RMBS

  • UK regional divergence continues

    UK mortgage arrears and negative equity continue to diverge regionally, according to S&P. The agency estimates that 3.9% of mortgage balances were in arrears in 1Q13 - only slightly higher than the 3.8% figure in 4Q11, when it conducted its previous study. But the proportion of arrears in northern regions remains about one percentage point higher than in the south.

    News Round-up 20 June 2013

  • Tail risk action underway

    Moody's has placed the ratings of 1079 tranches from 299 US RMBS shifting interest/pro-rata transactions on review for downgrade. The collateral backing the tranches are jumbo, alt-A, option ARM, subprime, manufactured housing and scratch & dent residential mortgages.

    The ratings reflect the exposure of these bonds to tail risk due to the pro-rata pay nature of the transactions. Shifting interest .......

    News Round-up 20 June 2013

  • Aussie RMBS on review

    Moody's has published a secondary methodology describing its monitoring approach to assess tail risk in Australian RMBS. The methodology closes out the request for comment the agency released on the matter (SCI 29 April).

    Specifically, the approach evaluates tail risk in Australian RMBS that pay principal to the tranches on a pro-rata basis and assesses the sufficiency of the credit .......

    News Round-up 20 June 2013

  • MSR sale velocity examined

    Ocwen intends to purchase US$78bn in unpaid principal balance of OneWest Bank mortgage servicing rights and related servicing advances for US$2.53bn. The transaction is expected to close during the second half of this year.

    If completed, the purchase will increase Ocwen's servicing portfolio by 17% to US$547bn. Its portfolio has grown by 377% to US$469bn since 1Q12.

    Deutsche Bank securitised .......

    News 20 June 2013

  • FHFA complaint dismissed

    The New York Supreme Court has dismissed a FHFA complaint against UBS Real Estate Securities in connection with a US$1.1bn RMBS (MARM 2006-OA1), ruling that only the securities' trustee had the power to commence the lawsuit. The FHFA filed its action in April 2012, alleging that UBS refused to buy back defective loans in the pool of 3,187 mortgages that .......

    Job Swaps 20 June 2013

  • Industry preps for MBS Novation

    Financial firms are increasingly sourcing externally for post-trade processing functions for MBS to improve risk management and increase operational efficiencies, according to a new Broadridge Financial Solutions report. External sourcing is also helping firms better allocate technology resources and meet budget constraints in preparation for the implementation of MBS Novation.

    MBS Novation is the culmination of the Fixed Income Clearing .......

    News Round-up 19 June 2013

  • Moving on?

    The re-emergence of the European CLO market has many positiv...

    The evolving European securitisation market has seen several changes since the crisis, with many positive developments, particularly recently. However, certain issues still need to be resolved and - with the market improving - concern is growing that they may be forgotten about.

    Corporate trust service providers have experienced the market's lows as well as its highs and, while many recent .......

    News Analysis 18 June 2013

  • Spanish ruling may impact excess spread

    A recent Spanish Supreme Court ruling could cause lenders to stop applying floor clauses that set minimum interest rates in mortgage contracts, says Fitch. This would reduce excess spread in Spanish RMBS transactions.

    Interest rate floors have held up excess spread recently while interest rates have remained exceptionally low. If lenders cannot apply these clauses anymore then deals without a .......

    News Round-up 17 June 2013

  • Russian RMBS ratings reviewed

    Fitch has taken rating actions on three Russian RMBS deals: Red & Black Prime Russia MBS No.1, Russian Mortgage Backed Securities 2006-1 and Moscow Stars. Most tranches have been affirmed, but the class A notes of Moscow stars have been downgraded from triple-B minus to double-B.

    No defaults have been reported for Red & Black since January 2012. Cumulative defaults .......

    News Round-up 17 June 2013

  • Non-agency supply continues to rise

    US RMBS non-agency secondary supply was up to US$909m yesterday, with prime and Alt-A fixed rate paper leading the charge. Hybrid supply was moderate with subprime supply also up.

    SCI's PriceABS data shows supply continuing to build after a slow start to the week. Most of yesterday's supply was concentrated around 2004 to 2007-vintages.

    The WFMBS .......

    Market Reports 14 June 2013

  • RMBS settlement for former board members

    The US SEC has settled an enforcement proceeding against eight former directors of five Regions Morgan Keegan funds that were heavily invested in subprime RMBS. The proceeding began last year and alleged that the directors failed to satisfy their pricing responsibilities (SCI 11 December 2012).

