RMBS

  • 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

  • US manufactured housing remains stable

    The manufactured housing sector has experienced a very slight increase in loss severities, net loss rates and 60-day delinquencies over the last year, according to Fitch. The agency currently rates 138 manufactured housing transactions, with an original balance of US$55bn and an outstanding balance of US$10bn.

    "Stable manufactured housing performance has been driven by consistent servicing, loan seasoning and continued reductions .......

    News Round-up 6 December 2010

  • Japanese counterparty criteria updated

    S&P has published two Japan criteria articles following the publication on 2 December its 'Counterparty and supporting obligations methodology and assumptions' update (see SCI 3 December).

    The first update, entitled 'Counterparty and supporting obligations methodology and assumptions', applies to all new and existing Japanese transactions, including ABCP programmes. The agency says it is discontinuing most Japan-specific counterparty criteria and replacing .......

    News Round-up 6 December 2010

  • NCUA in the market again

    The US National Credit Union Administration (NCUA) is in the market with its latest resecuritisation - the US$3.52bn NCUA Guaranteed Notes Trust 2010-R3. Proceeds from the issuance will be used to purchase a portfolio of 255 RMBS previously owned by five credit unions that have been placed into conservatorship by NCUA board.

    The transaction comprises US$1.55bn senior I-A notes, US$1.6bn .......

    News Round-up 6 December 2010

  • BoE loan-level data requirements released

    The Bank of England has outlined its new eligibility requirements for the use of RMBS at the Discount Window Facility.

    Among them is the requirement to make loan-level data available to the public on at least a quarterly basis. This criterion will be met only if the mandatory fields in the BoE template are completed, although the Bank says it .......

    News Round-up 2 December 2010

  • Irish RMBS placed on review

    Moody's has placed the triple-A ratings of six Irish RMBS and one balance sheet CLO on review for possible downgrade. It has also placed all mezzanine and junior mezzanine ratings on five Irish RMBS tranches on review for downgrade.

    Despite the recent EU/IMF agreement, the agency believes that the medium-term stress on Irish structured finance transactions will be greater than .......

    News Round-up 2 December 2010

  • Tool to reduce TBA fails

    Tradeweb has launched an electronic solution - in collaboration with BlackRock, Credit Suisse and Goldman Sachs - that aims to reduce the number of failed TBA mortgage pool trades. The service enables institutional clients to pair-off mortgage pool transactions with dealers, thereby reducing the amount of pools that need to be cleared and enabling more efficient resolution of round-robin fails .......

    News Round-up 2 December 2010

  • Citadel RMBS remarketed

    F. van Lanschot Bankiers has successfully remarketed - via BNP Paribas, ING and Rabobank International - the Citadel 2010-I Dutch RMBS, which it had originally retained in July. The bank says that the offering was oversubscribed and placed with a wide group of institutional investors.

    The transaction comprises €250m two-year class A1 notes and €500m five-year class A2s. The notes .......

    News Round-up 1 December 2010

  • Resi mortgage credit model to launch

    Barclays Capital is launching a new residential mortgage credit model, tracking the progression of mortgages through the entire chain of borrower actions and servicer reactions. The loan-level transition model will be available on the Barclays Capital Live website from the close of business on Friday (3 December).

    The model is implemented through Monte Carlo simulation at the loan level, so .......

    News Round-up 1 December 2010

  • Broker adds sales svp

    Amherst Securities Group has appointed Ryan Stroker as svp in its institutional sales division, based in New York. Before joining Amherst, Stroker was md and head of Price-Smart valuation advisory at Royal Bank of Scotland, where he developed and managed the global structured products valuation advisory and pricing service. Prior to this, he was vp at Merrill Lynch and a .......

    Job Swaps 30 November 2010

  • Loss assumptions raised for UK BTL

    Moody's has increased its lifetime loss assumptions in 11 UK buy-to-let RMBS, due to worse performance of the underlying mortgage portfolios than previously assumed. The affected transactions are Auburn Securities 5; Ludgate Funding Series 2007-FF1; and Paragon Mortgages No 7 to 15. The agency has taken no rating action on these deals, however, in consideration of the sufficient levels of .......

