RMBS

  • Putting money to work

    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 Q3 and expectations for Q4 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 1 November 2012

  • TFG makes affiliate acquisition

    Tetragon Financial Group has acquired Polygon Management's asset management business and its interests in LCM Asset Management and GreenOak Real Estate. The acquisition is part of Tetragon's ongoing strategy to expand its asset management platform.

    The Polygon acquisition includes the London and New York asset management businesses and infrastructure platform as well as Polygon's 25% stake in LCM and 13% .......

    Job Swaps 30 October 2012

  • Re-REMIC ratings hit

    S&P has initiated 2,847 credit watch placements on 205 US RMBS re-REMIC transactions, with a par amount of US$46.65bn. The move follows the implementation of the agency's revised criteria for the surveillance of pre-2009 RMBS and subsequent credit watch actions on pre-2009 US RMBS classes (SCI passim).

    In total, S&P has placed its ratings on: 2,775 classes from 203 re-REMICs, .......

    News Round-up 29 October 2012

  • Further credit watches resolved

    S&P has lowered its ratings on 406 classes - 238 by more than three notches - from 65 US RMBS, while removing 381 of them from credit watch with negative implications and 16 from credit watch with developing implications. The agency also raised its ratings on 29 classes from 11 transactions, while removing three of them from credit watch with .......

    News Round-up 26 October 2012

  • Servicing performance compared

    In light of yesterday's ResCap MSR auction, MBS analysts at Bank of America Merrill Lynch have analysed the collateral performance of the securitised portfolio, as well as other non-agency servicing pools that have been transferred previously. Non-bank entities - such as Ocwen and Nationstar - have emerged as the biggest beneficiaries of these sales.

    BAML's findings show little differentiation in .......

    News 25 October 2012

  • US government sues BofA, Countrywide

    The US government has filed suit against Bank of America, Countrywide Financial Corporation and Countrywide Home Loans. The government alleges Fannie Mae and Freddie Mac were sold fraudulent and defective mortgage loans by Bank of America and Countrywide that later defaulted, causing over US$1bn in losses.

    It is the first civil fraud suit brought by the Department of Justice concerning mortgage .......

    Job Swaps 25 October 2012

  • Joint bid wins ResCap auction

    Ocwen Loan Servicing and Walter Investment Management Corp were jointly awarded the highest and best bid for the mortgage servicing and origination platform assets of Residential Capital in yesterday's bankruptcy court-sponsored auction (SCI passim). The bid, with a purchase price of US$3bn, is subject to definitive documentation and bankruptcy court approval. Nationstar was the only other bidder for the assets.

    News Round-up 25 October 2012

  • RBS settles over Nevada mortgages

    RBS Financial Products has settled with Nevada Attorney General Catherine Cortez Masto to resolve an investigation into the purchase and securitisation of subprime and option ARM mortgages in the state. RBS will pay US$42m and neither admits nor denies any wrongdoing.

    The settlement ends an investigation into potential misrepresentations by lenders such as Countrywide and Option One to consumers who .......

    Job Swaps 25 October 2012

  • Non-agency RMBS holding steady

    Activity in US RMBS has been slightly subdued over the last few days, given the focus on IMN's ABS East conference. Yesterday saw fixed-rate bonds in vogue in the non-agency secondary market, with SCI's PriceABS BWIC data indicating that prices were largely stable.

    Interactive Data figures put non-agency BWIC volume at just a little over US$200m for the .......

    Market Reports 25 October 2012

  • High IG ratings 'unlikely' for SFR deals

    Fitch says it is unlikely to assign a high investment grade rating to securitisations of single-family rental (SFR) properties. The agency notes several key challenges to rating REO-to-rent transactions.

    One is the limited performance data at both the property and market level. The lack of manager performance history and track records also presents risks.

    "While we have had conversations with .......

    News Round-up 24 October 2012

  • Libor class action filed

    A group of Alabama homeowners has filed a putative antitrust class action in federal court in New York against a number of financial institutions for allegedly conspiring to manipulate Libor. According to the complaint, the alleged manipulation increased the interest rates on plaintiffs' mortgages, which were securitised in RMBS that the defendants backed or purchased.

