RMBS

  • Securitisation trust units acquired

    US Bancorp's lead bank, US Bank National Association, has completed the acquisition of the domestic and European-based securitisation trust administration businesses of Bank of America. After conversion - expected to complete by the end of the third quarter of 2011 - the acquired US and European trust businesses will operate under the US Bank trade name and will open offices .......

    Job Swaps 5 January 2011

  • BoA settles GSE buy-back claims

    Bank of America has announced agreements with Freddie Mac and Fannie Mae to resolve repurchase claims involving certain residential mortgage loans sold to them by entities related to Countrywide Financial Corporation. The payouts are a result of the GSEs' drive to exercise their put-back options on certain loans (see SCI issue 198).

    The agreement with Freddie Mac extinguishes all outstanding .......

    News Round-up 4 January 2011

  • Downgrades for Option ARM RMBS

    Moody's has downgraded four tranches totalling US$6bn from four RMBS issued by Wachovia due to deteriorating collateral. The collateral backing these transactions consists primarily of first-lien, adjustable-rate, negative amortisation and Alt-A residential mortgage loans.

    In these transactions Wells Fargo - as master servicer - is obliged to repurchase loans that are more than 90 days past their due date. Delinquent .......

    News Round-up 4 January 2011

  • RMBS default backlog continues to grow

    The growing volume of residential defaults continues to have a notable effect on the US housing market, according to S&P. The time it will take for the market to absorb newly-distressed properties has continued to grow in 3Q10, with the growing volume of distressed properties remaining one of the primary factors hindering a full recovery, the agency says.

    "At the .......

    News Round-up 4 January 2011

  • Eurosail deals downgraded on FX risk

    Moody's has downgraded the ratings of 19 classes of notes issued in four Eurosail transactions exposed to foreign exchange risk, following the review of its loss assumptions for the underlying mortgage portfolios. It has also updated its loss assumption in another UK non-conforming RMBS transaction exposed to foreign exchange risk, but has taken no action on the ratings of the .......

    News Round-up 24 December 2010

  • GSE portfolio rules implemented

    The Federal Housing Finance Agency (FHFA) has sent to the Federal Register a final rule pertaining to Fannie Mae and Freddie Mac portfolio holdings. The final rule implements section 1109 of the Housing and Economic Recovery Act of 2008 (HERA) and adopts without change FHFA's interim final rule on portfolio holdings, which was effective on 30 January 2009.

    The final .......

    News Round-up 24 December 2010

  • RMBS data integrated

    BlackBox Logic has partnered with Thetica Systems to improve its RMBS forecasting. Under the agreement, the Thetica platform will integrate BBx Data, thereby offering a high-speed analytics module capable of running multiple bonds simultaneously under various scenarios.

    The tool allows for the most precise RMBS forecasting, the two firms say, utilising BBx's dataset and client or third-party credit and default .......

    News Round-up 21 December 2010

  • Hermes XVII restructured

    Fitch has affirmed HERMES XVII Dutch RMBS, following a restructuring of the transaction. The changes made include an improvement to the credit risk of the portfolio due to the removal of arrears and some high loan-to-value loans, as well as additional mechanisms to support the unrated class E notes.

    Following the restructuring, the substitution period will end immediately with the .......

    News Round-up 17 December 2010

  • Securitisation arranger numbers released

    SCI has released its latest league tables for bank arrangers in the European and US structured credit and ABS markets. The figures show JP Morgan has eased in to top spot in Europe, while in the US Barclays Capital has extended its lead for 2010 to the end of November. The leaders participated in an impressive €7.26bn and US$13.5bn worth .......

    News Round-up 17 December 2010

  • Indian RMBS maintain stable performance

    The performance of Indian RMBS transactions has remained stable throughout 2010, according to Fitch, with all 16 transactions that it rates maintaining their initial ratings with stable outlooks. The strong performance is a result of low average defaults of less than 1.5% of original principal outstanding across all vintages, the agency says.

    The usage of credit enhancement has also been very .......

    News Round-up 16 December 2010

  • RMBS re-REMICs on review following error

    S&P has placed its ratings on 1,196 classes from 129 US RMBS re-REMIC transactions issued in 2002-2010 on credit watch with negative implications. The actions primarily reflect the agency's revised analysis of timely interest, including consideration of the impact of pro rata allocation of interest among senior and subordinate classes.

