RMBS

  • SHP model enhanced

    Fitch's sustainable home price model (SHP) now provides projections at the metropolitan statistical area (MSA) and division level. Projections are available for 379 MSAs, which account for 95% of mortgage originations. Both the MSA and state-level projections will be released quarterly.

    The MSA projections will take precedence over state-level values for analytical purposes in Fitch's US RMBS loan loss model. .......

    News Round-up 14 September 2012

  • Boost for mortgage lending, housing?

    Fitch says that the new representation and warranty framework announced by the FHFA (SCI 12 September) could potentially have a positive impact on both the mortgage lending and housing markets.

    The new framework places greater emphasis on quality control review processes to be applied when loans are delivered to Fannie Mae and Freddie Mac earlier in the loan process and .......

    News Round-up 13 September 2012

  • Irish country ceiling lowered

    Moody's has downgraded to A3 the ratings of 24 securities across 12 Irish RMBS, of which seven were also placed on review for further downgrade. The agency has also placed on review for downgrade an additional 15 Irish RMBS senior and subordinated notes.

    The rating actions follow Moody's decision to lower the Irish country ceiling from A1 to A3 on .......

    News Round-up 13 September 2012

  • MRP fights back

    Mortgage Resolution Partners (MRP) has written to the FHFA contesting the agency's right to stop MRP's eminent domain plan (SCI passim). The firm argues that FHFA lacks oversight rights with regard to the purchase of loans not owned by Fannie Mae and Freddie Mac. MRP's letter is in response to a register notice that FHFA issued in August, in which .......

    News Round-up 13 September 2012

  • FSTNT 2 tender, restructuring launched

    Permanent TSB has launched a tender offer for Fastnet Securities 2 notes across the capital structure via a modified Dutch auction. The early tender deadline is 28 September, with a final deadline of 5 October.

    The tender is running concurrently with an extraordinary resolution to amend the transaction as a result of Permanent TSB's downgrade. The proposed changes include: a .......

    News Round-up 13 September 2012

  • Further Two Harbors addition

    Two Harbors Investment Corp has announced a further hire, with Nicholas Smith joining as md. He was previously capital markets cio at GoldenTree Investment Management.

    Smith was responsible for GoldenTree's residential mortgage investment platform, including investments in whole loans and mortgage servicing rights. He has previously worked as a senior financial analyst at GMAC ResCap.

    .......

    Job Swaps 13 September 2012

  • Euro reporting improving

    Better reporting in EMEA structured finance transactions has seen nearly one-third of deals merit a higher issuer report grade (IRG) since Fitch re-launched IRGs last year (SCI 15 November). The agency notes that while there is still room for improvement, with just 12.4% of transactions receiving the highest 4- or 5-star grades, discussions with report providers that followed the re-launch .......

    News Round-up 13 September 2012

  • Unicredit tender announced

    Unicredit has announced a tender offer for 22 Cordusio RMBS, F-E Mortgages, Capital Mortgages, Locat and F-E Gold bonds. The liability management exercise will be undertaken via an unmodified Dutch auction. The offer period will expire on 24 September, with settlement expected on 27 September.

    .......

    News Round-up 12 September 2012

  • New REIT ready to launch

    Two Harbors Investment Corp has proposed the contribution of its portfolio of single-family rental properties to a newly formed entity intended to qualify as a REIT. The firm has also recruited a new director of investor relations and seen two members of staff move over to the prospective REIT.

    In exchange for Two Harbors' portfolio contribution, it would receive shares .......

    Job Swaps 12 September 2012

  • Portuguese country ceiling lowered

    Moody's has downgraded to Baa3 the ratings of 47 securities across 32 Portuguese ABS and RMBS. The agency has also placed on review for downgrade the ratings of a further 90 Portuguese ABS and RMBS securities.

    The downgrades follow Moody's decision to lower the Portuguese country ceiling from Baa1 to Baa3 on 5 September. The main driver for the rating .......

    News Round-up 12 September 2012

  • Stable outlook for South Korean SF

    South Korean Fitch-rated structured finance transactions are well-placed to withstand the country's slowing economy and its high household debt, the agency says. Its outlook for all transactions is stable and all ratings have been affirmed so far this year.

    Fitch says deterioration in the performance of the transactions' underlying assets, stemming from rising household debt, is unlikely to be material. .......

