RMBS

  • Alignment for HARP 2.0 reps

    Freddie Mac has announced plans to amend its Relief Refinance Mortgage Program, which includes HARP 2.0, by aligning requirements for mortgages LTV ratios that are equal to or less than 80% with those for mortgages with LTV ratios greater than 80%. The alignment change is designed to eliminate many representation and warranty responsibilities on the original loans being refinanced, regardless .......

    News Round-up 1 August 2012

  • Uncertainty weighs on European structured finance

    The marked divergence seen either side of the Atlantic in structured finance issuance volume trends in 1Q12 continued throughout Q2, according to the latest SCI league tables for bank arrangers in the structured credit and ABS markets.

    The 2Q12 SCI league tables show that sovereign and economic uncertainty are continuing to hold back supply and demand for European paper. Half-year .......

    News Round-up 1 August 2012

  • Italian RMBS assumptions tweaked

    Fitch has updated its criteria assumptions for assessing credit risk in Italian residential mortgage loan pools. The main changes are to certain criteria assumptions that focus on lower rating categories, which reflect where Italy is in the economic cycle. Assumptions at higher categories generally remain unchanged.

    "The macroeconomic variables affecting default probability have deteriorated. Fitch forecasts for lower GDP growth .......

    News Round-up 31 July 2012

  • Gleacher build-out continues

    Gleacher & Company Securities has recruited seven professionals to its MBS & Rates division in New York. Glen Riis and Samir Shah have joined the firm as mds, along with directors Eric Baeri, Samuel Herrnson, David Kaplan, Anthony Mun and Jeffrey David Weaver.

    Riis previously served as the CMBS portfolio manager at Treesdale Partners, where he managed the firm's investment .......

    Job Swaps 31 July 2012

  • IO loan warning

    Low incentives for borrowers to refinance and rising risk aversion among mortgage lenders have contributed to a sharp decline in interest-only lending in the past five years. According to S&P, prepayment rates could remain low as the current interest rate environment means that a significant number of borrowers have little economic incentive to remortgage.

    "Our analysis shows that - under .......

    News Round-up 30 July 2012

  • Majority of NCUA claims to proceed

    The Federal District Court in Kansas has denied the majority of the defendants' motions to dismiss in connection with the NCUA's lawsuits over losses from MBS purchased by US Central Federal Credit Union. As liquidating agent for the failed US Central, the agency filed two lawsuits against RBS, Wachovia and nine other defendants that were involved in issuing 29 RMBS .......

    Job Swaps 30 July 2012

  • Secondary RMBS still strong

    The strong supply seen in secondary US RMBS continues, with prime hybrid, Alt-A hybrid and option ARM bonds well represented in yesterday's bid-lists. It has been a week of elevated BWIC activity for ARM paper in particular, with Interactive Data figures indicating that the market is on pace to reach record volumes.

    One line item captured in SCI's PriceABS Market Reports 27 July 2012

  • Servicer advance ratings criteria issued

    Morningstar Credit Ratings has released new issue RMBS servicer advance receivable ratings criteria. The rating agency says it methodology is designed to be easy to understand and consistently applied to all advance securitisations while incorporating issuer-specific quantitative and qualitative data.

    Advance types include principal and interest, escrow and corporate advances. P&I advances cover delinquent payments of principal and interest due .......

    News Round-up 27 July 2012

  • Euro ABS treading water

    The summer was expected to be quiet for European ABS and that is how it has proved so far. The last week has not seen a lot of activity, although that is not down to a lack of potential buyers.

    "There is a lot of buying interest in the market right now, but it is not translating into a lot .......

    Market Reports 26 July 2012

  • Secondary RMBS supply spikes

    US prime hybrid and alt-A hybrid RMBS secondary supply spiked yesterday, coming in at nearly quadruple the prior session's total. Interactive Data figures suggest that overall non-agency RMBS BWIC volumes hit an eye-watering US$2.72bn on the day, driven by a large all-or-none list.

    Notably, a concentration of Countrywide senior bonds were out for bid. SCI's PriceABS BWIC data .......

    Market Reports 25 July 2012

  • JHF guarantee proposal 'credit positive'

    The proposed change to loan guarantee fees by Japan Housing Finance Agency (SCI 6 July) will be credit positive for JHF-guaranteed RMBS, Moody's says. The agency believes that a guarantee fee based on pool performance will encourage originators to underwrite JHF-guaranteed loans to the same high standards applied to non-guaranteed loans.

