RMBS

  • Agency, non-agency take turns in spotlight

    US RMBS has been prominent on the week's early bid-lists. SCI's PriceABS data shows 119 RMBS line items for Monday, including a good number of non-agency bonds after supply had slowed last week.

    Both LMT 2007-5 3A4 and LMT 2007-8 2A1 were covered yesterday - at 94 handle and 80 handle respectively - at the upper-end of the .......

    Market Reports 14 August 2012

  • RMBS criteria update hits

    Fitch has updated its criteria for estimating losses on US mortgage pools for RMBS transactions, as part of its annual criteria review. Less than 10% of all ratings are expected to be affected by the model enhancements, with the impact varying by sector and vintage.

    The core principle of the framework remains the interaction between borrower equity and market value .......

    News Round-up 13 August 2012

  • Korean SF set for mild rise in delinquencies

    High household debt will contribute to a rise in delinquencies and defaults among South Korean securitisation transactions, but the increase will be mild and remain within expectations, according to Fitch. This is reflected in the agency's stable outlook for the ratings performance of Korean structured finance (SF) deals in 2012.

    Unemployment rates and interest rates remain the key drivers of .......

    News Round-up 13 August 2012

  • GNMA prepays to moderate?

    The August GNMA issuer report could mark a high watermark for pre-May 2009 prepayment speeds, according to MBS analysts at Barclays Capital. They point to several factors indicating that pre-May 2009 speeds should moderate going forward.

    Over the past two months, pre-May 2009 GNSF voluntary speeds increased by 34/18/9/5/2 CRR to 51/34/26/19/13 CRR for 4.5-6.5 coupons respectively. But the Barcap .......

    News Round-up 10 August 2012

  • Counterparty linkage analysed

    Moody's has disclosed that during the last quarter it downgraded most of the 114 European banks and 17 securities firms with global capital markets operations that it placed on review in February. Many of these entities were downgraded below the P-1 short-term rating level, which is a common rating trigger in structured finance transactions.

    The agency has subsequently identified 420 .......

    News Round-up 10 August 2012

  • Goldman probe dropped

    Goldman Sachs has disclosed in its latest 10-Q filing that the SEC has dropped its investigation of the bank's role in selling US$1.3bn of subprime mortgage securities. The SEC issued a Wells notice to Goldman in February, concerning disclosures contained in offering documents from 2006 for a US$1.3bn RMBS that the bank underwrote. Goldman states in the filing that the .......

    News Round-up 10 August 2012

  • Legacy RMBS criteria revised

    S&P has published revised criteria for monitoring the performance of existing US RMBS transactions. Specifically, the agency will use the updated criteria to re-rate RMBS backed by collateral originated before 2009.

    The criteria incorporates updated assumptions about collateral performance, revised pool-level credit and cashflow analysis, and applies new methodologies for capturing risks associated with a transaction's mortgage pool that contains .......

    News Round-up 10 August 2012

  • Greek rating actions announced

    Fitch has affirmed 23 and downgraded six tranches of Greek RMBS. It has also maintained three tranches on rating watch negative (RWN).

    The downgrades reflect the performance of the collateral and the deteriorating Greek mortgage market, as well as the existing moratorium on foreclosure activity in the country, which has lengthened foreclosure timings and is limiting the level of recoveries .......

    News Round-up 10 August 2012

  • ResiEMEA tool extended

    Fitch has extended its European residential mortgage risk analysis tool, ResiEMEA, to cover Germany.

    ResiEMEA is an analytical model that assesses the credit risks of loan-by-loan residential mortgage portfolios in accordance with Fitch's published RMBS criteria. The tool will be used to determine weighted average expected default probability, loss severity and recovery at various rating categories during the agency's rating .......

    News Round-up 9 August 2012

  • Eminent domain RFC issued

    The Federal Housing Finance Agency (FHFA) has sent to the Federal Register a notice indicating its concern with the proposed use of eminent domain to restructure performing home loans and inviting public input. The agency says it has significant concerns about the use of eminent domain to revise existing financial contracts and the alteration of the value of the companies' .......

    News Round-up 9 August 2012

  • Greek resi criteria updated

    Fitch has updated its criteria assumptions for assessing credit risk in Greek residential mortgage loan pools. While the move isn't expected to impact the current ratings of Fitch-rated transactions, the agency expects negative rating actions based on performance seen to date.

