RMBS

  • Home prices set to bottom earlier

    Mortgage strategists at Bank of America Merrill Lynch estimate that - aside from seasonal swings - the bottom of the cycle in US home prices should be reached this quarter. They expect roughly flat home prices this year and next, with modest growth in 2014.

    "Although we are still not expecting as the base case meaningful increases in home values .......

    News 26 March 2012

  • Foreclosure timelines set to increase

    Foreclosure timelines will continue to lengthen, according to Moody's latest RMBS Servicer Dashboard report. The average timeline as of 31 December 2011 stood at 654 days in judicial states and 297 days in non-judicial states.

    "As these aged foreclosures work their way through the foreclosure process, we expect to see these timelines continue to increase," says William Fricke, a Moody's .......

    News Round-up 23 March 2012

  • Regional ERF differences persist

    Fitch has published the 1Q12 economic risk factors (ERFs) applied in its prime residential mortgage loan loss model.

    Default risk - though still elevated - continues to decline since peaking in mid-2007 and economic indicators are showing positive momentum, the agency notes. However, the ongoing housing correction and the high number of long-term unemployed continue to weigh on the recovery.

    News Round-up 23 March 2012

  • Assured hits back

    Assured Guaranty has responded to the placement of its debt ratings and insurance financial strength ratings under review for possible downgrade by Moody's. The agency cites constrained business opportunities for financial guaranty insurance and continued economic stress for US municipal, mortgage and European exposures.

    Assured says it has been working with Moody's for some time, emphasising the improvements in its .......

    News Round-up 21 March 2012

  • Rating triggers waived

    Noteholders in the RMAC 03-NS1, 03-NS2, 03-NS3, 03-NS4, 04-NS1 and 04-NS2 RMBS have voted to ignore certain rating-related triggers in the deals, following the downgrade of Barclays - acting as liquidity facility provider - to A-1 from A-1+. Securitisation analysts at S&P view the move as a short-term positive for transaction cashflow but a negative for counterparty risk.

    A waiver .......

    News Round-up 20 March 2012

  • BOS tender announced

    The Bank of Scotland has announced tender offers at par for the class 5A notes from its MFPLC 4 and PENDE 2007-1 RMBS, which close on 2 April. The MFPLC 4 5A tranche is the last outstanding publicly placed note from the Mound Master Trust, due to be redeemed in November 2012, while the PENDE 2007-1 5A tranche is the .......

    News Round-up 20 March 2012

  • Mexican RMBS criteria updated

    Fitch has updated its rating methodology for assessing credit risk in Mexican residential mortgage loan pools originated by banks and Sofoles/Sofomes that are used as collateral for structured finance transactions. The changes focus on loss given default (LGD) assumptions and primarily reflect the agency's view for a prolonged recovery process and discounted sales levels predicted for the coming years.

    The .......

    News Round-up 19 March 2012

  • Agency MBS portfolio wound down

    The US Treasury Department has completed the orderly wind down of its agency MBS portfolio, generating a positive return of US$25bn for taxpayers. Treasury invested US$225bn in MBS during 2008 and 2009, with taxpayers receiving total cash returns of US$250bn from the portfolio through sales, principal and interest.

    "The successful sale of these securities marks another important milestone in the .......

    News Round-up 19 March 2012

  • AOFM unloads RMBS in pricing exercise

    The Australian Office of Financial Management (AOFM) says it has sold US$50m of RMBS so far this month. The assets were fixed rate bullet securities with a maturity due in November 2016.

    The sale was made at an effective margin of 132bp over the interpolated swap rate. This compares with a margin of 150bp over the five-year swap rate when .......

    News Round-up 19 March 2012

  • Fed's role in agency MBS discussed

    The Fed is to continue reinvesting principal payments from its holdings of agency debt in agency MBS. A new study illustrates that the Fed's actions have been a major technical factor in the agency MBS market.

    The Fed's MBS reinvestment programme has been a net buyer of US$136bn of agency MBS since October 2011, according to MBS strategists at RBS. .......

