RMBS

  • QRM rules awaited

    Final clarity as to what constitutes a qualified mortgage and the likelihood of increased issuance will be key developments that will shape the coming year for US RMBS, according to Fitch.

    The Consumer Finance Protection Bureau's (CFPB) is expected to release the final definitions for qualified mortgages (QM) this month. "Securitisation of QRMs exempts issuers from risk retention and premium .......

    News Round-up 9 January 2013

  • Servicer assessment criteria released

    Moody's has published its new methodology for assessing RMBS servicer quality (SQ), following a request for comment in July 2012. The framework includes a number of enhancements to the agency's evaluation of US residential mortgage servicers.

    First, Moody's has augmented servicers' loan level performance data from its portfolio with performance data from securitisation trusts. "In analysing a servicer's collections roll .......

    News Round-up 9 January 2013

  • LCR move welcomed

    The inclusion of RMBS in the Basel 3 Liquidity Coverage Ratio (SCI 7 January) has been welcomed as a resounding positive for the market. Together with the postponement of the full implementation of the LCR and a reduction in the overall level of required liquid assets, the news has sparked the beginning of what is expected to be a gradual .......

    News Round-up 9 January 2013

  • Varied performance outlook for prime

    Fitch's 2013 outlook for house prices and prime residential mortgage performance varies greatly across Europe, the US and Australia. Substantial concerns remain for the peripheral eurozone markets, while the others are said to be generally more stable.

    The agency anticipates the largest further house price declines for peripheral countries, due to a bleak outlook for mortgage availability, unemployment, economic growth and .......

    News Round-up 8 January 2013

  • BofA effect seen in secondary RMBS

    US RMBS secondary supply remains moderate so far this year. Around US$434m of BWIC volume was seen yesterday across agency and non-agency, with SCI's PriceABS data showing 97 RMBS line items from the session.

    "Overall BWIC volume is slowly returning to pre-holiday levels," says Interactive Data. "Dealer offerings are mostly unchanged from the prior session."

    Certain non-agency bonds .......

    Market Reports 8 January 2013

  • MSR issue

    BofA agreement sparks prepay concern

    Bank of America has reached a US$10.3bn settlement to resolve outstanding repurchase agreements on residential loans sold to Fannie Mae. The bank also announced that it intends to sell around US$306bn of MSRs from its servicing portfolio, raising fears of increased prepayment risk.

    BofA will pay approximately US$3.6bn in cash and will repurchase around US$6.75bn in mortgage loans sold to .......

    News Analysis 8 January 2013

  • Home prices overvalued?

    Fitch believes that recent home price growth in the US is being driven more by technical factors than fundamentals. For this reason, the agency's sustainable price projection is more sombre than that observed by current market trends. However, it suggests that the price growth trends in certain locations are indeed supported by fundamentals and its view is more positive in .......

    News Round-up 7 January 2013

  • LCR amendments endorsed

    The Basel Committee has endorsed a package of amendments to the formulation of the Liquidity Coverage Ratio (LCR). The package has four elements: revisions to the definition of high quality liquid assets (HQLA) and net cash outflows; a timetable for phase-in of the standard; a reaffirmation of the usability of the stock of liquid assets in periods of stress; and .......

    News Round-up 7 January 2013

  • Cliff bill briefly buoys market

    US agency MBS outperformed both Treasuries and swaps after Congress passed a bill last week to avert the so-called 'fiscal cliff'. However, suggestions that the Federal Reserve may stop buying assets by end-2013 then spooked the market and swiftly undid those gains.

    The bill is expected to be positive for the housing recovery in the country. It extends the Mortgage .......

    News 7 January 2013

  • Legacy RMBS ratings change

    S&P has reviewed 837 ratings from 147 RMBS transactions issued between 1999 and 2007, backed primarily by US Alt-A, high LTV and negatively amortising mortgage loans. It has lowered ratings on 333 classes, raised ratings on 31 classes and affirmed ratings on 436 classes.

    Of the 333 downgraded classes, 168 saw ratings downgraded by more than three notches. The downgrades .......

    News Round-up 3 January 2013

  • Landesbank seeks RMBS redress

    Landesbank Baden-Wuerttemberg (Landesbank) has filed actions in New York state court against Goldman Sachs and Morgan Stanley. Both actions relate to RMBS purchases made by Landesbank.

