RMBS

  • 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

  • Second PPIF liquidated

    AllianceBernstein has become the second firm to liquidate its PPIP fund, following Invesco's move in Q1 (SCI 2 May). The fund returned a profit of US$474m to the US Treasury, reflecting an 18.7% annualised return over three years.

    Among the remaining six PPIFs, AG GECC PPIF Master Fund had returned 30% of the US$4.4bn invested by end-Q2, while all others .......

    News Round-up 18 October 2012

  • ResCap trial scheduled

    A trial start date of 14 January 2013 has been set in connection with ResCap's proposed US$8.7bn settlement with 392 RMBS trusts. The trial is expected not to last beyond 17 January.

    US Bankruptcy Judge Martin Glenn is set to allot 12 hours of the trial to supporters of the RMBS settlement - including ResCap, Ally Financial and the institutional .......

    News Round-up 18 October 2012

  • Aussie delinquencies set to stabilise

    Moody's expects Australian mortgage delinquencies to stabilise, after a slight decline over the last 12 months. Regional disparity persists, however.

    "In Australia, 30-plus day delinquencies have not fallen as much as had been expected from a 100bp cut in the Reserve Bank of Australia's (RBA) official cash rate between November and May this year, because the banks have not passed .......

    News Round-up 18 October 2012

  • Further credit watches resolved

    S&P has resolved a further slug of credit watch placements made as a result of its implementation of revised criteria for surveilling pre-2009 US RMBS (SCI 16 October). The affected transactions in this latest review were issued between 2001 and 2007 and are backed by either a mix of adjustable- and fixed-rate subprime and scratch-and-dent mortgages or by adjustable- and .......

    News Round-up 17 October 2012

  • Lower UK RMBS volume predicted

    S&P anticipates UK RMBS issuance to end the year lower than in 2011 (see also SCI 24 September). Although credit performance remains generally robust, cheap central bank funding schemes and renewed economic deterioration are constraining issuance and could push up arrears, the agency notes.

    "The UK's renewed economic contraction since late 2011, sluggish property prices and the tough lending environment .......

    News Round-up 17 October 2012

  • Credit watch placements resolved

    S&P has lowered its ratings on 361 classes from 73 US RMBS and removed 318 of them from credit watch with negative implications, 34 of them from credit watch with developing implications and three of them from credit watch with positive implications. The agency also raised its ratings on 46 classes from 23 transactions and removed 23 of them from .......

    News Round-up 16 October 2012

  • Aussie RMBS reviewed

    S&P has affirmed its ratings on 692 Australian prime RMBS tranches and raised its ratings on 14 others. Additionally, 10 tranches were placed on credit watch with positive implications.

    The rating actions follow the agency's review of all outstanding Australian and New Zealand prime RMBS. The review incorporates the impact of the rating outlook revision to negative from stable on .......

    News Round-up 16 October 2012

  • MBS group expansion continues

    Gleacher & Company Securities has boosted its MBS and rates team with six new appointments. The company has already added a further 11 professionals to that division over the last three months (SCI passim).

    Martin Baxter joins as md, responsible for building the MBS and rates platform in Washington DC. He was most recently at Amherst Securities Group, where he .......

    Job Swaps 16 October 2012

  • RMBS dominates light session

    Supply across the US secondary market was quiet yesterday to start the week. However, a steady offering of non-agency paper was seen, with RMBS names accounting for almost half the line items displayed in SCI's PriceABS BWIC data from the session.

    "Overall BWIC volume has dropped from Friday's session. Market activity is focused in subprime collateral today, as .......

    Market Reports 16 October 2012

  • Non-agency boost anticipated

    S&P expects non-agency RMBS origination to begin rising, following the FHFA's initiatives to reduce the level of government support in the mortgage market and encourage higher private investment.

    "The GSE and FHA loans have made up most of the market for the past few years, but this isn't a long-term solution because of the burden of government support on tax .......

