RMBS

  • Spanish mortgage arrears hit highs

    Fitch reports that the Spanish mortgage market is deteriorating across many performance measures. According to its latest index reading, 1Q13 represented a record high for the proportion of securitised mortgages that are in serious arrears or default. At the same time, lenders that have taken properties into possession have had to accept lower prices as a proportion of the original .......

    News Round-up 16 April 2013

  • Short sales dampening loss severities

    US RMBS loss severities are expected to continue their slow decline this year due in part to the increased use of short sales, according to Fitch. The agency's loss severity index improved to 64.2% for 1Q13, down from 67.5% in 1Q12.

    Drivers of the improved loss severity rate include increased short sale percentages, fewer servicer advances on missed payments and .......

    News Round-up 16 April 2013

  • TMPG updates margining recommendations

    The US Treasury Market Practices Group (TMPG) has updated its recommendation regarding the margining of forward-settling agency MBS transactions. Specifically, the implementation timeline has been modified, while two aspects of the margining recommendation has been clarified in response to feedback received from market participants. The TMPG believes that these updates will provide the time and guidance needed by market participants .......

    News Round-up 16 April 2013

  • HARP gets extension

    The Home Affordable Refinance Program (HARP) has been extended by two years to 31 December 2015. The programme was due to expire on 31 December 2013.

    "More than two million homeowners have refinanced through HARP, proving it a useful tool for reducing risk," comments FHFA acting director Edward DeMarco. "We are extending the programme so more underwater borrowers can benefit .......

    News Round-up 15 April 2013

  • Mixed servicer performance in Q4

    Total US residential mortgage servicer cure and cash-flowing rate performance was mixed in the fourth quarter, according to Moody's. The agency's latest Servicer Dashboard publication also shows that timelines for completed foreclosures continued to lengthen as servicers work their way through the aged pipeline.

    Moody's notes that court systems in judicial states - such as New York, New Jersey and .......

    News Round-up 12 April 2013

  • Further French house price declines forecast

    Overvaluations, a lack of liquidity and political efforts to boost housing availability are likely to cause further drops in French house prices in the short to medium term, says Fitch. French notaries data are forecasting a 4.7% year-on-year decline (May 2012-2013) for France and a 4.5% decline for Paris, based on pre-contracts signed as of March.

    This is in line .......

    News Round-up 11 April 2013

  • Cash RMBS index launched

    Markit has unveiled the Markit iBoxx US Non-Agency RMBS indices, a family of cash bond indices based on a portfolio of US non-agency RMBS. The new family of indices aims to provide market participants with a historical dataset and ongoing points of reference to assess the returns of the US non-agency RMBS market.

    The Markit iBoxx US Non-Agency RMBS index .......

    News Round-up 11 April 2013

  • Management outsourcing proposal put forward

    Annaly Capital Management is seeking shareholder approval to enter into a management agreement with Annaly Management Company. Under the agreement, Annaly Management Company would assume all management responsibilities for Annaly Capital.

    The proposal would see Annaly Capital pay Annaly Management Company an annual fee of 1.05% of Annaly Capital's stockholder's equity, while the manager would be responsible for paying all .......

    Job Swaps 11 April 2013

  • Gleacher shuts down RMBS group

    After spending the second half of 2012 repeatedly strengthening its MBS and rates division (SCI passim), Gleacher & Company has closed down both that business and its credit products business. Exiting those businesses and engaging in a wider restructuring are expected to impact around 160 employees.

    Gleacher's other businesses, such as investment banking, are unaffected. The company has also announced .......

    Job Swaps 11 April 2013

  • AOFM ends RMBS investment

    The Australian Office of Financial Management (AOFM) has announced that it will not make any new investments in RMBS, effective immediately. However, it may continue to hold its remaining RMBS holdings until maturity.

    Specifically, the AOFM says it will not entertain sales that undermine the improvements seen in the market to date, but may sell to assist the price discovery .......

    News Round-up 10 April 2013

  • Palmer Square boosts credit capabilities

    Jeffrey Fox has joined Palmer Square Capital Management from Sandler O'Neill, where he was md responsible for structuring and selling CLOs. He becomes executive director and takes on key responsibilities for Palmer Square's structured credit and CLO platform.

