RMBS

  • 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

  • Knight grows mortgage credit team

    Knight Capital has hired several former MF Global mortgage credit sales and trading personnel in part of an effort to grow its structured products business. The arrivals boost Knight's existing mortgage credit team and further hires are expected soon.

    Michael Corsi joins as mortgage sales md and Rus Margolin joins as non-agency trading md. Miguel Vazquez and Doug Adelman both .......

    Job Swaps 22 February 2012

  • Langton restructured

    The Langton UK RMBS master trust has been restructured. Under the restructuring, Santander has: repurchased around £18bn of trust collateral; repaid £18.4bn of triple-A rated notes and £3.5bn of unrated Z notes outstanding under the Langton Securities 2008-1 and 2010-1 issuers; and reduced the size of the shared funding reserve fund from £43m to £20.5m. Additionally, the Langton Securities 2008-1 .......

    News Round-up 21 February 2012

  • MBS team boosted

    The PrinceRidge Group has made two additions to its RMBS division. Kate Lee joins from BNP Paribas and Jason Huey joins from Nomura. Both Lee and Huey will report to RMBS head Barry Berkeley.

    Lee joins as a director. She will lead the firm's new issue CMO effort and will also trade mortgage derivatives. Huey joins as a director and .......

    Job Swaps 21 February 2012

  • Chilean RMBS criteria enhanced

    Fitch has updated its rating methodology for assessing credit risk in Chilean residential mortgage loan pools that back RMBS. The main changes focus on a more forward-looking approach, increased market value decline (MVD) assumptions, increased expected foreclosure frequency and adjustments for specific product and borrower characteristics.

    In particular, the updated criteria place an emphasis on Fitch's performance expectations, especially at .......

    News Round-up 20 February 2012

  • Balancing act

    Relative merits of covered bonds versus RMBS discussed

    Interest in covered bonds continues to grow, partly due to favourable regulatory treatment. However, panellists at a recent covered bond seminar hosted by S&P highlighted the potential dangers of over-promoting the instruments at the expense of other asset classes, such as RMBS.

    Neil Calder, head of investments - credit, treasury at the EBRD, noted during the seminar that RMBS transactions .......

    Talking Point 17 February 2012

  • BoE RMBS loan tapes analysed

    UK RMBS issuers began providing loan-level data and cashflow models to investors - as required by the Bank of England (SCI 31 October 2011) - in November. JPMorgan ABS strategists have analysed the loan tapes, with the aim of providing a broader overview of performance trends in the sector, and find that they offer additional clarity into the master trusts.

    News 16 February 2012

  • Italian RMBS stress tested

    Fitch expects that approximately 80% of Italian triple-A rated RMBS tranches would be able to pay in full following a three-year severe recession and collapse of the country's real estate market. The transactions were stress tested against a concurrent doubling of unemployment to around 17%, an increase in interest rates to 9% and residential real estate crash with a 70% .......

    News Round-up 14 February 2012

  • Non-agency RMBS still rallying

    The rally in US non-agency RMBS continued last week, but may now be getting ahead of itself. Subprime prices were up by half a point or a point on the week, while average generic spreads on non-investment grade bonds were between 25bp and 50bp.

    RMBS analysts at Bank of America Merrill Lynch put last week's BWIC volumes at US$1.3bn in .......

    News 13 February 2012

  • AG settlement a 'net positive'

    Fitch believes that the final State Attorneys General settlement agreement with US residential mortgage servicers is a net positive that reduces some uncertainty and is likely to be felt industry-wide. The agreement resolves some of the subject servicer's outstanding liability for process errors, provides additional relief to at-risk borrowers and is another step in formalising servicing industry best practices, the .......

    News Round-up 10 February 2012

  • Modest RMBS impact from AG settlement

    The US federal government and 49 state attorneys general (all states except Oklahoma) have reached a US$25bn agreement with the nation's five largest mortgage servicers to address mortgage loan servicing and foreclosure abuses (SCI passim). The move is expected to have a limited impact on non-agency RMBS modifications, with foreclosure rolls likely remaining slow for the rest of the year.

