RMBS

  • Partnership brings enhanced valuation platform

    MDA DataQuick and MBSData have partnered to launch an enhanced RMBS valuation product. The product manages portfolio default risk by identifying and measuring previously unknown underlying loan performance risks, the firms say.

    This offering utilises a combination of non-agency loan level information, current collateral and property values, as well as updated and combined loan-to-value and tax delinquency status. Additional liens, .......

    Job Swaps 6 October 2010

  • ASF market reviews to aid transparency

    1010data has partnered with CoreLogic and Equifax to produce the first report in its 'ASF Market Review' series. These reports will provide summary information on key segments of the MBS market, the firm says. The first report will focus on the non-agency MBS market, including segments such as subprime and Alt-A MBS.

    Tom Deutsch, executive director at ASF, says: "ASF .......

    News Round-up 6 October 2010

  • RMS 25 due next week

    Investec's UK non-conforming RMBS is expected to price next week. The £195.6m transaction - dubbed RMS 25 - will pool GMAC RFC, Mortgages PLC and Kensington collateral and will be led by Barclays Capital and Investec. Of the pool, 14.8% comprises buy-to-let mortgages, while interest-only mortgages account for 68.5%.

    Both Fitch and S&P are expected to assign triple-A ratings to .......

    News Round-up 6 October 2010

  • Euro mortgage asset sale completed

    Residential Capital has completed the sale of its European mortgage assets and operations to affiliates of Fortress Investment Group.

    "The completion of these sales is another milestone toward our objective of reducing exposure in the legacy mortgage operation," says Ally Financial ceo Michael Carpenter. "In addition to these transactions, we continue to sell other legacy assets and remain focused on .......

    Job Swaps 6 October 2010

  • UKAR integration completed

    Northern Rock Asset Management (NRAM) and Bradford & Bingley (B&B) are being integrated under a newly established holding company, UK Asset Resolution (UKAR). The integration has been planned for some time (see SCI issue 179).

    NRAM says UKAR will maximise taxpayer value and exists to ensure the orderly management of the closed mortgage books of NRAM and B&B. The two .......

    Job Swaps 6 October 2010

  • WaMu court case continues

    In the case of Boilermakers National Annuity Trust Fund versus WaMu Mortgage Pass Through Certificates, Series AR1, the US District Court for the Western District of Washington has issued an order denying in part the defendants' motions to dismiss the plaintiffs' Securities Act claims.

    The court ruled that the plaintiffs have alleged actionable claims with respect to seven offerings totalling .......

    Job Swaps 6 October 2010

  • State Street pair charged with misleading investors

    The US SEC has charged a pair of former State Street Bank and Trust Company employees with misleading investors on subprime investments. John Flannery is the firm's former cio and James Hopkins was head of product engineering for North America.

    The SEC's Division of Enforcement alleges that State Street's Limited Duration Bond Fund was marketed as an 'enhanced cash' investment .......

    Job Swaps 6 October 2010

  • Holmes restructuring is 'rating positive'

    Santander intends on 8 October to restructure its Holmes Master Trust RMBS programme (see also separate News Analysis). The proposal involves refinancing all amounts currently outstanding under the Second Master Issuer term advances (corresponding to the retained Second Master Issuer notes), as well as repurchasing around £36bn of trust collateral and adding a redemption reserve of £5.8bn from which the .......

    News Round-up 6 October 2010

  • Global bond fund launched

    ING Investment Management Americas has launched the ING Global Bond Collective Trust Fund, which aims to provide institutional investors with a proven and broadly diversified strategy to global fixed income investing. The strategy is based on an approach to global fixed income markets that the firm has overseen since 2006 that combines fundamental and quantitative analysis in seeking out opportunities .......

    Job Swaps 29 September 2010

  • Stress test due for Aussie RMBS

    Fitch says that, due to significant market commentary surrounding the sustainability of continued rising residential property prices in Australia, it will conduct a stress test analysis involving different scenarios of varying property price declines.

    The testing is intended to ascertain the potential implications for its portfolio of rated Australian RMBS, banks and mortgage insurers to assess possible rating outcomes, should .......

    News Round-up 29 September 2010

  • Slight ABX CDR pick-up seen

    Following a downward trend over the last year and a half, the latest ABX remittance report indicates that default rates picked up slightly in September for every index bar 06-2. Defaults were respectively 10.9%, 11%, 12.7% and 12.6% CDR for the 06-1 through to 07-2 indices.

