RMBS

  • MILAN methodology updated

    Moody's has published updated assumptions and methodology used in its MILAN RMBS collateral analysis model, following its RFC on the proposals (SCI 9 December 2011). The ratings of 27 EMEA RMBS transactions are negatively affected as a result.

    Key changes to the methodology include: the introduction of a transaction minimum credit enhancement level; an updated approach to determine house-price stresses; .......

    News Round-up 7 June 2012

  • Alt-A RMBS ratings targeted

    Fitch has reviewed over 10,000 classes in 751 US Alt-A RMBS transactions. The agency is also set to release a revised mortgage loss model for the Alt-A sector within the next two months.

    As a result of the review, the agency has: affirmed 82% of the classes; downgraded 9%; and placed on rating watch negative 9%. Of the downgrades, 99% .......

    News Round-up 7 June 2012

  • Aussie RMBS performance report debuts

    Moody's has introduced a new quarterly report tracking the performance of the Australian RMBS market. The first report contains performance data for 1Q12, covering the prime and non-conforming sectors.

    "In response to investor feedback, the report is excel-based and covers the delinquency and loss performance of Moody's-monitored RMBS transactions, as well as several other key indicators," says Alena Chen, a .......

    News Round-up 7 June 2012

  • Greek country ceiling lowered

    Moody's has downgraded to Caa2 the ratings of the most senior securities in nine Greek structured finance (SF) transactions and to Caa3 the ratings of subordinated securities in six transactions. Moody's also placed all the Caa2 andCaa3 ratings of Greek SF securities under review for further downgrade.

    The rating actions follow Moody's lowering of its Greek country ceiling to Caa2 .......

    News Round-up 6 June 2012

  • RFC issued on mortgage data

    The Consumer Financial Protection Bureau (CFPB) is seeking public comment on new data and information that it has received as part of the Dodd-Frank Act's requirement for lenders to assess consumers' ability to repay mortgage loans before extending them credit.

    The CFPB has received data from the FHFA tracking the performance of loans purchased or guaranteed by Fannie Mae and .......

    News Round-up 6 June 2012

  • FINRA issues fine for fraudulent CMOs

    FINRA has fined Brookstone Securities US$1m for fraudulent CMO sales to unsophisticated, elderly and retired investors. Brookstone ceo Antony Turbeville and broker Christopher Kline have also been fined, with total restitution to customers of US$1.6m.

    FINRA found that Turbeville and Kline intentionally made fraudulent misrepresentations and omissions to elderly and unsophisticated customers regarding the level of risk associated with CMOs .......

    Job Swaps 6 June 2012

  • Industry vet to build investment platform

    Mark Howard-Johnson has joined BlackRock to lead the development of the firm's new investment platform. He becomes global head of real estate securities management and his first priority will be to build out the team, with half a dozen more hires expected this year.

    The new global real estate securities team will work closely with BlackRock's existing real estate research .......

    Job Swaps 6 June 2012

  • Aussie RMBS, LMI reviewed

    Moody's has released its updated residential mortgage loss model for Australia. At the same time, it has announced reviews for possible downgrade of Australian RMBS transactions and lenders' mortgage insurer (LMI) ratings.

    The agency notes that while risk scenarios involving a sharp correction in the housing market are unlikely to eventuate, they are plainly identifiable and would present a considerable .......

    News Round-up 31 May 2012

  • High time for hybrids

    Agency hybrid ARMs provide compelling investment case

    Investors are having to work harder to find value in the US RMBS market. CMOs are becoming steadily less attractive, but agency hybrid ARMs - relatively cheap, with superior yield - could provide a neat solution.

    The past couple of years has seen steady agency ARM issuance of around US$1bn-US$2bn a month. "That is a lot less than a few .......

    News Analysis 25 May 2012

  • Working Group given new resources

    The RMBS Working Group has launched a new website to report fraud and established a coordination team to facilitate the various investigations underway around the US.

    "The RMBS website is a new call to those insiders who know about fraud that occurred in the RMBS market, who know it's time to expose that fraud, and who want to help us .......

    News Round-up 25 May 2012

  • Equity supporting Canadian house prices

    Average Canadian households can withstand a housing price decline of 40%, according to a new DBRS study. However, increasing household leverage and stretched housing affordability remain a concern.

