RMBS

  • 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

  • MBIA probe mooted

    The Senate Insurance and Investigations & Government Operations Committees are considering conducting an inquiry and holding hearings related to MBIA Insurance Corp's 2009 restructuring that was approved by the former New York State Insurance Department. The move is in connection with litigation alleging that MBIA withheld material information from the State Insurance Department when the monoline sought the Department's approval .......

    News Round-up 17 May 2012

  • High severities likely for some Irish RMBS

    Moody's anticipates loan loss severities of up to 70% for some Irish RMBS. The agency notes that the steep decline in Irish house prices in recent years has dramatically increased LTV levels of Irish mortgages, pushing the majority of borrowers "alarmingly deep" into negative equity.

    While loan loss severity estimates for Irish RMBS differ considerably from transaction to transaction, losses .......

    News Round-up 16 May 2012

  • Strong take-up for Sabadell tender

    Banco Sabadell has announced the results of its 41-bond tender offer. Investors appear to have participated strongly, driven largely by eurozone concerns.

    The tender consisted of 21 RMBS, six ABS and 14 CLOs across both Banco Sabadell's own transactions and also from Caja de Ahorros del Mediterráneo transactions. The bank indicated it would consider purchasing up to €200m of its .......

    News Round-up 16 May 2012

  • Principal reduction impact analysed

    Fitch reports that principal reductions are unlikely to change long-term ratings for US RMBS.

    The agency notes that most ratings for transactions with the largest potential for reductions are already distressed. Further, the settlement target of at least US$10bn in principal reductions represents just 10% of underwater principal in non-agency RMBS. Finally, servicers are likely to look to their own .......

    News Round-up 16 May 2012

  • Credit linkage approach explained

    Moody's has commented on its approach to evaluating the impact of global and European bank credit deterioration on structured finance (SF) securities. The move follows the announcement on 15 February that it had placed on review for downgrade the ratings of 114 European banking groups and additional non-European firms with large capital market franchises.

    A deterioration in the credit quality .......

    News Round-up 16 May 2012

  • Credit analyst moves on

    Guillaume Langellier has joined Friends Life as ABS credit analyst. He is responsible for buy-side credit research on consumer ABS, RMBS, CMBS and WBS.

    Langellier was most recently at Aviva Investors where he was also a credit analyst. Prior to that he worked at Fitch as head of WBS and he has also held posts at Lazard, UBS Warburg and .......

    Job Swaps 15 May 2012

  • Rescap MSR sale welcomed

    Rescap's Chapter 11 filing (SCI 14 May) is being seen as an overall positive for holders of MBS issued by Rescap entities. MBS analysts at Barclays Capital note that the sale of the Rescap mortgage servicing rights to Fortress means bondholders are highly unlikely to see any significant disruption in cashflows.

    "The sale effectively removes the uncertainty that a splintering .......

    News 15 May 2012

  • ResCap files for bankruptcy

    Residential Capital has filed voluntary petitions for relief under Chapter 11. The move is one of a number of strategic actions being taken by Ally Financial to strengthen its longer-term financial profile and accelerate repayment of the US Treasury's investment.

    "The action by ResCap will enable Ally to achieve a permanent solution to its legacy mortgage risks and put these .......

    News Round-up 14 May 2012

  • Safe-haven status

    Euro ABS bolstered by UK building societies

    The European securitisation sector is proving largely immune to volatility in broader risk markets, with senior vanilla spreads tightening over the past month to finish some 15bp-20bp inside of end-Q1 levels. Sterling-denominated RMBS accounts for nearly a third of this year's issuance volumes, notably driven by UK building societies - issuers that are set to become an important alternative to .......

    News Analysis 14 May 2012

  • Allonhill dropped as OCC consultant

    The OCC has directed Allonhill to cease reviewing files related to the Independent Foreclosure Review as a primary independent consultant or subcontracted consultant. The OCC took this action after Allonhill reported work for third parties that the OCC determined to be inconsistent with the independence requirements for independent consultants.

    The work at issue involved prior review for third parties of .......

