RMBS

  • Euro ABS catches its breath

    The European ABS market has been taking a bit of a breather over the last couple of weeks but remains active. Spreads have generally only widened very slightly, with prime RMBS even tightening.

    "It seems to have been a little quieter than it had been. All of April has been quieter than the first quarter of the year was. A .......

    Market Reports 26 April 2012

  • Mixed fortunes for Euro, US primary markets

    A marked divergence in structured finance issuance trends over the past three months has been highlighted by the latest rankings in the SCI league tables for bank arrangers in the structured credit and ABS markets.

    The 1Q12 SCI league tables show that the US has seen a jump in issuance to US$78bn versus US$58bn in 1Q11, whereas Europe has seen .......

    News Round-up 25 April 2012

  • UK master trusts winding down

    Lloyds TSB has reportedly purchased at par plus accrued interest its target amount, which was undisclosed, of Mound and Pendeford RMBS notes under the recent tender offer (SCI 20 March). Together with the redemption of a number of Lothian bonds yesterday, the move is expected to result in the number of UK master trusts dropping from eight to five by .......

    News Round-up 25 April 2012

  • Solid progress

    Mix of US mortgage funding sources eyed

    The pricing of four non-agency RMBS transactions over the last month suggests solid progress in the space. However, it is becoming clear that the future of mortgage finance in the US depends on a more diverse mix of funding sources.

    CSMC Trust 2012-CIM1, Prudential Covered Trust 2012-1, Sequoia Mortgage Trust 2012-2 and Springleaf Mortgage Loan Trust 2012-1 have all priced .......

    News Analysis 25 April 2012

  • Article 77 proceeding gets go-ahead

    The Supreme Court of the State of New York determined, at a hearing held yesterday on the US$8.5bn Countrywide settlement, that BNY Mellon can move ahead with an Article 77 proceeding. The alternative would have seen the case being heard through a plenary action.

    The Article 77 proceeding is expected to narrow the scope of discovery and shorten the timeframe .......

    News Round-up 25 April 2012

  • Mexican RMBS opportunity outlined

    Fitch believes that the origination of Mexican fixed-rate mortgages and their subsequent peso-denominated securitisation presents an opportunity, albeit with some manageable risks.

    Mexico's state lender Infonavit announced that it will begin originating fixed-rate mortgages in June. Fitch anticipates that peso-denominated RMBS could follow six to 18 months later. While this effort is being promoted by current President Felipe Calderon, the .......

    News Round-up 25 April 2012

  • Subprime originator settles

    The US SEC has charged H&R Block subsidiary Option One Mortgage Corporation with misleading subprime RMBS investors in several offerings by failing to disclose its deteriorating financial condition. Option One, now known as Sand Canyon Corporation, has paid US$28.2m to settle the charges.

    The SEC says Option One promised to repurchase or replace mortgages that breached reps and warranties for .......

    Job Swaps 25 April 2012

  • ML II prices disclosed

    The Federal Reserve last week disclosed the amount it received from Credit Suisse and Goldman Sachs in the Q1 Maiden Lane II auctions. Credit Suisse paid US$6.81bn (52%) on the US$13bn in current face that it purchased in the first and third auctions, while Goldman Sachs paid US$3.53bn (57%) on the US$6.2bn in current face that it purchased in the .......

    News Round-up 24 April 2012

  • Take two for DOURM

    A second Douro RMBS tender offer from Banco BPI was the highlight of last week's European buy-back news. DOURM sent the focus on peripheral RMBS tenders into overdrive in January with the Portuguese market at the time rallying by 6-7 points, yet ultimate take-up at just 7% of bonds outstanding proved to be disappointing (SCI 17 January).

    With prices now .......

    News Round-up 24 April 2012

  • MBIA 'transformation' trial scheduled

    At the 20 April hearing in the New York State Supreme Court (SCI 10 April), Justice Barbara Kapnick ruled that a trial should take place starting on 14 May in the Article 78 action against MBIA and the New York State Insurance Department (NYID) over the US$5bn restructuring of MBIA Insurance in February 2009. Four weeks have been set aside .......

    News Round-up 23 April 2012

  • Non-conforming boost for ABS fund

    Volta Finance, the permanent capital vehicle managed by Axa Investment Managers Paris, has reported a March mark-to-market valuation of +139.1% for its ABS positions, thanks in part to six UK non-conforming ABS deals in its portfolio resuming payment of significant cashflows. The value of these six deals increased by €4.7m or €0.15 per share in March.

