RMBS

  • 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

  • LTVs secondary for Japan RMBS delinquencies

    The occurrence of mortgage delinquencies in Japan during the global financial crisis was more closely correlated with employment status than with high LTV ratios, says Moody's. Japanese lending criteria places more emphasis on occupation and income than on LTV ratios.

    Self-employed borrowers or those employed at small enterprises were more affected by the crisis than those at large companies, the .......

    News Round-up 18 July 2012

  • Eminent domain legality questioned

    Mortgage Resolution Partners' (MRP) proposal to use eminent domain to acquire mortgage loans, currently being considered by San Bernardino County and which would be expected to negatively affect private label RMBS (SCI passim), would be unconstitutional, says SIFMA. The association has released a legal memo drafted by O'Melveny & Myers which says the proposal would not survive a legal challenge.

    News Round-up 18 July 2012

  • Rating action taken on Alt-A RMBS

    Moody's has downgraded the ratings of 95 tranches, upgraded one tranche and confirmed another 36 tranches from 20 RMBS transactions, backed by Alt-A loans, issued by Credit Suisse from 2001 to 2004. The actions affect US$1.2bn of securities.

    The actions are a result of the recent performance of Alt-A pools originated before 2005 and reflect Moody's updated loss expectations on .......

    News Round-up 17 July 2012

  • BoE scheme 'RMBS negative'

    The Bank of England has launched its funding for lending scheme (FLS), intended to improve lending to the real economy. While this should be beneficial for SME and mortgage lending, it is likely to have a significant negative impact on the UK RMBS primary issuance market, according to Barclays Capital securitised products analysts.

    The scheme aims to boost the incentive .......

    News 17 July 2012

  • HARP accounts for more refis

    The share of HARP refis as a percentage of total refinancings reached an all-time high of 20% in May. The average from January to April had been 16% and for the whole of 2011 had been 13%, note RMBS analysts at Bank of America Merrill Lynch.

    Within HARP refis, the share of loans with an LTV of 105%-125% increased to .......

    News Round-up 17 July 2012

  • MERS, AG settlement reached

    MERSCORP has reached a settlement with Delaware Attorney General Joseph Biden. MERSCORP has agreed not to file as plaintiff any mortgage foreclosure actions in the state and agreed to quality control and transparency requirements.

    Under the settlement, MERSCORP will more closely monitor the integrity of its signing officer process to avoid a repeat robo-signing and will conduct semi-annual audits, which will be .......

    News Round-up 16 July 2012

  • Ambac RMBS play touted

    The recent decision by the Wisconsin Commissioner of Insurance to pay Ambac non-agency RMBS policyholders 25% of accrued and future claims in cash (SCI 12 June) should provide a significant payment - believed to be about US$800m in total - to many bondholders. These bonds could represent one way of capitalising on a housing market recovery.

    Ambac-wrapped non-agency RMBS are .......

    News 12 July 2012

  • Call for QM safeharbour

    SIFMA public policy and advocacy evp Kenneth Bentsen has testified before the House Financial Services Subcommittee on Financial Institutions and Consumer Credit to discuss the Qualified Mortgage (QM) proposed rulemaking and its impact on the cost and availability of mortgage credit.

    "A broad QM definition with clear parameters and a safe harbour for compliance is vital to ensuring the continued .......

    News Round-up 12 July 2012

  • APAC upgrades outnumber downgrades

    Fitch reports that APAC structured finance upgrades outnumbered downgrades in 2Q12 for the first time in two years. There were 24 upgrades, four downgrades and 267 affirmations during the quarter.

    The upgrades were predominantly driven by stronger-than-expected asset performance and increased available credit enhancement in Australia and India. The limited downgrades in the quarter were mostly to distressed tranches of .......

    News Round-up 12 July 2012

  • Differentiation debated

    Call for renewed focus on RMBS servicing incentives

    Efforts to overhaul residential mortgage servicers' compensation and incentives have been submerged by regulatory rule-making and compliance with the Attorneys General settlement. However, a recently issued commentary calls for renewed focus on this issue, suggesting that the RMBS servicing industry has much to learn from CMBS servicing practices.

    The crux of the commentary, entitled 'All servicers are not created equal: .......

    News Analysis 12 July 2012

  • Restive market seeks 'game changer'

    It has been a quiet spell for the European RMBS market. Demand seems to be outstripping supply, but a recent transaction - Dutch Mortgage Portfolio Loans X - has caught the eye and change could be on the horizon.

    "The lack of issuance is really starting to show," says one trader. "The short end is extremely well bid and trading .......

    Market Reports 11 July 2012

  • Dodd-Frank provisions reviewed

    SIFMA public policy and advocacy evp Kenneth Bentsen yesterday testified before the House Financial Services Subcommittee on Capital Markets and Government Sponsored Enterprises regarding the impact of the Dodd-Frank Act. Specifically, he focused on the implementation of the Volcker Rule, credit risk retention, Title VII and Section 165(e) single counterparty credit limits.

    "It is essential that US regulatory agencies, in .......

    News Round-up 11 July 2012

  • Foreclosure standards improving

    The mortgage settlement between US state attorneys general and the five largest mortgage servicers (SCI passim) has introduced more clarity to foreclosure standards and a marginal impact on private-label RMBS performance thus far, according to Fitch.

    As per the settlement agreed upon five months ago, US$25bn was provided for borrower relief. Of that amount, US$10bn was allotted to principal reductions .......

    News Round-up 10 July 2012

  • ML3 auctions announced

    The New York Fed has announced four more asset sales from the Maiden Lane III vehicle, with bids due by 12 July.

    The first auction comprises three CDO tranches worth US$34.5m. Barclays Capital, Citi, Credit Suisse, Goldman Sachs, Guggenheim Securities, JPMorgan, Bank of America Merrill Lynch, Morgan Stanley, Nomura and RBS Securities have been invited to bid for the collateral.

    News Round-up 10 July 2012

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