    Prior to Sandler O'Neill, Fox was at Société Générale, where he was part of the US CDO, CLO and RMBS credit advisory .......

    Job Swaps 10 April 2013

  • BoJ boost for CLOs, MBS

    The stronger-than-expected quantitative easing announced last week by the Bank of Japan is likely to boost the US securitisation market. Of the US$200bn in incremental demand that the BoJ has signalled, over half is forecast to spill into US fixed income over the course of the year, with CLOs and MBS in particular anticipated to benefit.

    Several Japanese banks have .......

    News Round-up 9 April 2013

  • 'Negligible' set-off risk in Aussie SF

    Moody's reports that the level of set-off risk in Australian RMBS, ABS and covered bond programmes is negligible based on the inherent features of these transactions, as well as their structural mitigants.

    "For authorised deposit-taking institutions (ADI), set-off risks are mitigated through origination by a special purpose vehicle (SPV) or - in the case of equitable assignment programmes - through .......

    News Round-up 9 April 2013

  • Sequester focus for ERFs

    Fitch has published the 1Q13 US economic risk factors (ERFs) applied in its residential mortgage loan loss model. This quarter, the agency focuses on the relationship between ERFs and the sequester.

    Of the major metropolitan areas, Washington D.C. and its surrounding area have the greatest dependency on federal spending, which is partly why home prices have performed better than the .......

    News Round-up 9 April 2013

  • Mexican RMBS performance data enhanced

    Moody's has rolled out two new products covering performance of Mexican RMBS - a Mexican RMBS Index and performance overview (PO) reports.

    "The index offers a general overview of the performance of the Mexican RMBS market," comments Moody's svp Maria Muller. "We group deals according to common characteristics, such as vintage or originator, and include performance information illustrated by charts .......

    News Round-up 9 April 2013

  • Restructuring partners added in London

    Schulte Roth & Zabel has recruited Peter Declercq and Sonya Van de Graaff to expand its London office. They each come from Brown Rudnick and join Schulte's business reorganisation practice as partners, where they will report to Adam Harris.

    Declercq's practice focuses on cross-border insolvencies, restructurings and distressed mergers and acquisitions. He currently represents the ad hoc bondholder group for .......

    Job Swaps 8 April 2013

  • RMBS volume creeps up

    SCI's PriceABS data shows an increase in US RMBS secondary activity for yesterday's session. Subprime supply was particularly prevalent, with a slew of senior and mezzanine tranches out for the bid.

    "Overall BWIC volume has slightly picked up from the prior session, led by an increase in subprime bonds. Trading activity in fixed and ARMs is focused in .......

    Market Reports 5 April 2013

  • MBIA bolstered by court rulings

    MBIA Inc on 2 April won an appeals court ruling, whereby Bank of America could be required to repurchase securitised loans even if they are not in default. The New York state appeals panel found that MBIA is entitled to have Bank of America buy back a performing loan that it can prove "materially and adversely" affected its interest, thus .......

    Job Swaps 5 April 2013

  • Servicer advances begin rebound

    Servicer advance rates have reversed the downward trend that began in early 2009. As well as a potential increase in voluntary prepayment rates and lower realised loss severities, a positive effect on servicer advance rates on delinquent loans can therefore be expected.

    The impact of declining servicer advances was felt most acutely in subprime deals and it is here that .......

    News 5 April 2013

  • Buffer introduced for Swiss HPD assumptions

    Uncertainty over Swiss property prices has increased over the last year; however, Fitch maintains its view that the market as a whole is still not experiencing a bubble. To reflect the increased uncertainty, the agency has introduced a buffer in its house price decline (HPD) assumptions.

    Swiss house prices have risen faster than general income levels since 2000. The decoupling .......

    News Round-up 5 April 2013

  • Data integrity key to non-core divestments

    A common trend is emerging in loan book audits executed on behalf of asset purchasers in Ireland and Spain, according to Rockstead - the significant level of data integrity breaches. The firm says this problem could be easily overcome by the lender embedding data integrity within their servicing operations long before divestment becomes a reality.

    Rockstead notes that the first .......

    News Round-up 4 April 2013
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