    News Round-up 15 October 2012

  • Paragon to tap mezz demand

    Paragon is set to publicly place double-A and single-A rated notes in addition to the senior tranche in its latest buy-to-let RMBS - the first UK issuer to do so post-financial crisis. The move is being attributed to spread tightening, which is allowing issuers to place tranches lower in the capital stack.

    Rated by Fitch, Paragon Mortgages (No. 17) comprises .......

    News Round-up 15 October 2012

  • South African ratings hit

    Moody's has downgraded to A1 the ratings of 56 securities across 17 South African RMBS and ABS, prompted by the weakening of the South African government's credit profile. The agency recently downgraded South Africa's government bond rating to Baa1 from A3 and lowering its local currency ceiling to A1.

    Concurrently, Moody's has placed on review for downgrade the ratings of .......

    News Round-up 12 October 2012

  • Spanish sovereign ceiling lowered

    S&P has taken various credit rating actions on 116 tranches in 87 Spanish securitisations. The move follows the lowering of its long-term sovereign rating on the Kingdom of Spain to triple-B minus from triple-B plus in light of the country's deteriorating economic conditions.

    Specifically, the agency has: lowered its ratings on 63 tranches in 51 RMBS; lowered its ratings on .......

    News Round-up 12 October 2012

  • APAC ratings remain stable

    Fitch reports that ratings of structured finance (SF) tranches in Asia Pacific were generally stable in 3Q12, with negative rating actions confined to Japan. A total of eight tranches were upgraded in the region during the quarter.

    "The predominance of affirmations in 3Q12 again attests to strong asset performance, particularly in Australia and South Korea, across multiple asset classes," comments .......

    News Round-up 11 October 2012

  • REIT co-founder steps up

    Annaly Capital Management has appointed Wellington Denahan-Norris as co-ceo. She co-founded Annaly alongside ceo Michael Farrell, who is stepping aside temporarily for health reasons. Kevin Keyes has been promoted to president and James Fortescue becomes coo.

    .......

    Job Swaps 11 October 2012

  • Upping sticks

    Agency MBS crowding to boost esoteric ABS

    The New York Fed's announcement last month that Operation Twist will target solely agency MBS took many by surprise (SCI 14 September). While the ramifications for the RMBS market are fairly obvious, the knock-on effects for less frequented asset classes are just as significant.

    Structured credit consultant Dan Castro says the Fed's expected agency MBS purchases will force investors to .......

    News Analysis 11 October 2012

  • Secondary RMBS supply rockets

    US non-agency RMBS supply spiked yesterday. SCI's PriceABS BWIC data shows over 100 RMBS line items for the session, with volume reported to have comfortably exceeded US$1bn.

    Interactive Data figures put total non-agency supply at US$1.166bn for yesterday's session, largely driven by subprime CDO liquidations. All-or-none execution remains popular with sellers and levels have been holding steady, despite broader .......

    Market Reports 11 October 2012

  • Low take-up for Totta exchange

    The take-up for Banco Santander Totta's (BST) offer to exchange three RMBS bonds into a covered bond has been limited (SCI 28 September). HIPOT 1R A saw no bonds accepted, while only €3m of amortised principal was accepted across HIPOT 4 A and HIPOT 5 A2.

    This represents only 0.14% of the current amount outstanding and only 0.25% of bonds .......

    News Round-up 10 October 2012

  • Positive signs for shadow inventory

    S&P's estimate for the time it will take to clear the shadow inventory on the non-agency US mortgage market fell to 40 months in 2Q12, down from 46 months in the previous quarter. This is the biggest single-quarter improvement since the agency began tracking it in 2009 and is also the lowest estimate of months-to-clear since the beginning of 2010.

    News Round-up 10 October 2012

  • Rising prices seen in UK prime

    A slew of UK RMBS paper hit the secondary market yesterday, with a mixed bag of names out for the bid. Vintage prime senior bonds appear to be on a rising trend from summer levels, according to SCI's PriceABS BWIC data.

    The increases are most pronounced across Granite paper. A £8m slice of GRAN 2004-1 3A was covered during the .......

    Market Reports 10 October 2012
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