RMBS

  • RMBS interest shortfalls increasing

    Morningstar Credit Ratings has reviewed monthly occurrences of interest shortfalls in US RMBS across the second half of 2012. The data shows a steadily increasing trend in shortfalls across different collateral types, tranche types and vintages.

    As of the December 2012 remittance cycle, approximately 21.8% of the deals in the Morningstar sample experienced a shortfall in at least one tranche. .......

    News Round-up 12 February 2013

  • Flagstar first for warranty cases

    The US District Court for the Southern District of New York last week ruled that Flagstar Bancorp was liable for representation and warranty breaches on two HELOC RMBS that had been guaranteed by FSA. The decision is the first final court judgement in a rep and warranty case and is expected to influence other court decisions, including MBIA's case against .......

    Job Swaps 12 February 2013

  • ResCap liability questioned

    The official committee of unsecured creditors in the Residential Capital Chapter 11 proceedings last week filed an objection to the proposed US$8.7bn settlement with 392 RMBS trusts. The committee believes that ResCap's potential liability is less than half of the proposed amount and is alleging that Ally Financial drove up the price of the settlement as a way to absolve .......

    Job Swaps 12 February 2013

  • Arch makes US mortgage insurance foray

    Arch US MI, the US-based subsidiaries of Arch Capital Group, have entered into a definitive agreement to acquire CMG Mortgage Insurance Company from PMI Mortgage Insurance and CMFG Life Insurance Company (CUNA Mututal) for US$300m. Arch US MI also agreed to acquire PMI's mortgage insurance operating platform and related assets.

    PMI has been in rehabilitation under the receivership of the .......

    Job Swaps 12 February 2013

  • Mortgage insurance recommendations issued

    The Joint Forum has released a consultative report entitled 'Mortgage insurance: market structure, underwriting cycle and policy implications'. The report examines the interaction of mortgage insurers with mortgage originators and underwriters, and includes a set of recommendations directed at policymakers and supervisors that aim to reduce the likelihood of mortgage insurance stress and failure in tail events.

    The report sets .......

    News Round-up 11 February 2013

  • Euro ABS consolidation on the cards?

    The European ABS market appears to be entering a period of consolidation, according to ABS analysts at Deutsche Bank, as evidenced by the thin new issue pipeline and recent widening in senior UK prime RMBS spreads. HMI 2010-1X A4 and ARKLE 2010-2X 2A, for example, have widened by up to 5bp this month.

    The Deutsche Bank analysts note that the .......

    News Round-up 8 February 2013

  • RMBS fund debuts

    Morgan Stanley Investment Management (MSIM) has launched a global mortgage securities fund. The fund seeks to provide an attractive rate of return through investment in a portfolio of mortgages and securitised debt instruments issued by government agencies and private institutions.

    A thematic bottom-up investment approach will be applied, combining global macro fundamental analysis, thorough research and analysis of industry trends .......

    Job Swaps 8 February 2013

  • McGraw-Hill seeks First Amendment relief

    McGraw-Hill and Standard & Poor's Financial Services have filed for declaratory relief in federal court in South Carolina, petitioning the court to declare that the state is precluded on First Amendment grounds from suing S&P for allegedly inflating its ratings of MBS leading up to the financial crisis. The complaint was filed a day after the US Department of Justice .......

    Job Swaps 8 February 2013

  • Undersupply and oversubscription

    Quarterly review and outlook for European ABS

    We asked Lloyds Bank, the winners of SCI's 2011 arranger award for European consumer/credit card ABS, its views on activity in Q4 and expectations for Q1 in the sector. Below are SCI's questions and the responses from Bob Paterson, head of ABS syndicate, Lloyds Bank Wholesale Banking & Markets.

    Over the past quarter, what have been the key trends in .......

    News Analysis 8 February 2013

  • Spanish debt forgiveness 'should be manageable'

    Spanish Minister of Economy and Competitiveness Luis de Guindos last week proposed changes to the country's mortgage market that, if implemented, have implications for Spanish RMBS. The proposals chiefly pertain to providing aid to borrowers that are struggling to meet mortgage payments and follow on from the mortgage foreclosure moratorium announced in November last year.

    Deutsche Bank ABS analysts highlight .......

    News Round-up 7 February 2013

  • Countrywide settlement 'too low'

    New documents have been filed in New York State Supreme Court claiming that the proposed US$8.5bn figure for the 2011 Bank of America settlement is too low. The submission was made by Triaxx, as well as the Federal Home Loan Banks of Boston, Chicago and Indianapolis.