    News Round-up 29 November 2010

  • Improved performance for Aire Valley

    S&P has affirmed its credit ratings on Aire Valley Funding 1's mortgage-backed notes and removed all long-term ratings from credit watch negative, where they were placed in July 2010 due to collateral performance and potential negative selection. A more detailed analysis indicated that negative selection relating to the prepayment of lower risk, low LTV loans is currently not prevalent, the .......

    News Round-up 29 November 2010

  • Negative outlooks for Irish MBS

    Fitch has revised the outlooks on 13 Irish RMBS tranches and one Irish CMBS tranche to negative from stable. All tranches of the 10 affected Irish transactions have either a negative outlook or are on rating watch negative. This, the agency says, is a result of heightened concerns over the future performance of the Irish mortgage markets.

    The effect of .......

    News Round-up 23 November 2010

  • Low interest rates boost UK NC RMBS

    The low interest rate environment and its impact on borrower affordability have contributed significantly to the positive rating actions on UK non-conforming RMBS, according to Fitch.

    Fitch's ratings index for loans in arrears - for three months or over - showed a 5.3% decline to 17.7% in 3Q10, from 18.7% in 2Q10. The index for current outstanding repossessions has also .......

    News Round-up 18 November 2010

  • Vendors link in transparency drive

    Equifax has linked its ABS Credit Risk Insight Direct tool to Lewtan's ABSNet Loan database of residential deal and mortgage performance data. The collaboration aims to bring further transparency to the analysis of MBS, while providing indicators of loan performance, such as updated credit scores, detail on all mortgage and home equity payments and owner-occupancy and performance on past mortgages.

    .......

    News Round-up 18 November 2010

  • Bank names MBS trading head

    BNP Paribas has appointed Bogac Ozdemir as head of US long-term interest rate swap and agency MBS flow trading. Based in New York, he will report to the firm's head of US dollar rate trading, Laurent Dulout.

    Before joining BNPP, Ozdemir was head of US dollar rates at Credit Agricole. Prior to this, he was at Citibank for 11 years, .......

    Job Swaps 17 November 2010

  • Mortgage warehouse established

    Annaly Capital Management has established Shannon Funding to provide warehouse financing to residential mortgage originators in the US. Shannon, which will operate out of offices in Bellevue, Washington, plans to begin operations in the first quarter of 2011.

    Shannon will be led by Bruce Watterson, who has over 25 years of industry experience. He was the founder of Watterson-Prime, which .......

    News Round-up 17 November 2010

  • ASF underlines legality of mortgage transfers

    The American Securitization Forum (ASF) has issued a White Paper to clarify the legal principles and processes underpinning the assignment and transfer of home mortgages and the creation of MBS.

    "As our study highlights, the principles and processes involved in securitisation result in valid and enforceable transfer of ownership of mortgage notes and underlying mortgages," says Tom Deutsch, ASF executive .......

    News Round-up 17 November 2010

  • US RMBS reviewed on tail risk

    Fitch has placed 1,810 tranches of US RMBS on rating watch negative in response to concerns that small pools in the sector are becoming an increased risk.

    "Most existing RMBS transactions are not structured to protect against the potential for increased performance volatility as the pool size declines," says Fitch md Grant Bailey.

    Fitch says it will raise credit enhancement .......

    News Round-up 17 November 2010

  • Cooperation on MBS data service

    Equifax and BlackBox Logic are to merge their MBS data solutions to offer greater investor transparency. Equifax's data solution, ABS Credit Risk Insight Direct, will statistically match up-to-date borrower credit information to BlackBox Logic's database of MBS performance data. The collaboration is intended to help investors improve model accuracy, better predict loan default and prepayment, and enhance deal surveillance, the .......

    Job Swaps 17 November 2010

  • US RMBS foreclosure risks examined

    Moody's has released a report that examines four foreclosure-related risks that currently pose a threat to US RMBS.

    First is the issue of missing and defective documents in foreclosures, which presents the most serious risk to RMBS, according to the agency. "We expect the issue of missing and defective documents to arise frequently in foreclosures," says Yehudah Forster, Moody's vp .......

    News Round-up 16 November 2010
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