    The directors are Kenneth Alderman, Jack Blair, Albert Johnson, James Stillman, Allen Morgan, Randall Pittman, .......

    Job Swaps 14 June 2013

  • Agency updates Dutch assumptions

    Fitch has updated its assumptions for analysing securities backed by Dutch residential mortgage loans. The criteria assumptions will be used for new and existing RMBS transactions as well as covered bond programmes, with market value decline assumptions also applying to SME CLOs secured by real estate.

    Ratings on existing RMBS are not expected to be affected by the update. The .......

    News Round-up 14 June 2013

  • Non-conforming default drivers examined

    High LTV ratios and County Court Judgments (CCJs) are the primary default drivers for UK non-conforming mortgages, Moody's says. Remortgaging is a bigger driver of default in the non-conforming sector than in the prime sector, while the opposite holds true for self-employment.

    Within the next 12 months, Moody's expects repossessions across UK non-conforming RMBS to stabilise at around 0.70%-0.90%, below .......

    News Round-up 13 June 2013

  • Euro default rate remains low

    Only 1.43% by original balance of European structured finance notes had defaulted by end-1Q13, according to S&P's latest quarterly transition study. The 12-month rolling downgrade rate for European structured finance fell to 21% at the end of the first quarter, while the 12-month rolling default rate remained relatively stable at 0.43%, given several new interest shortfalls and principal losses in .......

    News Round-up 13 June 2013

  • Emerging market

    Russian RMBS, ABS issuance gathering pace

    Russian RMBS issuance volume is expected to reach RUB50bn-RUB60bn this year, versus a total of RUB37bn in 2012, boosted by government purchase programmes. Demand is also emerging for consumer ABS, facilitated by the introduction of a new securitisation law and respective central bank standards that are expected to be finalised this autumn.

    The Russian RMBS market has been bolstered in .......

    News Analysis 13 June 2013

  • Spanish legislative changes examined

    Recent changes to Spanish mortgage legislation could increase loan repossession periods and potentially push up realised loan losses, according to S&P. At the same time, new guidelines that Spanish banks must employ when classifying loan restructurings in their financial statements may increase the transparency of lender asset quality.

    Two laws - Ley 1/2013 and Decreto Ley 6/2013 - became effective .......

    News Round-up 12 June 2013

  • Activity surge for Euro ABS

    Activity has picked up in the European ABS markets over the last couple of weeks. Primary issuance may slow during next week's IMN conference in Brussels, but secondary trading levels are expected to hold steady.

    "We have been seeing big bid-lists across credit and securitised sectors, as well as a couple of new deals hitting the market, which has been .......

    Market Reports 12 June 2013

  • New names added to SCI line-up

    Only a few tickets remain for SCI's 6th Annual Securitisation Pricing, Investment & Risk Seminar in New York. Over 200 attendees have registered for the event, which is being held tomorrow (13 June) at Bank of America's offices at 4 World Financial Center.

    New panellists have been added to the line-up over the last few days, including representatives from Hildene .......

    News Round-up 12 June 2013

  • Legacy RMBS tipped for limited upgrades

    The improving US housing market and stable macro environment are supporting legacy US RMBS performance, though the sector still has persistent challenges to overcome, according to Fitch. Signs of the turnaround in RMBS include improving new delinquency roll-rates and declining loss severities on liquidated loans.

    These trends have resulted in improved rating stability and positive rating momentum in 2013. Fitch .......

    News Round-up 12 June 2013

  • Secondary split seen in RMBS

    The US RMBS secondary market has had a mixed start to the week, with agency supply up but non-agency BWIC volume markedly down. SCI's PriceABS data shows several covers for agency bonds during yesterday's session, but fewer for non-agencies.

    Agency RMBS supply reached almost US$1bn yesterday, boosted by several large derivatives lists. Interactive Data notes that BWIC execution .......

    Market Reports 11 June 2013

  • SAREB sales underway

    The start of property sales by Spain's bad bank - SAREB - underscores Fitch's negative view on the country's residential property market, the agency says. As the pace of disposals by SAREB speeds up, it will add to supply, which may further depress prices.

    SAREB announced last week that it has closed sales of 550 homes in three months from .......

    News Round-up 11 June 2013
×