    The main changes relate to worsening house price and default expectations, reflecting the significant deterioration of employment and growth .......

    News Round-up 9 August 2012

  • German resi criteria tweaked

    Fitch has updated its criteria assumptions for German residential mortgage loan pools. The updated assumptions are not expected to result in rating actions on existing RMBS or covered bond transactions.

    Given that there has been no major deterioration on important economic indicators and unemployment is expected to remain at historical low levels, no changes have been made on the foreclosure .......

    News Round-up 8 August 2012

  • REO-to-rent approaches evolving

    In response to inquiries about REO-to-rental transactions, Fitch has offered insight as to how it would consider key risks associated with the securitisation of single-family rental properties (SFRs). A securitisation framework has yet to be developed for the asset class and the agency notes that its approach is still evolving.

    With the private label RMBS market stalled and the number .......

    News Round-up 8 August 2012

  • Irish RMBS hit

    Fitch has downgraded 10 tranches from six Irish RMBS transactions and affirmed a further 29 tranches from nine transactions. The downgrades affect Celtic 11, Emerald 4, Kildare, Pirus and Lansdowne 1 and 2, given that more recent deals benefit from higher levels of credit enhancement. The outlook on all tranches remains negative due to the ongoing uncertainty surrounding the Irish .......

    News Round-up 8 August 2012

  • Enhanced granularity offered

    Interactive Data Corporation has enhanced the FINRA-Interactive Data structured trading aggregate reports available in Vantage, its web application. With additional layers of granularity, financial institutions can now obtain a more complete view of trading activity related to securitised products, the company says.

    A new agency hybrid ARMS trade reporting summary and more granular trading tables are now available via Vantage. .......

    News Round-up 7 August 2012

  • REIT recruits securitisation vet

    James Mountain is joining ARMOUR Residential REIT as cfo, effective from the start of next month. He joins from Deloitte & Touche and will replace Jeffrey Zimmer, who will continue to serve as co-ceo and co-chairman alongside Scott Ulm.

    Mountain is currently an industry professional practice director for Deloitte, overseeing the professional and quality control aspects of the firm's practice. .......

    Job Swaps 7 August 2012

  • BNY builds RMBS group

    BNY Mellon Capital Markets has recruited an eight-person RMBS team from Ally Securities. The team will be led by Dave Piersol as head of MBS sales and Joe Gaziano as head of MBS pass-through trading.

    Piersol held senior sales roles at JPMorgan, Bank of America, Greenwich Capital and Morgan Stanley before Ally. Also joining the sales team are David Clifford, .......

    Job Swaps 7 August 2012

  • More arrivals for Gleacher

    Gleacher & Company Securities has further boosted its MBS and rates team. Michael Lanigan joins as md while David Philbin joins as director, following hot on the heels of a team of seven others recruited at the end of last month (SCI 31 July).

    Lanigan becomes head of MBS and rates sales for the Chicago office. He was most recently .......

    Job Swaps 7 August 2012

  • Junior SIV ratings hit

    S&P has lowered its credit ratings on all of Mazarin Funding's junior senior notes. These rating actions include the correction of an administrative error on the series 2010-21 junior senior notes. At the same time, the agency has affirmed all of the SIV's A-1+ short-term ratings on the commercial paper programmes and repurchase agreement notes and the triple-C minus ratings .......

    News Round-up 6 August 2012

  • Secondary RMBS levels up

    US non-agency RMBS bid-list activity was yesterday slightly down on the prior session, but still remained active. SCI's PriceABS BWIC data shows that spread levels held firm, however, with certain names being talked up.

    A couple of line items particularly catch the eye. The AMSI 2003-13 M1 tranche had been talked at low/mid-70s on Wednesday before being talked .......

    News Round-up 3 August 2012

  • Italian sovereign ceiling lowered

    Moody's has downgraded to A2 the ratings of 257 securities across 169 Italian ABS and RMBS. It has also placed on review for downgrade the ratings of 83 Italian ABS and RMBS securities and confirmed the ratings of four Italian RMBS securities.

    The rating downgrades follow Moody's decision to lower the Italian country ceiling to A2, in connection with its .......

    News Round-up 3 August 2012
×