RMBS

  • The big picture

    Christopher Long, president at Palmer Square Capital Management, answers SCI's questions

    Q: How and when did Palmer Square Capital Management become involved in the structured finance markets?
    A:     Palmer Square was really set up in 2009 to take advantage of opportunities within credit, allowing us to exploit many opportunities within structured credit. Fountain Capital Management, which we recently acquired a majority interest in (SCI 9 January), has .......

    The Structured Credit Interview 24 January 2013

  • Mortgage market index debuts

    Fitch has begun publishing a new quarterly mortgage market index, which measures the percentage of loans that are seriously delinquent among US private label securitised mortgage loans. The aim is to highlight performance trends in legacy and new issue RMBS, house price conditions and mortgage market developments.

    Fitch's 60+ day delinquency index improved to 28.6% by end-4Q12, compared with 30.6% .......

    News Round-up 23 January 2013

  • Regulatory change could spur Aussie issuance

    Regulatory changes could have a significant impact on Australian structured finance issuance in 2013, Fitch says. Specifically, the potential revision of Prudential Standard APS120 would have a direct impact on issuance levels by determining the capital treatment of securitisations and potentially opening up new issuance structures.

    A draft paper on APS120 is expected early this year. The possible changes mooted .......

    News Round-up 23 January 2013

  • False ratings claims case settled

    Egan-Jones Ratings Company (EJR) and its president Sean Egan have agreed to settle charges which were brought by the US SEC last year (SCI 25 April 2012), without accepting or denying the claims. The SEC claimed EJR and Egan made wilful misstatements and omissions when registering to become an NRSRO for ABS.

    EJR and Egan have consented to an SEC .......

    Job Swaps 23 January 2013

  • More foreclosure settlements reached

    Goldman Sachs and Morgan Stanley have reached agreements in principle with the Federal Reserve Board to pay US$557m to help mortgage borrowers. The agreements are similar to those announced two weeks ago between 10 servicers and the OCC and Fed (SCI 9 January).

    Goldman Sachs and Morgan Stanley had been subject to enforcement actions for deficient practices in mortgage loan .......

    Job Swaps 23 January 2013

  • Rental 'equity' structures critiqued

    A legal structure that potential issuers have proposed for transactions backed by cashflows from single-family rental properties poses substantial credit risks, according to Moody's. In the so-called 'equity' structure - which differs from the legal structure for most ABS - investors will not have the benefit of a direct lien on the underlying collateral. Instead, these structures provide investors with .......

    News Round-up 21 January 2013

  • Assured wraps targeted

    Moody's has downgraded the ratings of 225 classes of US structured finance securities wrapped by Assured Guaranty Municipal Corp (AGM), Assured Guaranty Corp (AGC) and their affiliated insurance operating companies. The affected securities include certain RMBS, ABS, structured notes and Trups CDOs.

    The action is solely driven by the agency's downgrade of the insurer's insurance financial strength (IFS) ratings (SCI .......

    News Round-up 21 January 2013

  • TBA liquidity underlined

    The presence of the to-be-announced (TBA) market provides greater liquidity to agency MBS, according to a recent New York Fed study. Authors James Vickery and Joshua Wright document in their report the market's robust liquidity, even during the financial crisis.

    The authors also present preliminary evidence that the liquidity of the TBA market raises MBS prices and lowers mortgage interest .......

    News Round-up 21 January 2013

  • 'Higher-priced' mortgage appraisal rules set

    The US Fed, CFPB, FDIC, FHFA, NCUA and OCC have released the final rule that establishes new appraisal requirements for 'higher-priced mortgage loans' under Dodd-Frank. Mortgage loans are higher-priced if they are secured by a consumer's home and have interest rates above certain thresholds.

    For higher-priced mortgage loans, the rule requires creditors to use a licensed or certified appraiser that .......

    News Round-up 21 January 2013

  • Volume of aged loans in foreclosure falls

    The number of aged loans in foreclosure fell for most servicers of US RMBS in 3Q12. This is a promising trend for servicers, according to Moody's, and indicates that servicers are finally putting behind them the operational and regulatory issues that plagued them in the past and are taking the steps necessary to address their backlogged foreclosure inventory.

    However, foreclosure .......