    A recent Lowenstein Sandler client .......

    News Round-up 24 October 2012

  • Mixed picture for Euro RMBS

    Contrasting fortunes were in evidence in the European RMBS market last week. On the same day that a UK transaction achieved tight pricing in the primary market, a pair of legacy deals from the continent were declared to be in default.

    "The positive development has been Paragon Mortgages 17, the UK buy-to-let RMBS, which priced on Thursday pretty tight to .......

    Market Reports 23 October 2012

  • Extra data for SF analysis platform

    Interactive Data will now provide independent evaluated prices on RMBS, ABS and CMBS for use within Intex's INTEXcalc service. The data can be used as inputs for a range of single security and portfolio analytics reports, offering transparency and speed in analysing securities.

    .......

    Job Swaps 23 October 2012

  • Mortgage finance md appointed

    Trez Moore has joined RBS as mortgage finance md. He takes responsibility for covering the GSEs and regulatory bodies in Washington DC and will report to mortgage finance head Jim Raezer and global head of mortgage and credit trading Scott Eichel.

    Moore joins from Freddie Mac, where he was head of the strategic investment group. He has previously served as .......

    Job Swaps 23 October 2012

  • Low losses projected for EMEA, APAC SF

    With losses on global structured finance bonds largely clustered in US transactions, Fitch expects losses to be vastly lower on deals issued in the EMEA and APAC regions.

    "Losses on European deals will likely be low because of the strong performance of consumer assets, such as mortgages, credit cards and auto loans," comments Kevin Duignan, head of global structured finance .......

    News Round-up 22 October 2012

  • UK NC RMBS reviewed

    Moody's has completed a performance review of the UK non-conforming (NC) RMBS sector and updated its portfolio loss assumptions in 17 transactions and MILAN CE in four transaction out of the 81 transactions reviewed. The review has no rating implications because the credit enhancement available under the corresponding notes fully offsets the effect of the increase of the loss assumption .......

    News Round-up 22 October 2012

  • UK non-master trust RMBS reviewed

    Moody's has updated its loss assumptions in one prime and two buy-to-let (BTL) UK RMBS deals, following a performance review of the UK prime and BTL RMBS non-master trust sector. The affected deals are Trinity Financing, Auburn Securities 3 and Ludgate Funding Series 2007-FF1 respectively.

    The rating agency has taken no rating actions on the deals, as the levels of .......

    News Round-up 22 October 2012

  • RBA preps loan-level requirements

    The Reserve Bank of Australia is introducing new eligibility criteria for RMBS in its operations. Issuers of RMBS will be required to provide more detailed information than is currently the case. The new information covers both transaction-related data as well as information on the underlying assets.

    Currently, the information required by the Reserve Bank for RMBS to be repo-eligible is .......

    News Round-up 22 October 2012

  • RMBS restructuring proposed

    NIBC is convening a noteholder meeting on 7 November to vote on restructuring proposals for Sound 1. An extension of the first optional redemption date by 12 months to November 2013 is being proposed, as well as an increase on the class A margin to 110bp from the original sep-up date and the other notes to increase to the original .......

    News Round-up 19 October 2012

  • MSR data service unveiled

    Kamakura Corporation has begun publishing a simple and transparent yield curve data series for the valuation of mortgages and mortgage servicing rights (MSRs). The offering is designed to overcome a number of serious flaws in the conventional wisdom for mortgage and MSR valuation, the firm says. These are: reliance on the manipulated Libor swap curve; use of inconsistent models for .......

    News Round-up 19 October 2012

  • LMI approach updated

    Moody's has published its updated approach for evaluating lender's mortgage insurance (LMI) for Australian RMBS, following the receipt of market feedback on the proposed changes (SCI 31 May). At the same time, the agency has placed on review for downgrade the Aa2 rated class B notes issued by Crusade Euro Trust No. 1E.

    LMI results in the need for less .......

    News Round-up 19 October 2012
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