    "Thanks to the Bank .......

    News Round-up 20 April 2012

  • Fannie Mae sees robust multifamily issuance

    Fannie Mae issued US$7.1bn of multifamily MBS in 1Q12 backed by new multifamily loans. The agency also resecuritised US$2.6bn of DUS MBS through its Fannie Mae Guaranteed Multifamily Structures (Fannie Mae GeMS) programme in the first quarter.

    "The strength of the Agency CMBS market is evidenced by robust volumes coincident with improving credit quality," says Kimberly Johnson, Fannie Mae vp of multifamily .......

    News Round-up 20 April 2012

  • Short sales positive for US RMBS

    The trend towards more short sales of distressed residential real estate loans in the US is gaining momentum, according to Fitch. The Federal Housing Finance Agency's (FHFA) recent announcement that government-sponsored enterprises (GSEs) will implement rules to expedite short sales should further drive activity.

    "Expanded use of short sales could be positive for RMBS trusts, as this strategy could improve .......

    News Round-up 20 April 2012

  • Discounted sales weigh on Spanish RMBS

    Fitch reports that achieved sales prices on repossessed properties in Spain are 48% lower, on average, than the valuations conducted at the time of loan origination. The agency has analysed loan-by-loan repossession data on Fitch-rated Spanish structured finance transactions, the majority of which relates to residential properties.

    "The significant discount of achieved sale prices from initial valuations reflects the distressed .......

    News Round-up 19 April 2012

  • Servicer 'clawback' practices in the spotlight

    Morningstar has published a report that sheds light on residential mortgage servicer cashflow management practices, which reimburse them for previous advances from the collection account of current, creditworthy borrowers. The agency notes that such tactics are little known but are becoming increasingly more common.

    These cashflow management practices are allowed when stipulated by pooling and servicing agreements (PSA), but implementation .......

    News Round-up 18 April 2012

  • Spanish scenario analysis released

    Severe mortgage arrears in Spain may rise to a peak of 3.2% by the end of 2012 from 2.8% at the end of 2011, under baseline economic assumptions, according to a new scenario analysis report by S&P. However, in a more pessimistic scenario - where economic conditions worsen more than are currently forecast - the agency's analysis suggests that severe .......

    News Round-up 17 April 2012

  • Minimal EMEA ABS impairments recorded

    Moody's says that EMEA ABS has performed as expected since the onset of the financial crisis. Between 1January 2007 and 31 December 2011, the migration of investment grade securities to impairment/default was minimal.

    Twenty-three EMEA ABS tranches rated investment grade at closing across 14 transactions became impaired during the period, amounting to 1% of 2,127 investment grade EMEA ABS tranches .......

    News Round-up 17 April 2012

  • Paragon pension claim possible

    Moody's has updated its analysis of potential legal risks in transactions originated by members of The Paragon Group to take into account recent legal developments. The agency finds that the risk of a Paragon SPV being subject to a pensions claim is not sufficiently remote as to be excluded from its ratings analysis. However, it considers the risk of a .......

    News Round-up 16 April 2012

  • AEGON eyes dollar demand

    AEGON Levensverzekering is in the market with Saecure 11. If - as expected - the transaction includes a US$500m three-year class A1a tranche, it will be the first Dutch RMBS in several years to tap dollar investors.

    Another noteworthy feature of the deal is its long note maturity, reflecting the long maturity dates of a significant proportion of loans in .......

    News Round-up 13 April 2012

  • MBS, ABS heads moving on

    Gleacher & Company Securities' head of MBS, ABS and rates and head of trading for MBS, ABS and rates are both leaving the firm. Robert Fine and Robert Tirschwell will each remain with the company on a temporary basis. Gleacher says it is considering both internal and external candidates for the positions.

    .......

    Job Swaps 13 April 2012

  • Divergent UK mortgage arrears

    Mortgage arrears in the UK are rising faster in the north of the country than in the south, says S&P. 4Q11 data from a sample of 1.5 million loans backing UK RMBS shows mortgage borrowers in the north are around 30% more likely to be in arrears than those in the south.

    The equity positions of UK borrowers have also .......

    News Round-up 11 April 2012
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