    News Round-up 21 January 2013

  • Clarity on downpayments required

    Fitch says that the recent qualified mortgage (QM) announcement (SCI 11 January) is a positive step toward finalising risk retention and premium capture rules for securitisers of residential mortgages. Given that the QRM definition for exemption from these rules is linked to that of the QM, the back-end debt-to-income (DTI) requirement for a QRM is now clear. However, a key .......

    News Round-up 18 January 2013

  • Assured IFS ratings hit

    Moody's has downgraded the insurance financial strength (IFS) rating of: Assured Guaranty Municipal Corp (AGM) to A2 from Aa3; Assured Guaranty Corp (AGC) to A3, from Aa3; and Assured Guaranty Re (AGRe) to Baa1 from A1. At the same time, the agency downgraded the senior unsecured debt ratings of both Assured Guaranty US Holdings and Assured Guaranty Municipal Holdings to .......

    News Round-up 18 January 2013

  • 'No major suprises' in servicing rules

    The CFPB has issued its final mortgage servicing rules, which the majority of servicers must adhere to by 10 January 2014. The final rules are based on the servicing standards set by last year's national servicer settlement and the OCC consent order issued in April 2011 (SCI passim).

    New protections under the rules for struggling borrowers include: restricted dual-tracking; notification .......

    News Round-up 18 January 2013

  • Euro SF volume tough to call

    European structured finance volume for 2013 remains difficult to call. For example, while S&P expects overall investor-placed issuance to fall over the year, Fitch forecasts a rise of 5%.

    Fitch predicts that public and retained European structured finance issuance this year will be broadly unchanged from 2012, at about €200bn. Of this figure, 40% is expected to be placed with .......

    News Round-up 16 January 2013

  • Subprime spike for RMBS

    While the US ABS and CMBS secondary markets are in hiatus, RMBS supply actually rose yesterday, thanks to a spike in subprime bid-lists. Interactive Data figures put non-agency BWIC volume at US$885m for the session.

    The subprime space was characterised by a positive tone, with a mix of various vintage senior and mezz paper out for bid. Dealer offerings were .......

    Market Reports 16 January 2013

  • AIG files ML2 suit

    AIG and some of its affiliates last week filed a complaint in New York State Supreme Court seeking a declaration from the court as to the proper interpretation of a contract it entered into with Maiden Lane II. AIG sold in December 2008 approximately US$20bn in RMBS tranches that it had purchased between 2005 and 2007 to Maiden Lane II, .......

    News Round-up 16 January 2013

  • Value seen in MBIA-wrapped bonds

    Absent a payout from Bank of America on alleged rep and warranty breaches or an increase in intercompany support facilities, it is unclear how MBIA will continue to pay claims on its structured finance exposures, suggest RMBS analysts at Barclays Capital. Indeed, the insurer's recent consent solicitation (SCI 28 November 2012) indicates that it might be preparing for a restructuring .......

    News 15 January 2013

  • Loan-level data disclosed

    Fannie Mae has begun releasing monthly loan-level disclosure data for its single-family MBS as part of its loan-level disclosures initiative. The data will be updated monthly and will be provided for MBS beginning with an issue date of 1 April 2003.

    "We believe that releasing monthly loan-level data is a significant step toward meeting investors' desires for enhanced transparency," comments .......

    News Round-up 15 January 2013

  • Mixed outlook for Japanese SF performance

    Moody's believes that strict underwriting standards in Japan will support the performance of RMBS and ABS receivables in the jurisdiction during 2013. The weak real estate market is expected to have a negative effect on CMBS transactions, however.

    Overall performance of RMBS collateral in new and existing deals will remain stable this year, according to the agency, due to the .......

    News Round-up 15 January 2013

  • Settlement prompts servicer refocus

    Fitch believes the settlement between regulators and 10 residential loan servicing companies (SCI 9 January) is positive for those companies, as it marks an end to the foreclosure review proceedings and will allow them to refocus on the services they provide. The settlement includes the payment of US$8.5bn, either as cash payments or assistance to help borrowers, and effectively ends .......

    News Round-up 15 January 2013

  • Bullish outlook for EM securitisation

    S&P says it is bullish on structured finance in emerging markets going into 2013, though it warns that each country's unique situation warrants careful scrutiny. A rebounding Mexican economy and Brazil's uncertain regulatory environment is expected to anchor Latin American activity, while the focus in EEMEA will be split between Russian and South African domestic activity and cross-border issuance in .......

    News Round-up 14 January 2013
×