    A recent Lowenstein Sandler memo notes that the action against Goldman Sachs accuses the investment bank of issuing offering materials containing material misrepresentations and omissions underlying approximately US$88.9m of RMBS that Landesbank purchased. Morgan .......

    Job Swaps 3 January 2013

  • BAML sued by Merrill trusts

    Two Merrill Lynch RMBS trusts, acting through the trustee US Bank, have filed a complaint in New York state supreme court against two Merrill units and Bank of America. The action - filed on behalf of Merrill Lynch Mortgage Investors Trust series 2006-RM4 and 2006-RM5 - alleges that the defendants refused to repurchase the loans underlying the securities, in violation .......

    Job Swaps 21 December 2012

  • Stress tests underline ratings resilience

    Fitch says that stress tests it conducted across a range of structured finance asset classes globally shows that its ratings would be resilient in the face of further stress. The tests suggest that the extent of macroeconomic stress that would be required to result in severe multiple category downgrades to its triple-A ratings is very remote. In many instances, the .......

    News Round-up 19 December 2012

  • New general counsel for REIT

    Rebecca Sandberg has been appointed general counsel of Two Harbors Investment Corp. She was previously deputy general counsel and secretary and takes over from Timothy O'Brien.

    Sandberg served as Two Harbors' senior counsel before serving as deputy general counsel. Prior to Two Harbors she was senior associate at Fulbright & Jaworski and then Stoel Rives.

    O'Brien, who has served as general .......

    Job Swaps 19 December 2012

  • Stable outlook for Japanese RMBS

    S&P expects the credit quality of Japanese RMBS to remain relatively stable over the next 12 months. This outlook is based on the agency's view that positive factors for performance - such as a relatively low unemployment rate and prolonged, record-low interest rates - will continue to offset the negatives, including a decline in property prices and a slow-down in .......

    News Round-up 19 December 2012

  • DSA guidelines are RMBS positive

    The investor reporting guidelines proposed by the Dutch Securitisation Association (DSA) will substantially improve the quantity and quality of information available to investors in Dutch RMBS, says Fitch. The agency expects reporting which complies with the DSA's framework to warrant issuer report grades (IRGs) of at least 4 stars, higher than the current 2-star average.

    Loan-level disclosure is not part .......

    News Round-up 19 December 2012

  • Asian attraction

    Yield available, although challenges remain

    The structured finance markets in Asia face significant constraining factors in 2013. A preference for covered bonds will limit RMBS issuance on the mainland, while deal volume in Japan and Australia is expected to be flat to lower, with demand continuing to outstrip supply.

    Gregory Park, managing partner at Northstone Peak, notes that the structured finance market in Asia remains .......

    News Analysis 19 December 2012

  • Rally drivers

    US ABS recovery subject to potential shocks

    The US ABS market rallied strongly in 2012, with CLO and CMBS issuance volumes in particular surprising many. A substantial recovery is anticipated in most areas next year, although this remains subject to potential fiscal and regulatory shocks.

    "Across the spectrum of securitised products, 2012 has turned out to be an impressive year for investors, with substantial double-digit returns - .......

    News Analysis 18 December 2012

  • Not giving in

    Solid 2013 anticipated for European securitisation

    The European securitisation market has been dominated by regulatory pressures, but - as participants become more comfortable with the changes being imposed - secondary market rallies have made primary issuance increasingly attractive. Supply in 2013 is expected to be broadly steady, with issuance anticipated right from the start of the year.

    Kevin Ingram, partner at Clifford Chance, believes that while .......

    News Analysis 18 December 2012

  • Loan-level regulatory implications noted

    Opinion is divided among market participants as to whether the ECB and Bank of England's loan-level data requirements will bring meaningful benefits for investors and whether such benefits outweigh the cost to originators of providing this information in the appropriate formats, according to Reed Smith in a recent client memo. While increased compliance costs are a disincentive to ABS issuance, .......

    News Round-up 18 December 2012

  • Dutch house price expectations revised down

    Fitch has revised downwards its house price expectations for the Netherlands. The agency now expects Dutch house prices to decline by up to 25% from their peak levels, compared to previous expectations of 18%.

    This change is driven primarily by the likely changes to the tax regime and expected austerity measures, which could reduce the disposable income available to borrowers. .......

    News Round-up 18 December 2012
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