RMBS

  • Non-agency payout discrepancies analysed

    Discrepancies between expected cashflows on non-agency RMBS based on collateral and actual bond payouts have increased over the past few years. If measured versus a very simplistic CRR/CDR framework, the differential can be as much as 15%-20%, according to MBS analysts at Barclays Capital.

    Such discrepancies, if not corrected, manifest themselves as over-predicting or under-predicting the cashflow on bonds. The .......

    News Round-up 5 April 2012

  • FINRA fines broker for CMO mark-ups

    A FINRA hearing panel has ruled that David Lerner Associates (DLA) charged excessive mark-ups on municipal bond and CMO transactions. DLA has been fined US$2.3m and ordered to pay restitution of more than US$1.4m plus interest.

    DLA head trader William Mason has also been fined US$200,000 and suspended from the securities industry for six months. FINRA found that DLA and .......

    Job Swaps 5 April 2012

  • Warring over reps

    Countrywide settlement could open floodgates

    The US$8.5bn Countrywide settlement is the only sizeable potential RMBS representation and warranty recovery achieved so far. The key to the success of other such settlements is whether trustees follow BNY Mellon's lead and be more proactive.

    The Countrywide settlement has been back and forth through the courts and is still subject to judicial approval (SCI 28 February). The process .......

    News Analysis 4 April 2012

  • Securitised products team reorganised

    Dale Westhoff is changing roles within Credit Suisse to focus on Locus, the bank's fixed income analytics platform for interest rate products, derivatives and structured products. He will work alongside George Oomman.

    Westhoff previously led Credit Suisse's securitised products research team. He will be succeeded by Roger Lehman, who will take the position alongside his current role as lead CMBS .......

    Job Swaps 3 April 2012

  • Strong performance for new US RMBS

    The early performance of recently issued US RMBS transactions has been strong thus far, reflecting the high credit quality of the underlying mortgage pools, according to Fitch. Only a single borrower is delinquent of the approximately 1,800 newly-originated prime loans securitised in five Redwood Trust private-label transactions since the start of 2010. The agency expects the status of the single .......

    News Round-up 2 April 2012

  • DLJ RMBS credit enhancement 'insufficient'

    Credit Suisse is in the market with a US$730.44m prime RMBS - CSMC Trust 2012-CIM1 - backed by mostly seasoned first-lien, fixed-rate mortgage loans secured by single-family residences. Fitch believes, however, that the credit enhancement amounts indicated for the transaction are insufficient to reach the proposed ratings - particularly at the triple-A level.

    The agency was asked to provide feedback .......

    News Round-up 2 April 2012

  • Aire Valley nears NAT

    The latest investor report for Aire Valley, Bradford & Bingley's UK RMBS master trust, indicates that it could start to wind down in 2Q12. The transaction will breach its non-asset trigger (NAT) and begin sequential amortisation when the outstanding collateral balance falls below £10.7bn. The balance stood at £10.8bn this month.

    .......

    News Round-up 29 March 2012

  • Royal Decree to have divergent effects

    The recent Royal Decree will result in a higher incidence of payment in kind arrangements in the Spanish mortgage market, whereby banks take ownership of the property and borrowers' mortgage loan obligations are terminated. However, the impact on securitisation transactions remains unclear, Fitch says.

    The agency believes that the decree will produce two distinct and opposite effects on the Spanish .......

    News Round-up 29 March 2012

  • High participation seen in Spanish tender

    Bankia's Spanish RMBS tender offer - comprising 17 tranches over 12 CAJAM, BCJAF and BCJAM transactions - has resulted in a higher take-up than even the bank anticipated. Bankia had offered to purchase up to a maximum nominal value of €1bn via an unmodified Dutch auction, but investors tendered €2.38bn across all of the tranches, prompting it to repurchase a .......

    News Round-up 28 March 2012

  • Unusual RMBS-backed bond issued

    A unit of Prudential Financial has issued an unconventional bond that is backed by a pool of legacy RMBS, but where the firm guarantees principal and interest payments. Fitting into neither RMBS nor covered bond categories, Prudential Covered Trust 2012-1 has been rated single-A by S&P and is said to have been issued earlier this week into the US market.