    The filing reportedly argues that Bank of America continued to put its own interests .......

    Job Swaps 7 February 2013

  • Resi idiosyncratic risks eyed

    Fitch says that prime residential mortgage portfolios with low expected loss levels need an additional level of scrutiny to ensure that idiosyncratic risks are adequately mitigated. This applies to portfolios securing either RMBS or mortgage covered bonds (MCB).

    The agency will conduct an additional level of review for portfolios where expected losses, when applying a triple-A level stress, are below .......

    News Round-up 7 February 2013

  • RMBS supply up strongly, levels steady

    Activity in the US RMBS market picked up yesterday after a slow start to the week. Non-agency BWIC volume jumped from less than US$600m on Monday to more than US$1.4bn on Tuesday, with a good mix of vintages and strong supply seen across all sub-sectors.

    "The sector continues to have a stable tone, with securities trading in line with recent .......

    Market Reports 6 February 2013

  • SNS call 'interruptions' predicted

    Embedded call features in SNS Bank RMBS are ultimately expected to be honoured, following the nationalisation of SNS Reaal last week. However, two transactions face elevated risks of at least initial redemption interruption.

    Nationalisation of the SNS group will cost the Dutch state some €3.7bn, with €2.2bn of new capital injections, a write-down of €0.8bn of previous support and €0.7bn .......

    News 6 February 2013

  • LMI-linked tranches hit

    Moody's has downgraded 85 tranches from 76 Australian RMBS and confirmed 10 tranches from 10 other transactions. The 85 downgraded tranches comprise one senior, 13 mezzanine and 71 junior tranches.

    The action on the senior and mezzanine tranches follows the recent rating action taken on Australian mortgage insurers (SCI 4 February). Specifically, the senior and mezzanine tranches have been downgraded .......

    News Round-up 6 February 2013

  • RBA cuts supporting Aussie mortgages

    In its latest update of Australian mortgage performance, Fitch notes that the Reserve Bank of Australia's decision to reduce the cash rate by 50bp in May 2012 and 25bp in June 2012 has improved mortgage performance across all Australian states and regions. Delinquencies decreased to 1.2% nationwide at end-September 2012, down from 1.6% at end-March 2012 and significantly below the .......

    News Round-up 6 February 2013

  • Delinquencies higher for Aussie investment mortgages

    Fitch reports that severe delinquencies are higher for investment mortgages than owner-occupier mortgages in Australia. The 90+ day delinquency rates of Australian investment loans have on average been 1.16x higher than owner-occupied mortgages in the decade to September 2012; the ratio was higher at 1.51x, as of September 2012.

    Fitch's analysis shows that regions characterised by high 90+ day delinquencies .......

    News Round-up 6 February 2013

  • DOJ seeks US$5bn in penalties

    The US Department of Justice has filed its civil lawsuit against S&P in the District Court for the Central District of California (SCI 5 February). The complaint alleges that the rating agency engaged in a scheme to defraud investors in RMBS and CDOs by issuing inflated ratings that misrepresented the securities' true credit risks. The case also alleges that S&P .......

    Job Swaps 6 February 2013

  • Capital markets sales team boosted

    Sylvia Holt Williams and Grady Mosay have joined FTN Financial's sales team. They each join from Stifel Nicolaus.

    Williams was md for RMBS trading at Stifel and becomes sales svp, based in Kansas City. Mosay was vp for institutional CMO trading at Stifel and also becomes sales svp, based in Philadelphia.

    .......

    Job Swaps 5 February 2013

  • LMI review completed

    Moody's has concluded its review of the Australian lenders' mortgage insurance (LMI) sector, resulting in the downgrade of the ratings of three LMI companies. The insurance financial strength ratings (IFSR) of Genworth Financial Mortgage Insurance, Genworth Financial Mortgage Indemnity and QBE Lenders' Mortgage Insurance have been downgraded to A3 (from A1), A3 (from A2) and A2 (from Aa3) respectively. At .......

    News Round-up 4 February 2013

  • Euro price gains slowing

    European BWIC volumes for the first month of 2013 stand at €2.4bn, according to Deutsche Bank figures. This level is some 122% higher than for the same period last year, with CLOs (accounting for €600m of the volume) and CMBS (€438m) featuring heavily.

    So far this paper has been readily absorbed by the market, but analysts at the bank note .......

    Market Reports 1 February 2013
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