    News 10 February 2012

  • Subprime principal reduction to proliferate

    The Federal Open Market Committee's expectation of low interest rates through 2014 - while benefiting the US prime mortgage sector - will provide little direct help to subprime mortgage borrowers, according to Fitch. Consequently, subprime borrowers are expected to continue to rely solely on loan modifications for any payment relief.

    Prime borrowers have benefited more from low interest rates than .......

    News Round-up 9 February 2012

  • ML II senior loan repaid

    The New York Fed has sold another slug of assets, with a current face value of US$6.2bn, from its Maiden Lane II (ML II) portfolio through a competitive process to Goldman Sachs. Proceeds from this sale and last month's (SCI 20 January) will enable the repayment of the entire remaining outstanding balance of the senior loan to ML II on .......

    News Round-up 9 February 2012

  • US resi proposals to face 'fierce' opposition

    Fitch says that although some of the changes to the US residential mortgage market recently proposed by President Obama (SCI passim) could be positive, it also believes that some will be neutral and some potentially negative. Most could face fierce political opposition, the agency says.

    Two of the proposals could have a material impact on the market, but their passage .......

    News Round-up 9 February 2012

  • Law firm forms RMBS fraud task force

    K&L Gates has created a new cross-practice task force to help clients address questions and allegations raised by the recent creation of the RMBS Working Group (SCI 30 January). The firm says it is essential to "respond in kind" to US federal and state governments coordinating their enforcement activities.

    The firm's new financial fraud enforcement task force formulates defence strategies .......

    Job Swaps 8 February 2012

  • Servicer advance rates scrutinised

    Loss severity varies across US mortgage servicers by about 14 points: servicers with lower advance rates tend to have lower severity prints, while those with longer timelines have higher prints. ABS analysts at Bank of America Merrill Lynch expect loss severity to increase over the next 18 months by roughly 8-10 points, due to a drop in home prices and .......

    News 8 February 2012

  • Irish PIAs 'credit negative' for RMBS

    New Irish personal insolvency legislation proposed in January and expected to come into force in 2013 will see the introduction of debt forgiveness for borrowers deemed to have unsustainable mortgage debt. Moody's views the proposal as credit negative for Irish RMBS because many mortgage loans will be written down and many borrowers will become discouraged from maintaining their mortgage loan .......

    News Round-up 8 February 2012

  • Euro RMBS on review

    S&P has placed on credit watch negative its credit ratings on 122 tranches in 43 European RMBS transactions. The move follows the 29 November rating actions the agency took on banks, as a result of applying its new bank ratings criteria. It also takes into account the impact of S&P's counterparty criteria.

    For the ratings on the RMBS tranches that .......

    News Round-up 8 February 2012

  • Italian mortgage performance analysed

    In a new special report, Moody's demonstrates that Italian mortgage loans most likely to default are those: made to foreign residents; that have been performing for less than 12 months before securitisation; that are originate-to-distribute by 'non-conforming' banks; that pay a floating rate; and with maturities of more than 20 years.

    According to the report, loan performance differs significantly according .......

    News Round-up 7 February 2012

  • Robust trading flows seen in non-agency RMBS

    The did-not-trade ratio for US non-agency RMBS bid-lists last week was one of the lowest seen in a long time. About US$2bn was out for the bid, with 75% of the bonds trading either to end accounts or dealer balance sheets.

    Babson Capital notes in a recent client memo that non-agency RMBS market sentiment remains markedly positive, demonstrated by robust .......

    News Round-up 7 February 2012

  • NY AG files MERS suit

    New York Attorney General Eric Schneiderman has filed a lawsuit against Bank of America, JPMorgan Chase and Wells Fargo, charging that the use of a registry system known as Mortgage Electronic Registration System (MERS) resulted in deceptive and fraudulent foreclosure filings. It follows a similar lawsuit filed recently by Massachusetts AG Martha Coakley (SCI 2 December).

    MERS and its parent .......

    Job Swaps 6 February 2012
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