of down payment loans provided by private institutions, says Moody's. The Flat35 housing-loan programme is funded through the JHF's RMBS programme.

    Consumers who cannot afford the 10% down payment for a 90% .......

    News Round-up 30 August 2013

  • QRM proposal 'RMBS positive'

    The latest proposal on the treatment of qualified residential mortgages (QRM) by six US regulatory agencies (SCI 29 August) will reduce uncertainty for residential mortgage originators, RMBS issuers and investors, says Fitch. It should also support stronger participation in jumbo loan activity by US banks.

    The proposal would align QRM rules with existing mortgage risk retention standards mandated by the .......

    News Round-up 30 August 2013

  • Further g-fee rises under consideration

    Recent FHFA statements suggest the GSEs could further increase guarantee fees. How far they eventually rise will depend on what kind of housing finance system emerges as private capital is encouraged back into the US mortgage market.

    The FHFA believes the GSEs are not charging sufficient g-fees for certain risky loans. As the GSEs, FHA and VA have provided nearly .......

    News 29 August 2013

  • Liquidations lead to subprime surge

    Subprime paper stole the show as US RMBS non-agency BWIC supply approached US$1bn yesterday. The glut of subprime names was driven by two CDO liquidations.

    SCI's PriceABS data shows one such subprime tranche to trade during the session was CWL 2005-1 MV5. The tranche was talked in the low-80s and covered at high-70. It was covered .......

    Market Reports 28 August 2013

  • Sales put GSEs on course

    Since announcing that the GSEs would reduce their less liquid holdings by 5% this year, at least six large non-agency BWICs have been brought to market (SCI passim). This has put them on course to achieve their reduction targets, although they may have begun with the better-performing tranches.

    The lists have totalled US$6.1bn so far, with Fannie Mae accounting for .......

    News 28 August 2013

  • Improvement seen in Mexican RMBS

    Mexico's RMBS market has slowly caught up with the broader economy in the country, which began to recover in 2010. However, S&P notes that the progress in RMBS could be threatened by that wider recovery now slowing down.

    Delinquencies were generally stable for the first half of the year and upgrades outpaced downgrades for the first time since S&P began .......

    News Round-up 28 August 2013

  • Bank breached RMBS guidelines

    JPMorgan has been told to pay Leonard Blavatnik US$42.5m plus interest in a breach of contract lawsuit centred on RMBS investments. The decision was made by a New York state court after Blavatnik sued the bank for investing twice as much of his money in RMBS as his investment guidelines allowed.

    The RMBS cap was set at 20% but reached .......

    Job Swaps 28 August 2013

  • Portuguese RMBS picture improves

    The rate of deterioration in Portuguese RMBS collateral eased in 2Q13, according to S&P's latest index report. Total delinquencies decreased slightly quarter-on-quarter for the first time in two years.

    The pace of delinquencies has been softened by low interest rates and increased forbearance measures. However, continuing struggles for the broader economy will continue to constrain performance.

    The real estate market .......

    News Round-up 27 August 2013

  • Slower RMBS liquidation rates observed

    Morningstar projects that it will take 41 months to clear RMBS distressed inventory in the US, given current market dynamics. This is up by one month from the agency's estimate in 1Q13 and up by three months from its estimate one year ago.

    Overall distressed inventory has decreased by 21% from a year ago, while the number of liquidations declined .......

    News Round-up 23 August 2013

  • 'Passporting' framework recommended

    SFIG has submitted a comment letter to the EBA regarding its consultation paper on revised proposed EU securitisation regulations. To mitigate the costly and potentially preclusive impact of differing regulatory approaches on cross-border securitisation transactions, the association recommends that the EBA adopt a framework for 'passporting' that would permit non-EU sponsors to comply with a non-EU jurisdiction's risk retention requirements.

    News Round-up 22 August 2013

  • Motion to dismiss denied

    A California Superior Court judge has denied S&P's motion to dismiss a lawsuit filed by California Attorney General Kamala Harris against the rating agency in February (SCI 6 February). The California case is notable for its asserted violations of unfair competition laws and the California False Claims Act, which allows the state to seek triple damages but has not previously .......

    Job Swaps 22 August 2013
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