    News Round-up 12 September 2012

  • Enhanced GSE reps and warranties unveiled

    The FHFA has launched a new representation and warranty framework for Fannie Mae and Freddie Mac conventional loans sold or delivered on or after 1 January 2013. The new approach - which is part of a broader series of strategic initiatives called seller-servicer contract harmonisation - aims to clarify lenders' repurchase exposure and liability on future deliveries.

    "Ultimately, better quality .......

    News Round-up 12 September 2012

  • Releasing the pressure?

    Data hindering European distressed debt deals

    Differing views on price appear to be impeding distressed debt transaction volume in Ireland and Spain, albeit a number of significant deals are expected to close by year-end. Nevertheless, recent legislative developments are helping to relieve some of the pressure that banks face in both jurisdictions.

    Getting comfortable with a distressed debt deal in Ireland and Spain comes down to .......

    News Analysis 12 September 2012

  • RMBS rally continues

    Last week saw US non-agency RMBS spreads grow progressively tighter as supply kept on coming. The market has rallied considerably over the last few weeks, as can be seen in SCI's PriceABS BWIC data.

    "While supply picked up after the Labor Day holiday, the upward trend in pricing remains intact. The increased supply seems to have brought out .......

    Market Reports 11 September 2012

  • UK prime RMBS stress tested

    Triple-A ratings of UK prime RMBS can withstand significant macroeconomic stress testing, encompassing rising unemployment and interest rates and collapsing house prices, says Fitch. On average, triple-A rated notes in UK prime RMBS programmes have enough credit protection to cover more than 20x the losses expected in the agency's base case and would only suffer losses if 50% of mortgage .......

    News Round-up 11 September 2012

  • Dutch RMBS stress tested

    Triple-A ratings of Dutch prime RMBS are resilient to significant macroeconomic stresses and it would take stress well beyond Fitch's current expectations to see most triple-A rated notes downgraded. The triple-A rated notes have, on average, enough credit protection to cover over 9x the losses expected in the agency's base-case scenario.

    Fitch's base-case scenario assumes an average default rate of .......

    News Round-up 11 September 2012

  • Up and coming

    Housing recovery boosts non-agency RMBS

    Economic indicators increasingly suggest that the US housing market has bottomed and begun to recover. While both agency and non-agency RMBS will benefit, it is non-agency where the opportunities for yield are strongest.

    The latest CoreLogic home price index update shows month-over-month home price appreciation of 16.3% for July, with year-over-year price growth at 3.8%, which is the biggest increase .......

    News Analysis 7 September 2012

  • Adverse selection hits pre-2005 RMBS

    One of the strongest US residential mortgage vintages is now increasingly susceptible to rating downgrades, according to Fitch. The agency points to adverse selection as the main factor behind this.

    Prime RMBS deals that were originated prior to 2005 have historically performed well. Principal losses are well below 1% among the roughly US$650bn in pre-2005 Fitch-rated prime RMBS. Additionally, over .......

    News Round-up 7 September 2012

  • NCUA files fresh RMBS suit

    The NCUA has filed suit against UBS Securities in Federal District Court in Kansas, alleging misrepresentations in the sale of RMBS to US Central Federal Credit Union (US Central) and Western Corporate Federal Credit Union (WesCorp). US Central and WesCorp paid more than US$1.1bn for the securities and each subsequently failed.

    NCUA's complaint alleges UBS made misrepresentations and omissions in .......

    Job Swaps 7 September 2012

  • Valuation skew

    GN/FN relative value opportunities weighed

    Policymaker intervention continues to skew US agency RMBS values. Given the difficulty of quantifying macro themes in the sector, analysing prepayment performance is one way of identifying relative value in GN/FN swaps.

    Ginnie Mae and Fannie Mae pass-throughs have historically enjoyed a close valuation relationship, according to FTN Financial Capital Markets svp Walt Schmidt, given that the former are fully .......

    News Analysis 6 September 2012

  • Loan-level data services launched

    Sapient Global Markets has unveiled a new combination of services aimed at helping companies meet requirements for communicating loan-level performance data to the European DataWarehouse under the ECB's ABS loan-level initiative. The offering includes complex data mapping and enrichment, the conversion of data between formats required by different regulators and the streamlining of two-way communication between regulators and data users .......

    News Round-up 5 September 2012
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