    CDRs have been declining for a year as servicers work through the modification process .......

    News Round-up 29 September 2010

  • Asset management strengthened for GSE MBS

    State Street Global Advisors (SSgA) has appointed investment manager Smith Graham & Co to help provide asset management services for the US Treasury's MBS purchase programme. Smith Graham will assist with portfolio analysis and reporting, while helping to develop cashflow projections, conduct stress-testing scenarios and assess risks to the portfolio.

    As a financial agent of the Treasury, SSgA manages a .......

    Job Swaps 29 September 2010

  • Ex-Fannie Mae trader joins advisory

    The Collingwood Group has recruited Mary Lou Christy as svp. Prior to joining the firm, Christy served as svp of investor relations for Fannie Mae. During her 24-year career at the company, she also led the MBS trading desk and served as vp of sales and marketing in the southwestern region.

    "We are delighted to have Mary Lou Christy join .......

    Job Swaps 29 September 2010

  • Korean RMBS approach explained

    Moody's has updated its methodology for the analysis of Korean RMBS transactions.

    "Moody's rating analysis for Korean RMBS is based on loan-by loan data. The quality and depth of these data, which are the main inputs for the MILAN model, are important elements in our analysis. To assist originators and ensure that procedures accurately assess risk [and] are consistent, we .......

    News Round-up 29 September 2010

  • Paragon re-enters BTL market

    Paragon has signed a new £200m mortgage warehouse funding facility with Macquarie for four years at a cost of 287.5bp over Libor. It confirms its intention is to "use the facility to warehouse loans prior to arranging term funding in the MBS markets". As such, the firm will begin lending in the buy-to-let market again effective immediately.

    The lender disclosed .......

    News Round-up 29 September 2010

  • Credit union legacy assets addressed

    The US National Credit Union Administration (NCUA) has announced a plan to isolate impaired assets - mainly underwater RMBS - in the corporate credit union system, which involves repackaging them into securities that can be issued on the open market. The move comes after it assumed control of three undercapitalised corporate credit unions and is a key element in its .......

    News Round-up 29 September 2010

  • FDIC closes AmTrust deal

    The FDIC has closed on a sale of 40% equity interest in a limited liability company (LLC) created to hold approximately US$1.7bn of primarily non-performing commercial acquisition, development and construction loan assets and owned real estate out of AmTrust Bank. The structured transaction's winning bidder is PMO Loan Acquisition Venture (PMO) - a consortium controlled by Oaktree Capital Management, Toll .......

    News Round-up 1 September 2010

  • Impact of cajas consolidation unclear

    ABS analysts at Bank of America Merrill Lynch anticipate the impact on Spanish ABS of consolidation among the country's savings banks to be limited, especially given that most of the paper issued in Spain is held domestically. However, they note that a deeper look at the issue is necessary to understand any potential ripple-effects.

    The Spanish cajas have historically been .......

    News Round-up 9 June 2010

  • Portuguese banks stockpiling assets

    Portuguese structured finance transactions have seen increasing signs of declining performance that could lead to negative rating action, says Fitch. The agency rates 24 RMBS, three ABS and two SME CDO transactions in the jurisdiction and says most show a steady increase in defaults and arrears.

    "Fitch's expectation for performance deterioration does not warrant downgrades to SME transactions at this .......

    News Round-up 12 May 2010

  • Mortgage REIT preps debut securitisation

    PennyMac Mortgage Investment Trust (PMT) has begun working on its first securitisation to provide additional capital and increase its investment capacity. PMT says there is no guarantee the securitisation will be successfully completed, but targets completion in Q210. The REIT has also reported net income for Q110 of US$1.3m on total net investment income of US$3.9m.

    The company acquired five .......

    News Round-up 5 May 2010

  • Repurchase reaction

    Investors respond to GSE delinquent loan buybacks

    Fannie Mae and Freddie Mac's decision to repurchase billions of dollars of 120 day-plus delinquent loans from their guarantee books has resulted in varying reactions in the investor community. While anticipated volatility is attracting some accounts to the sector, others can't sell their holdings fast enough.

    "The prices of agency MBS are getting slammed - particularly 5.5 and 6 coupons," .......

    News Analysis 17 February 2010
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