RMBS

  • 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

  • Currency conundrum

    Kazakh RMBS highlights EM ABS redenomination risks

    A decision by the Supreme Court of Kazakhstan to prevent the indexation of mortgage balances to the US dollar has highlighted the continuing legal and currency risks involved in emerging market securitisations, particularly during time of economic stress. Meanwhile, prospects for new cross-border RMBS from Russia and the CIS remain dim, but the domestic market continues to progress.

    The Supreme .......

    News Analysis 5 March 2012

  • Broker fined for CMO fraud

    The former ceo of Brookstreet Securities Corp has been ordered by a federal judge to pay a maximum US$10m penalty in a securities fraud case. The US SEC had brought charges against Stanley Brooks and Brookstreet for systematically selling risky MBS to customers with conservative investment goals (SCI 16 December 2009).

    The SEC says Brooks and Brookstreet developed a programme .......

    Job Swaps 5 March 2012

  • Housing finance framework unveiled

    The National Association of Home Builders (NAHB) has put forward what it describes as a comprehensive framework for US housing finance reform that would transition Fannie Mae and Freddie Mac to a new mortgage securitisation system for single-family and multifamily conventional mortgages. It says the system must include: private, federal and state sources of housing capital; offer a reasonable menu .......

    News Round-up 5 March 2012

  • Dutch RMBS restructured

    NIBC has restructured its Sound II RMBS, effective as of 2 March. Moody's confirms that the restructuring will not result in a reduction or withdrawal of the current ratings on the notes.

    Under the restructuring, new class S notes have been issued against the partial redemption of the class A notes, increasing the credit enhancement available to senior noteholders from .......

    News Round-up 5 March 2012

  • Call for targeted principal reductions

    The benefits that principal reductions may offer need to be weighed against the potential for an increase in moral hazard risk, which may - over time - precipitate higher mortgage defaults, according to Fitch.

    The State Attorneys General recently-announced settlement with major mortgage servicers includes an agreement to offer principal reductions to help struggling borrowers keep their home (SCI passim). .......

    News Round-up 1 March 2012

  • Servicer 'action plans' released

    The US Federal Reserve has released action plans for supervised financial institutions to correct deficiencies in residential mortgage loan servicing and foreclosure processing. It also issued engagement letters between supervised financial institutions and independent consultants retained by the firms to review foreclosures that were in process in 2009 and 2010.

    The action plans are required by formal enforcement actions issued .......

    News Round-up 1 March 2012

  • ML II wound down

    The remaining securities in the Maiden Lane II portfolio have been sold. The New York Fed's management of the ML II portfolio will result in full repayment of its US$19.5bn loan and generate a net gain for the benefit of the public of approximately US$2.8bn, including US$580m in accrued interest.

    In the latest sale, assets with a current face amount .......

    News Round-up 29 February 2012

  • GSE plan 'promising' for agency, non-agency RMBS

    Fitch believes that the FHFA's strategic plan (SCI 22 February) is promising for agency and private label RMBS. It could encourage private capital into the market, improve liquidity, increase transparency and shrink GSE liabilities, the agency says. Additionally, certain facilities already being utilised in the private sector could make several of the proposals less costly and provide for a shorter .......

    News Round-up 29 February 2012

  • Increased MVD for Brazilian RMBS

    Fitch has updated its rating criteria for assessing credit risk in Brazilian RMBS. The changes focus on revised assumptions relating to the estimation of default and recovery rates for Brazilian mortgage portfolios with a more forward-looking approach. The revised assumptions include increased market value decline (MVD) assumptions and increased expected foreclosure frequencies, including adjustments for specific product and borrower characteristics.

    News Round-up 28 February 2012

  • 'Blueprint' trials

    Countrywide settlement moves closer

    Bank of America's US$8.5bn Countrywide RMBS settlement case has returned from federal court to New York state court, likely hastening its approval. A resolution of the settlement is expected to provide a blueprint for similar cases against other large originators.

    Securitisation analysts at Barclays Capital believe that the return of the Countrywide case to New York is preferable to it .......

    News Analysis 28 February 2012

  • Resi exposures weighing on US banks

    Performance of the US banking industry will continue to be weighed down by elevated losses from residential real estate exposure, according to Fitch.

    The agency estimates that the top 20 banks could incur aggregate losses in excess of US$80bn on home equity and one to four family portfolios over the next three years. This estimate represents a loss rate of .......

    News Round-up 27 February 2012

  • Busted swap claim agreed

    ESAIL 2007-PR1 class A noteholders have approved an extraordinary resolution in a meeting held on 17 February that terminates the hedging agreement with Lehman Brothers Holding Inc (SCI 24 January). They have agreed to a stipulated and 'agreed claim amount' of US$106m - believed to only be the second Lehman 'busted swap' transaction to reach an agreed claim amount.

    The .......

    News Round-up 24 February 2012

  • Slow improvement seen in shadow inventory

    The percentage of US residential mortgage delinquencies and new foreclosures started in 4Q11 declined modestly from the previous quarter, as well as from the levels seen a year ago, according to S&P.

    "We believe decreasing delinquencies represent a positive trend for the underlying collateral performance of US RMBS and the housing market's recovery," comments S&P primary research analyst Erkan Erturk. .......

    News Round-up 23 February 2012

  • GSE strategic plan disappoints

    FHFA acting director Edward DeMarco yesterday sent Congress a strategic plan for the next phase of the conservatorships of Fannie Mae and Freddie Mac. However, it appears not to be the concrete plan of action that some were hoping for.

    The FHFA plan builds on DeMarco's February 2010 letter to Congress on the conservatorships and sets forth objectives and steps .......

    News 22 February 2012
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