RMBS

  • 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

  • AOFM unloads RMBS in pricing exercise

    The Australian Office of Financial Management (AOFM) says it has sold US$50m of RMBS so far this month. The assets were fixed rate bullet securities with a maturity due in November 2016.

    The sale was made at an effective margin of 132bp over the interpolated swap rate. This compares with a margin of 150bp over the five-year swap rate when .......

    News Round-up 19 March 2012

  • Fed's role in agency MBS discussed

    The Fed is to continue reinvesting principal payments from its holdings of agency debt in agency MBS. A new study illustrates that the Fed's actions have been a major technical factor in the agency MBS market.

    The Fed's MBS reinvestment programme has been a net buyer of US$136bn of agency MBS since October 2011, according to MBS strategists at RBS. .......

    News 15 March 2012

  • Forbearance fears

    European principal forgiveness schemes unnerve investors

    Ireland and Spain are set to introduce new debt forgiveness legislation in the coming months that will not only impact their domestic mortgage markets, but may also have ramifications for the associated RMBS. Investors are keeping a close eye on developments, particularly with regards to whether the forbearance measures become compulsory.

    "Potential debt forgiveness programmes in Ireland and Spain are .......

    News Analysis 14 March 2012

  • SEC charges ex-Thornburg executives

    The US SEC has charged former executives at Thornburg Mortgage Inc with hiding the company's deteriorating financial condition at the start of the financial crisis. It says the executives engaged in a scheme to deceive Thornburg's auditor and investors into believing that the company had successfully met all its margin calls.

    Former ceo Larry Goldstone, cfo Clarence Simmons and chief .......

    Job Swaps 14 March 2012

  • NCUA RMBS settlement reached

    The NCUA and HSBC have reached a settlement regarding potential claims relating to the sale of RMBS to five failed wholesale credit unions. HSBC has agreed to pay NCUA US$5.25m.

    NCUA will use the net proceeds from the settlement to further reduce assessments being charged to credit unions to pay for the losses. The association has received a total of .......

    Job Swaps 13 March 2012

  • New role for former Dynamic Credit ceo

    James Finkel has been appointed as leader of Duff & Phelps' financial crisis disputes practice, based in New York. He was previously leader of the firm's complex asset solutions team.

    Finkel has more than 25 years of experience within structured finance and joined Duff & Phelps in late 2010 as part of the acquisition of the US consulting business of .......

    Job Swaps 13 March 2012

  • AG settlement impact illuminated

    Further details have emerged on the US$25bn servicer settlements that the US federal government and attorneys general agreed with Ally, Bank of America, Citibank, JPMorgan and Wells Fargo (SCI 15 February). The largest impact is expected to be on deals serviced by Bank of America.

    The settlements have been filed for approval in federal court. The documents cast light on .......

    News 13 March 2012

  • Subprime RMBS review completed

    Fitch has completed its review of the US subprime RMBS sector, covering 10,380 classes across 1,143 transactions. The agency has affirmed 86% of the classes, downgraded 12% and upgraded less than 1% as a result.

    Of the downgrades, 93% were by 1-2 notches. Of classes with an outlook, 94% of downgraded classes were on rating watch or outlook negative prior .......

    News Round-up 13 March 2012

  • MBS CCP to launch next month

    The US SEC has approved the DTCC's application to operate a new central counterparty designed to reduce risk and costs in the US agency MBS market (SCI 13 December 2011). Starting on 2 April, the MBS division of DTCC's Fixed Income Clearing Corporation (FICC) subsidiary will begin guaranteeing settlement of all of its members' matched MBS trades and introduce pool .......

    News Round-up 13 March 2012

  • Further action plans released

    The Federal Reserve Board has released action plans for three supervised financial institutions - HSBC North America Holdings, Ally Financial and IMB HoldCo - to correct deficiencies in residential mortgage loan servicing and foreclosure processing (SCI passim). It also released the engagement letter between HSBC and the independent consultant the bank retained to review foreclosures that were in process in .......