    Moody's has observed that JHF-guaranteed RMBS pools show worse .......

    News Round-up 25 July 2012

  • Rental market

    REO-to-rent securitisation generates interest

    The US government is keen to find a way to unload the foreclosed REO properties currently owned by Fannie Mae and other GSEs. REO-to-rent securitisation could play a leading role in tackling the overhang.

    S&P estimates that around 500,000 properties were REO at the end of 1Q12, with this figure expected to rise over the next few years. A further .......

    News Analysis 25 July 2012

  • APRA first-loss rule welcomed

    Moody's has welcomed the Australian Prudential Regulation Authority's (APRA) requirement for banks to deduct from their common equity Tier 1 holdings subordinated tranches of securitisations originated by a third party. The rating agency suggests in a recent Credit Outlook publication that such a conservative measure will support bank stability by ensuring there is adequate capital to cover first-loss positions.

    The .......

    News Round-up 24 July 2012

  • Countrywide settlement remains on track

    The Walnut Place investor group has withdrawn as intervenor in the Article 77 proceedings to ratify the Countrywide RMBS settlement. The group had previously sought to extend the scope of the discovery by reviewing thousands of loan files, while BNY Mellon - as trustee - had argued that this was not required (SCI passim).

    Consequently, the settlement is expected to .......

    News Round-up 24 July 2012

  • Market risk dichotomies highlighted

    Interactive Data has released an analysis of current credit ratings and evaluated price levels for non-agency CMO securities, which highlights a number of what it describes as dichotomies with respect to market risk. The study comes as the industry digests US bank regulators' recently released proposals for implementing the Basel 3 framework for market risk capital rules.

    The non-agency CMO .......

    News Round-up 24 July 2012

  • PPIF winding down

    Western Asset Management Company has begun winding down its legacy securities PPIF, pursuant to an agreement with the US Treasury. The firm opted to end the fund's investment period on 15 July, rather than extend it to 5 November. Western Asset Mortgage Defined Opportunity Fund invests indirectly in the PPIF, which accounts for approximately 31.6% of its total investments, as .......

    News Round-up 24 July 2012

  • RFC issued on servicer updates

    Moody's has requested comment from market participants on its updated approach to assessing the ability of US residential mortgage servicers to prevent defaults and maximise recoveries, through their collections, loss mitigation, foreclosure timeline management and loan administration practices. Under the new approach, the agency will use additional data in its evaluation of servicer performance.

    It would augment the current loan-level .......

    News Round-up 23 July 2012

  • Summer slowdown for Euro RMBS

    The European RMBS market is still searching for a spark, but has continued ticking along regardless. Primary issuance has not dried up completely, although the secondary market is slow.

    "In the primary market the biggest talking point has been Lanark series 2012-2, which was a fairly sizable deal and priced yesterday. It had a three-year tranche which priced at about .......

    Market Reports 20 July 2012

  • Countrywide RMBS settlement reached

    Syncora Guarantee has reached a US$375m settlement with Countrywide Financial and its parent Bank of America. The settlement ends an RMBS suit which Syncora and MBIA brought in 2009 in which Syncora alleged Countrywide had misrepresented the quality of loans securitised in order to induce the insurers to insure the securitisation.

    .......

    News Round-up 20 July 2012

  • Identifying asymmetries

    Charlotte Valeur Adu, chair of Brevan Howard Credit Catalysts Limited, answers SCI's questions

    Q: When and why did Brevan Howard launch a listed credit fund?
    A:     The Brevan Howard Credit Catalysts listed fund began trading on the London Stock Exchange on 14 December 2010 and now has US$172m assets under management. The listed fund, in turn, invests all of its assets in the US$2.5bn Brevan Howard Credit Catalysts Master Fund that commenced trading on .......

    The Structured Credit Interview 19 July 2012

  • Mizuho settles CDO charge

    The US SEC has charged Mizuho Securities USA and three former employees with misleading CDO investors. The commission says dummy assets were used to inflate the credit ratings of a deal backed by subprime bonds.

    The SEC says Mizhuo made approximately US$10m in structuring and marketing fees for Delphinus CDO 2007-1, which defaulted in 2008. Mizuho employees submitted to S&P .......

    Job Swaps 19 July 2012
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