    News 15 March 2012

  • Forbearance fears

    European principal forgiveness schemes unnerve investors

    Ireland and Spain are set to introduce new debt forgiveness legislation in the coming months that will not only impact their domestic mortgage markets, but may also have ramifications for the associated RMBS. Investors are keeping a close eye on developments, particularly with regards to whether the forbearance measures become compulsory.

    "Potential debt forgiveness programmes in Ireland and Spain are .......

    News Analysis 14 March 2012

  • SEC charges ex-Thornburg executives

    The US SEC has charged former executives at Thornburg Mortgage Inc with hiding the company's deteriorating financial condition at the start of the financial crisis. It says the executives engaged in a scheme to deceive Thornburg's auditor and investors into believing that the company had successfully met all its margin calls.

    Former ceo Larry Goldstone, cfo Clarence Simmons and chief .......

    Job Swaps 14 March 2012

  • NCUA RMBS settlement reached

    The NCUA and HSBC have reached a settlement regarding potential claims relating to the sale of RMBS to five failed wholesale credit unions. HSBC has agreed to pay NCUA US$5.25m.

    NCUA will use the net proceeds from the settlement to further reduce assessments being charged to credit unions to pay for the losses. The association has received a total of .......

    Job Swaps 13 March 2012

  • New role for former Dynamic Credit ceo

    James Finkel has been appointed as leader of Duff & Phelps' financial crisis disputes practice, based in New York. He was previously leader of the firm's complex asset solutions team.

    Finkel has more than 25 years of experience within structured finance and joined Duff & Phelps in late 2010 as part of the acquisition of the US consulting business of .......

    Job Swaps 13 March 2012

  • AG settlement impact illuminated

    Further details have emerged on the US$25bn servicer settlements that the US federal government and attorneys general agreed with Ally, Bank of America, Citibank, JPMorgan and Wells Fargo (SCI 15 February). The largest impact is expected to be on deals serviced by Bank of America.

    The settlements have been filed for approval in federal court. The documents cast light on .......

    News 13 March 2012

  • Subprime RMBS review completed

    Fitch has completed its review of the US subprime RMBS sector, covering 10,380 classes across 1,143 transactions. The agency has affirmed 86% of the classes, downgraded 12% and upgraded less than 1% as a result.

    Of the downgrades, 93% were by 1-2 notches. Of classes with an outlook, 94% of downgraded classes were on rating watch or outlook negative prior .......

    News Round-up 13 March 2012

  • MBS CCP to launch next month

    The US SEC has approved the DTCC's application to operate a new central counterparty designed to reduce risk and costs in the US agency MBS market (SCI 13 December 2011). Starting on 2 April, the MBS division of DTCC's Fixed Income Clearing Corporation (FICC) subsidiary will begin guaranteeing settlement of all of its members' matched MBS trades and introduce pool .......

    News Round-up 13 March 2012

  • Further action plans released

    The Federal Reserve Board has released action plans for three supervised financial institutions - HSBC North America Holdings, Ally Financial and IMB HoldCo - to correct deficiencies in residential mortgage loan servicing and foreclosure processing (SCI passim). It also released the engagement letter between HSBC and the independent consultant the bank retained to review foreclosures that were in process in .......

    News Round-up 9 March 2012

  • Dealers drive RMBS prices up

    European primary RMBS issuance may have been limited lately, but spreads in the secondary market have tightened considerably. Dealers have been driving secondary prices up and one trader believes that spreads may tighten even further.

    The trader is very positive about the secondary market and says the tone is "really positive". He notes: "Dealers before were complaining about lack of .......

    Market Reports 8 March 2012

  • Gap grows in resi liquidation rates

    The large difference in liquidation rates between US states grew during 4Q11, according to S&P. The agency notes that the increasing timelines are primarily due to extreme foreclosure delays in states with judicial foreclosure procedures, with the number of estimated months needed to clear the supply of distressed homes rising by two months to 47 months.

    "The volume of these .......

    News Round-up 8 March 2012

  • ML II assets revealed

    Empirasign has filed a successful Freedom of Information Act request and obtained the contents of the secret auction of Maiden Lane II securities that took place on 19 January. In a highly unusual move, participants in this auction were required to sign a non-disclosure agreement to keep the list contents and execution prices confidential for one year. The list comprises .......

    News Round-up 8 March 2012
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