    News 28 March 2012

  • Tri-state mortgage delinquency tool launched

    The New York Fed has introduced a new interactive online tool providing mortgage delinquency and foreclosure information for each county in New York, New Jersey and Connecticut. The utility presents analysis of the housing market in the tri-state region from September 2007 through to December 2011, providing information about the percentage of loans in foreclosure as well as those that .......

    News Round-up 28 March 2012

  • US RMBS volatility subsides

    The volatility seen in US RMBS last week appears to have calmed down for the start of this one. However, supply in both agency and non-agency paper remains robust.

    "Agency MBS widened at the end of the week as investors took profits and there was heavier supply from originators. There is significant risk to the basis if the market sells .......

    Market Reports 27 March 2012

  • Unexpected increase in Aussie RMBS delinquencies

    Fitch reports that delinquencies in Australian prime RMBS unexpectedly increased to 1.57% in 4Q11 from 1.52% the previous quarter, despite a stable environment in terms of interest rates, economy and unemployment. The increase in the agency's Dinkum Index was mainly driven by a rise in the 30-59 day bucket, indicating that new borrowers are facing affordability constraints.

    Moreover, the Dinkum .......

    News Round-up 27 March 2012

  • Home prices set to bottom earlier

    Mortgage strategists at Bank of America Merrill Lynch estimate that - aside from seasonal swings - the bottom of the cycle in US home prices should be reached this quarter. They expect roughly flat home prices this year and next, with modest growth in 2014.

    "Although we are still not expecting as the base case meaningful increases in home values .......

    News 26 March 2012

  • Foreclosure timelines set to increase

    Foreclosure timelines will continue to lengthen, according to Moody's latest RMBS Servicer Dashboard report. The average timeline as of 31 December 2011 stood at 654 days in judicial states and 297 days in non-judicial states.

    "As these aged foreclosures work their way through the foreclosure process, we expect to see these timelines continue to increase," says William Fricke, a Moody's .......

    News Round-up 23 March 2012

  • Regional ERF differences persist

    Fitch has published the 1Q12 economic risk factors (ERFs) applied in its prime residential mortgage loan loss model.

    Default risk - though still elevated - continues to decline since peaking in mid-2007 and economic indicators are showing positive momentum, the agency notes. However, the ongoing housing correction and the high number of long-term unemployed continue to weigh on the recovery.

    News Round-up 23 March 2012

  • Assured hits back

    Assured Guaranty has responded to the placement of its debt ratings and insurance financial strength ratings under review for possible downgrade by Moody's. The agency cites constrained business opportunities for financial guaranty insurance and continued economic stress for US municipal, mortgage and European exposures.

    Assured says it has been working with Moody's for some time, emphasising the improvements in its .......

    News Round-up 21 March 2012

  • Rating triggers waived

    Noteholders in the RMAC 03-NS1, 03-NS2, 03-NS3, 03-NS4, 04-NS1 and 04-NS2 RMBS have voted to ignore certain rating-related triggers in the deals, following the downgrade of Barclays - acting as liquidity facility provider - to A-1 from A-1+. Securitisation analysts at S&P view the move as a short-term positive for transaction cashflow but a negative for counterparty risk.

    A waiver .......

    News Round-up 20 March 2012

  • BOS tender announced

    The Bank of Scotland has announced tender offers at par for the class 5A notes from its MFPLC 4 and PENDE 2007-1 RMBS, which close on 2 April. The MFPLC 4 5A tranche is the last outstanding publicly placed note from the Mound Master Trust, due to be redeemed in November 2012, while the PENDE 2007-1 5A tranche is the .......

    News Round-up 20 March 2012

  • Mexican RMBS criteria updated

    Fitch has updated its rating methodology for assessing credit risk in Mexican residential mortgage loan pools originated by banks and Sofoles/Sofomes that are used as collateral for structured finance transactions. The changes focus on loss given default (LGD) assumptions and primarily reflect the agency's view for a prolonged recovery process and discounted sales levels predicted for the coming years.

    The .......

    News Round-up 19 March 2012

  • Agency MBS portfolio wound down

    The US Treasury Department has completed the orderly wind down of its agency MBS portfolio, generating a positive return of US$25bn for taxpayers. Treasury invested US$225bn in MBS during 2008 and 2009, with taxpayers receiving total cash returns of US$250bn from the portfolio through sales, principal and interest.

    "The successful sale of these securities marks another important milestone in the .......

    News Round-up 19 March 2012
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