    S&P says that previously it incorrectly analysed timely interest payments and .......

    News Round-up 16 December 2010

  • RMBS loss severities to increase

    Fitch's latest RMBS performance metrics results indicate that loss severities on distressed US residential mortgage loans are likely to increase by an additional 5%-10% from current levels. This, the agency says, is due to higher loss mitigation, foreclosure expenses and weakening home values.

    The anticipated increases for average loss severities for prime loans are expected to increase from 44% to 49%-54%. .......

    News Round-up 16 December 2010

  • Refinancing Register criteria updated

    Fitch has updated its rating criteria for analysing the securitisation transactions that use the German Refinancing Register. In particular, the updated report contains the agency's view on and criteria aspects for transactions that use the register to accept loans instead of only mortgage liens.

    The refinancing register is a file in which an originator can record the loans and mortgage .......

    News Round-up 16 December 2010

  • Pressure to continue for US mortgage servicers

    The intense spotlight placed on US mortgage servicers after the disclosure of irregularities in foreclosure documentation will continue into 2011, according to Moody's. However, although the scope of irregularities should become better defined over the next few months, the scrutiny may lead to fresh controversies about additional servicing practices.

    Moody's expects that more clarity will come as servicers complete their .......

    News Round-up 15 December 2010

  • Mortgage-related litigation on the rise

    The Mortgage Litigation Index, a collaboration between Patton Boggs and Mortgage Daily, indicates that legal actions tied to mortgage-lending rose by over 40% in the third quarter of the year. The index tracked activity on more than 100 civil and criminal mortgage-related cases between 1 July and 30 September 2010.

    Activity in this period leapt from the second quarter's 75 cases .......

    News Round-up 13 December 2010

  • Aussie RMBS support welcomed

    The Australian Securitisation Forum (ASF) has welcomed the introduction of a further A$4bn AOFM investment to support the country's RMBS market and the Treasury's announcement that it is to accelerate the development of a 'bullet bond' structure for RMBS.

    The RMBS investment through the Australian Office of Financial Management has been critical to keeping competition - the second-tier banks, mutuals and .......

    News Round-up 13 December 2010

  • Mortgage servicing council formed

    The US Mortgage Bankers Association (MBA) has assembled a task force of MBA members to examine and issue recommendations for the future of residential mortgage servicing. Dubbed the Council on Residential Mortgage Servicing for the 21st Century, the task force will be led by Debra Still, MBA vice chairman and president and ceo of Pulte Mortgage.

    Berman says: "The residential mortgage .......

    News Round-up 13 December 2010

  • Foreclosure compliance documentation required

    S&P has announced that it expects all residential servicers in its Select Servicer programme to provide documentation in support of their compliance with proper foreclosure affidavit and attestation procedures by 2Q11. The documentation should include written verification from an independent source that the servicer's foreclosure affidavit preparation and attestation processes are sound and are designed to be in compliance with .......

    News Round-up 10 December 2010

  • Master trusts 'resilient' to economic deterioration

    Moody's has undertaken its annual assessment of the notes issued by UK prime and non-conforming RMBS master trusts. The analysis indicates that master trust notes, particularly triple-A rated notes, are very resilient to any deterioration in the economic environment and any resulting increases in the expected loss and MILAN Aaa CE assumptions.

    Expected loss and MILAN Aaa CE assumptions were .......

    News Round-up 8 December 2010

  • Freddie Mac pool-level delinquencies disclosed

    Freddie Mac is to begin providing pool-level delinquency disclosures on a monthly basis on its single-family mortgage participation certificate (PC) and giant PC securities. Implemented from January 2011, the agency aims to disclose the loan count and associated aggregate unpaid principal balances (UPB) for mortgage loans that fall into one of four delinquency groups (30-59 days delinquent, 60-89 days delinquent, .......

    News Round-up 8 December 2010

  • Whinstone deals hit by poor performance

    Moody's has downgraded six notes issued by Whinstone Capital Management and two issued by Whinstone 2 Capital Management, impacting approximately £389m of securities. Under the transactions, Northern Rock Asset Management (NRAM) receives credit protection on the issuer reserve funds of the transactions issued out of Granite Master Trust Funding and Funding 2 respectively.

    The rating actions take into account worse .......

    News Round-up 7 December 2010
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