    Job Swaps 14 May 2012

  • Aire Valley breaches NAT

    Bradford & Bingley's Aire Valley UK RMBS master trust has breached its non-asset trigger, after the collateral balance fell below the £10.7bn minimum. Secondary market liquidity for the paper is consequently expected to rise, as repayment prospects for different note series become aligned.

    Aire Valley comprises six issuers and nine issuances of outstanding notes. It is a fully socialist master trust, .......

    News 11 May 2012

  • Cheyne UCITS funds minted

    Cheyne Capital Management has launched two UCITS IV-compliant funds - the Cheyne Global Credit Fund and the Cheyne European Real Estate Bond Fund. The UCITS funds have been launched in response to investor demand and their investment portfolios are based on those of two existing flagship Cheyne strategies.

    Both funds offer weekly liquidity. The Cheyne Global Credit Fund is actively .......

    News Round-up 11 May 2012

  • Negative equity impact underlined

    US house prices are expected to remain around current levels for the remainder of this year and begin rising slowly during 2013 and 2014. However, credit risk will remain elevated even for seasoned loans, with borrower equity the key determinant in terms of RMBS performance.

    US house prices have stabilised in so far as they've stopped falling like a rock, .......

    News 10 May 2012

  • Countrywide discovery schedule agreed

    The New York state court hearing the US$8.5bn Countrywide RMBS settlement case reached an agreed discovery schedule that reduces the possibility of a protracted legal process, according to ABS analysts at Barclays Capital. Interveners in the case, such as Walnut Place, had requested thousands of loan files from Countrywide in the discovery process to help bolster their case that the .......

    News Round-up 10 May 2012

  • BWIC service launched

    SCI has today launched a BWIC service covering auctions in Europe and the US for the four main structured finance asset classes - ABS, CDOs/CLOs, CMBS and RMBS.

    The platform has been updated on a daily basis with BWIC prices/covers representing a range of collateral since 1 May. It already includes nearly 500 prices and the SCI site now has .......

    News 10 May 2012

  • Spanish ABS hit by sovereign downgrade

    S&P has taken various credit rating actions on 98 tranches in 85 Spanish securitisations. The move follows the lowering of the agency's long-term sovereign rating on the Kingdom of Spain to triple-B plus from single-A in light of the country's deteriorating economic conditions

    Specifically, S&P has: lowered its ratings on 53 tranches in 50 RMBS; lowered and kept on credit .......

    News Round-up 9 May 2012

  • Spanish RMBS stress tested

    Most Spanish RMBS show resilience to a further collapse in house prices and a jump in mortgage defaults under two stress tests that Fitch put the transactions through. The two scenarios aim to demonstrate the stress required over the next three years to see multi-category downgrades of the agency's Spanish RMBS ratings, including most of the triple-B and triple-A rated .......

    News Round-up 9 May 2012

  • Shadow inventory exhibits regional variation

    S&P's estimate for the time it will take to clear the shadow inventory in the US fell by one month to 46 months in 1Q12. Although national residential mortgage liquidation rates appeared stable during the quarter, they varied widely between states, preventing significant reduction in the agency's months-to-clear estimate.

    The regional variations in the speed at which servicers can clear .......

    News Round-up 9 May 2012

  • Pricing service rolled out

    RiskSpan has added daily independent pricing for structured securities to its offering of risk management services. The new service incorporates constant calibration utilising an audit-compliant process to generate pricing for structured securities. It covers RMBS, CMBS, ABS, agency pass-throughs, agency CMOs, mortgage whole loans, CDOs and Trust Preferred securities.

    .......

    News Round-up 8 May 2012

  • REO-to-rent deals in the works?

    S&P reports that the US Federal Housing Finance Agency's REO-to-rent programme, which aims to help clear the inventory of foreclosed REO properties from Fannie Mae and other government-sponsored entities, has captured the attention of the securitisation market.

    The programme began soliciting bids from qualified investors on approximately 2,500 properties in eight of the hardest-hit metropolitan areas earlier this year. And, .......

    News Round-up 8 May 2012
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