    News Round-up 9 March 2012

  • Dealers drive RMBS prices up

    European primary RMBS issuance may have been limited lately, but spreads in the secondary market have tightened considerably. Dealers have been driving secondary prices up and one trader believes that spreads may tighten even further.

    The trader is very positive about the secondary market and says the tone is "really positive". He notes: "Dealers before were complaining about lack of .......

    Market Reports 8 March 2012

  • Gap grows in resi liquidation rates

    The large difference in liquidation rates between US states grew during 4Q11, according to S&P. The agency notes that the increasing timelines are primarily due to extreme foreclosure delays in states with judicial foreclosure procedures, with the number of estimated months needed to clear the supply of distressed homes rising by two months to 47 months.

    "The volume of these .......

    News Round-up 8 March 2012

  • ML II assets revealed

    Empirasign has filed a successful Freedom of Information Act request and obtained the contents of the secret auction of Maiden Lane II securities that took place on 19 January. In a highly unusual move, participants in this auction were required to sign a non-disclosure agreement to keep the list contents and execution prices confidential for one year. The list comprises .......

    News Round-up 8 March 2012

  • LCR uncertainty removed?

    A new marked-up version of CRD IV has sparked hopes that high quality RMBS will be included as an eligible asset under the liquidity coverage ratio (LCR) after all. A version of the draft directive published in late January contained language that, while initially raising optimism about the prospect, ultimately caused confusion.

    The latest 816-page draft appears to remove this .......

    News 8 March 2012

  • EMEA RMBS losses remain low

    Only a single EMEA RMBS transaction has realised losses to date, according to Fitch, with total credit losses in the sector expected to remain low. Transaction performance varies across vintages and jurisdictions, but the dominant prime UK and Dutch RMBS sectors aren't expected to generate any losses.

    "Credit losses for EMEA RMBS transactions - both realised and expected - are .......

    News Round-up 7 March 2012

  • European housing recovery predicted next year

    S&P anticipates a significant recovery in European housing markets in 2013, as the macroeconomic situation improves and unemployment rates start to fall. The agency believes this will boost both consumer demand and valuations for residential property.

    "In our view, the UK, Germany and France remain the largest and most attractive developed housing markets, while Russia is the most prominent emerging .......

    News Round-up 7 March 2012

  • FHA refi changes announced

    President Obama has announced changes to the FHA streamlined refinance programme, which the market has been expecting for some time (SCI passim). The changes are intended to spur refinancing by exempting borrowers from certain payment requirements.

    The plan will see borrowers whose loans were originated before 1 June 2009 pay an annual mortgage insurance premium (MIP) after refinancing of 55bp, .......

    News 7 March 2012

  • Trading vet resurfaces

    Alan Packman has joined Knight Capital Group as head of structured credit trading. Packman was most recently at UBS Investment Bank, where he was head of CDO trading for Europe.

    The trader has considerable experience across structured finance and has previously worked at Aladdin Capital Management, Hoare Capital Markets, Dresdner Kleinwort, Lloyds TSB and WestLB trading ABS, MBS, CDOs and .......

    Job Swaps 6 March 2012

  • MBS vet becomes REIT president

    Byron Boston has been promoted to president and appointed to the board of directors at Dynex Capital. He joined Dynex four years ago as cio and will retain those duties alongside his new role.

    Boston has three decades of experience in the industry, having begun as a banker and MBS trader for Chemical Bank, Credit Suisse First Boston and Lehman Brothers. .......

    Job Swaps 6 March 2012

  • Fannie loan-level data released

    Fannie Mae has released loan-level data for its newly issued single-family MBS as part of its loan-level disclosures initiative.

    "We believe that disclosing loan-level data is an important step towards meeting our investors' desire for enhanced transparency," comments Laura Simmons, vp MBS disclosure policy and operations. "In subsequent releases, we expect to be able to provide additional data elements in .......

    News Round-up 5 March 2012
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