    By the end of 2011, the average Canadian home price had appreciated by 141%, but aggregate national mortgage debt had grown by 374% to C$1.1trn. Total household debt, including HELOCs, had also .......

    News Round-up 25 May 2012

  • Slow summer for Euro ABS

    It has been a fairly quiet couple of weeks for European ABS, but liquidity could suffer further as the summer progresses. Unfolding events in Greece and the implementation of the ECB's loan-level data initiative are both expected to put a dampener on activity.

    "The ABS market has been pretty quiet for a bit and there is not a huge amount .......

    Market Reports 24 May 2012

  • Redenomination risk analysed

    Redenomination risk should be factored into bond valuations for Greece, Ireland and Portugal at the very least, according to European asset-backed analysts at RBS. They outline in recent research a number of potential consequences of any eurozone break-up and redenomination.

    First, the RBS analysts note that the immediate consequence of redenomination would be that mortgages - which are local contracts .......

    News 24 May 2012

  • Rep and warranty suits filed

    The FDIC, as receiver for Citizens National Bank and Strategic Capital Bank, has filed three separate lawsuits against a group of major banks - including JPMorgan, Citi, Bank of America Merrill Lynch, Credit Suisse, Deutsche Bank, Ally Financial, RBS, HSBC and UBS. The agency alleges that the banks made numerous misrepresentations and omissions regarding the credit quality of loans underlying .......

    News Round-up 24 May 2012

  • Pricing service adds CMBS

    Markit has added US CMBS to its evaluated bond pricing service. CMBS prices will be supplied by Trepp.

    With the addition of CMBS, Markit now offers access to independent prices across the whole universe of US structured finance securities. The move comes as the changing regulatory and accounting environment - along with the intense focus on transparency - have increased .......

    News Round-up 23 May 2012

  • GSE buyout concerns raised

    Freddie Mac has announced US$330m of buyouts from various pools due to the resolution of certain "contractual matters". The move is likely to renew concerns about buyouts driven by policy changes.

    While full details on all pools affected by the buyouts were not released, Freddie provided a list of pools for which the share of balance to be bought-out exceeded .......

    News Round-up 23 May 2012

  • AIREM disruption due

    Principal payments for Aire Valley UK RMBS are likely to be disrupted over the next couple of months by a £72.5m reserve drawing to meet the expected maturity date of the last bullet bond in April. European asset-backed analysts at RBS note that the drawing will be recouped from principal receipts (accounting for £30m) and excess spread (£4.6m) until it .......

    News Round-up 23 May 2012

  • Citi given RMBS fine

    FINRA has fined Citigroup Global Markets US$3.5m. The fine is for providing inaccurate mortgage performance information, supervisory failures and other violations relating to its subprime RMBS. Citi has neither admitted nor denied the charges, but consented to the entry of FINRA's findings.

    FINRA says Citi posted data for its RMBS deals that it should have known was inaccurate and which could .......

    Job Swaps 22 May 2012

  • FHFA strategic plan released

    The FHFA last week released for public comment its strategic plan for 2013-2017. The plan provides more detail on proposals to increase the guarantee fee and create a new securitisation platform.

    The FHFA reiterated in the strategic plan that increasing guarantee fees addresses its twin goals of shrinking the GSEs' footprint in the mortgage finance market and improving the financial .......

    News Round-up 22 May 2012

  • Specified pool proposal mooted

    SIFMA has responded to the request for comment on FINRA's proposed rule to begin disseminating data for agency MBS traded as specified pools (MBS-SP). The association believes the proposal has the potential to negatively impact participant confidentiality and therefore participant desire to transact in the market.

    The proposal would implement shorter reporting timeframes for MBS-SP (initially two hours, then one .......

    News Round-up 18 May 2012

  • Ambac rehab hearings scheduled

    A hearing in the Rehabilitation Court relating to Ambac Assurance's motion concerning a settlement with the US Internal Revenue Service over the tax treatment of CDS contracts (SCI 28 February) is scheduled for 13 June. Another hearing in the Rehabilitation Court has been scheduled for 4 June, which could see the monoline begin making interim policy claim payments to segregated .......

    News Round-up 18 May 2012
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