RMBS

  • STACR stacks up

    Risk-sharing programme to aid RMBS price discovery

    Freddie Mac upsized and priced its inaugural risk-sharing transaction last week (SCI 17 July). The structure was welcomed for protecting taxpayers from certain risks by transferring them to the private market, as well as for providing the GSEs with a way to achieve risk-based pricing of the guarantee fee.

    Importantly, the deal is expected to achieve this without affecting the .......

    News Analysis 2 August 2013

  • Counterparty conundrums

    Investors, issuers adapting to swap-related dilemmas

    Given the difficulty of replacing counterparties and expense of posting collateral for cashflow securitisations, high volumes of swap-related rating agency confirmations look set to continue, potentially eroding investor protections in their wake. At the same time, investor acceptance of AA/A rated senior paper is growing, together with appetite for deals without embedded derivatives risk.

    Peter Nowell, head of ABS trading .......

    News Analysis 2 August 2013

  • Fannie risk-sharing deal on the cards

    National Mortgage Insurance Corporation has agreed to insure approximately US$5bn in residential mortgages in its first risk transfer transaction with Fannie Mae, with an expected effective date in 3Q13. The transaction is contingent on National MI receiving regulatory approval of the pool policy of insurance by the District of Columbia Department of Insurance, Securities and Banking.

    The transaction was offered .......

    News Round-up 2 August 2013

  • Price indexation lifts Aussie WALTV

    Fitch has introduced property price indexation to its Australian RMBS criteria, assessing indexed property values for over 818,000 loans in 131 rated public securitisations. This has resulted in an improved weighted average loan-to-value (WALTV) ratio of 57.4%, compared with 63.3% prior to indexation.

    The aim of indexation is to provide a more accurate picture of the value of security backing .......

    News Round-up 1 August 2013

  • Lower advances weigh on GMAC bonds

    Ocwen's acquisition of the servicing portfolio of GMAC Mortgage is said to be credit negative for related fast-pay subprime RMBS bonds due to Ocwen's policy of lower advances and its greater focus on modifications, as opposed to liquidations. Bonds will receive less up-front cash if the advancing rate on the GMACM portfolio falls from its current level of about 65% .......

    News Round-up 1 August 2013

  • ABX recovery estimates up

    Improving collateral pool performance has led to an increase in Moody's principal recovery estimates for the RMBS bonds referenced in the ABX indices. The agency notes in its latest ResiLandscape publication that the market price of the indices has risen at a much faster pace than its recovery estimates have, owing to improved investor sentiment driven by rising home prices.

    News Round-up 31 July 2013

  • Eminent domain action slammed

    SIFMA says it strongly opposes the City of Richmond, California's notification of 32 trustees and servicers of offers to purchase loans and that they may use eminent domain to seize mortgages for modification. The association notes that the action will hurt many more homeowners, both within the city and around the country, than it is alleged to help.

    "The practical .......

    News Round-up 31 July 2013

  • MTM losses weigh on Reg XXX deal

    Fitch has affirmed and subsequently withdrawn the ratings of Ballantyne Re's class A1 (double-C), B1 and B2 (both single-C) notes. The rating rationale is based on the significant mark-to-market losses Ballantyne Re has experienced in its investment portfolio of RMBS and ABS.

    Fitch notes that the Regulation XXX vehicle's liabilities exceed the current book value of its assets by "a .......

    News Round-up 30 July 2013

  • Structured products head hired

    Western Asset has recruited Anup Agarwal as head of structured products, based in Pasadena. He has 16 years of industry experience and was most recently with Stark Investments.

    At Stark, Agarwal was head of consumer finance, responsible for managing agency and non-agency MBS, ABS, CMBS and CDOs, as well as an opportunistic mortgage fund. Prior to his four years at .......

    Job Swaps 30 July 2013

  • US housing recovery impact analysed

    The US housing recovery will help to cut losses on RMBS mortgage pools in existing transactions, but will lead to the inclusion of riskier loans in new transactions, Moody's says. Home price and LTV improvements will not be uniform across markets because of regional differences in job growth, demographics, affordability and supply.

    Rising home prices will reduce defaults through lower .......

    News Round-up 29 July 2013

  • Euro RMBS hit by counterparty downgrades

    S&P has downgraded 181 tranches in 62 European RMBS transactions, following the lowering of its long-term issuer credit ratings (ICRs) on Barclays Bank, Credit Suisse and Deutsche Bank. The replacement frameworks in the affected transactions no longer comply with the agency's counterparty criteria for the relevant counterparty roles.

    Specifically, S&P has: lowered to single-A from single-A plus its ratings on .......

    News Round-up 29 July 2013

  • Euro house prices to keep falling

    S&P anticipates that house prices will keep falling in most European markets this year, as the recession takes its toll on employment and cuts consumer confidence. Some countries are suffering harsher market declines than others, while a few are already in recovery mode.

    "Spain's housing market is still experiencing the sharpest slump," says S&P economist Sophie Tahiri. "We forecast that .......

    News Round-up 29 July 2013

  • Further forbearance amounts disclosed

    Carrington Mortgage Services has disclosed that it has outstanding principal forbearance amounts not reported as losses among the various RMBS trusts it services. The firm was among the group of US RMBS servicers who indicated to Fitch that they have no outstanding principal forbearance modification amounts that have not already been reported as losses in a recent survey undertaken by .......

    News Round-up 26 July 2013

  • Further GSE selling suspected

    A hotly anticipated US$2bn US RMBS bid-list hit the market yesterday, accounting for almost all of the non-agency secondary supply for the day. In addition, around US$138m of agency paper was out for the bid.

    The large BWIC is believed to be from either Fannie Mae or Freddie Mac, with another US$1.1bn bid-list due out today also thought to be .......

    Market Reports 25 July 2013

  • Spanish interest floor ruling 'credit neutral'

    BBVA, Cajamar and NCG Banco have eliminated the interest floor clauses in more than 500,000 Spanish mortgages, after they were declared as unfair in a recent Tribunal Supremo ruling. This change - which will lead to a decrease in interest collections, but will not affect cashflows - is credit neutral for the interest-hedged deals originated by the banks, according to .......

    News Round-up 24 July 2013

  • Negative outlook for Ocwen ratings

    Fitch has assigned RSS3 and RPS3 (negative outlook) residential servicer ratings to Ocwen Loan Servicing across the subprime, prime, alt-A, HELOC and closed-end second lien categories. The agency says that the rating actions are based on Ocwen's highly integrated technology environment and robust investor and borrower websites.

    Ocwen is currently operating two separate servicing platforms: its legacy servicing operation utilising .......

    News Round-up 24 July 2013

  • No Monday blues for US RMBS

    US RMBS secondary supply started the week strongly, with BWIC volume on Monday of US$387 for agency RMBS and US$410m for non-agency. SCI's PriceABS data captured many non-agency names that were out for the bid in the week's first session, including a good number of subprime bonds which traded.

    A spike in subprime supply was a significant .......

    Market Reports 23 July 2013

  • RFC issued on Russian MBS

    Moody's has published a request for comment on the impact of legislative amendments on Russian onshore MBS. In particular, the amendments - which came into effect in January 2013 - have reduced the risk of issuer liquidation upon recording a negative asset ratio by prohibiting voluntary issuer self-liquidation.

    Prior to these amendments, Moody's assumed that an issuer with a negative .......

    News Round-up 23 July 2013

  • UBS settles FHFA claim

    UBS has reached an agreement in principle with the FHFA to settle claims relating to US RMBS offerings between 2004 and 2007 (SCI 28 July 2011). The case is one of a group of cases related to RMBS offerings filed by the FHFA against 18 financial institutions.

    The settlement, which is subject to documentation and final approvals by the parties, .......

    Job Swaps 23 July 2013

  • Non-agency roll rates hit post-crisis lows

    US mortgage performance continues to improve as the rate of new delinquencies across all sectors trend down, according to Fitch's latest mortgage market index results. In aggregate, non-agency roll rates from current to delinquent have improved to their lowest levels since early 2007.

    Fitch's delinquency (DQ) roll rate index declined to 2% for 2Q13, down from 2.4% in 1Q13 and .......

    News Round-up 23 July 2013

  • Mortgage firm recruits SF pro

    Stonegate Mortgage Corporation has further strengthened its structured finance team with the addition of Julianne Ilstrup. She becomes structured finance svp and will work with the firm's non-agency RMBS team to build Stonegate's capabilities to execute securitisations.

    Ilstrup will report to structured finance evp Eric Scholtz, who joined earlier this year (SCI 30 January). She joins from US Bank and .......

    Job Swaps 23 July 2013
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