Posts tagged 'rmBS'

The US v S&P

Hat-tip to the WSJ Law Blog, the full US government complaint against Standard & Poor’s:

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Wuthering UK master trust assets

Aire Valley is in what’s called Brontë Country in the UK’s Pennine hills, home to the towns of Bradford and Bingley.

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Structured finance makes repo comeback

The use of risky collateral including equities and structured finance has returned to pre-crisis levels in the US repo market, the FT reports. A Fitch Ratings study found that structured finance assets accounted for about 20 per cent of collateral. “Almost half of this collateral is subprime and Alt-A residential mortgage-backed securities (RMBS) and collateralized debt obligations,” the report adds. Reasons for the rise in use range from a shortage of safer assets, to returning liquidity in RMBS, to the hunt for yield among money market funds.

Failing to Byzantium

Greek RMBS news that makes you go hmm (via Fitch, earlier):

Fitch Ratings-London-31 October 2011: Greek banks and RMBS transactions are at risk of losing interest payments because a Greek housing agency has delayed, if not frozen, paying interest subsidies. Read more

A PrimeX primer, also featuring ABX

Last week, Fitch completed a review of U.S. Prime RMBS looking at transactions involving thousands of bonds. As a result of their review, 42 per cent of the portfolio was downgraded. Since then, a tradeable index linked to a subset of prime mortgages has been falling in value and was last seeing travelling towards par.

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Fannie and Freddie’s revenge — the details [updated]

By John McDermott and Cardiff Garcia

The details of the US government’s attempted bank raid are coming in on Friday afternoon. Read more

Australian RMBS grabs Moody’s attention

Moody’s is taking another look at the way it rates Australian Residential Mortgage-Backed Securities.

We anticipate increases to Moody’s Aaa mortgage default probability and house price stress rate assumptions. Separately, Moody’s expects to modify its approach towards incorporating lenders’ mortgage insurance in Australian RMBS.

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Subprime selling off, again

Securitised subprime — it’s still not doing well. Read more

Tranching up Europe’s interest rate rises

Ever pondered the big questions? The meaning of life? Are we alone in the universe? What will happen to European RMBS once interest rates start rising? We have.

And we have an answer — to the last one anyway. Read more

ABS, CDS and various other acronyms in Australia

Your daily dose of financial innovation, right here.

Flexi ABS Trust 2011-1 may be a structured finance deal you’ve never heard of, but it’s making waves amongst securitisation types in Australia. Put simply it’s the first ever Australian deal to bundle interest-free payment plans for retail goods like jewellery, gym equipment, furniture and the like, according to Moody’s. Read more

Things affected by a US downgrade

The list comes to us from Moody’s, which looks at the possible ratings impact of a US sovereign downgrade in Monday’s structured finance quick check. Now the credit rating agency has said before that it will place the US government’s triple-A rating on review for downgrade if there’s no “demonstrable progress” on the debt ceiling talks. Unsurprisingly, a downgrade of the US would have a ripple effect on a number of other assets which are directly linked to the fortunes of the States.

Let’s get the quirky stuff out of the way first. The Israeli bonds, we think, are USAID bonds issued by the State of Israel in the early 2000s and fully guaranteed by the USA. The Egyptian bond is another US-guaranteed issue apparently done earlier this year in an effort to plug Egypt’s budget gap after the spring uprising. Read more

Bank of America’s settlement

Remember those blemished Countrywide loans and the pointed letter from RMBS investors that Bank of America received last October?

The bondholders had alleged that Countrywide had failed to meet certain underwriting standards for the loans included in these RMBS deals and had improperly serviced the loans, and had breached representations and warranties. Read more

Back to the future with UK RMBS

Your extend and pretend datapoint du jour, right here folks.

On Monday, Moody’s released a report advocating more disclosure of loan modifications within British Residential Mortgage-Backed Securities (RMBS).  The UK’s Financial Services Authority already said something similar last month, when it issued its first Prudential Risk OutlookRead more

The supply! The supply!

Maiden Lane’s no lady. She continues to harass Wall Street.

The Federal Reserve has been selling off the portfolio of dodgy Mortgage-Backed Securities (MBS) it acquired as part of its bail-out of AIG. Bloomberg reports that falls in the credit default swap (CDS) indices used to protect against losses certain types of debt has been accelerating this month. Read more

New strategy – AIG will buy European junk instead of its own

AIG is back on Wall Street.

Fresh from failing to acquire its own portfolio of dodgy deals from the Federal Reserve — AIG’s Mortgage-Backed Securities (MBS) were acquired by the US central bank during the crisis and transformed into Maiden Lane II — the bailed-out insurer has a new strategy to lure investors to its stock after last month’s ‘re-IPO.’ Read more

European securitisation – now mostly retained

A milestone, of sorts, in the European structured finance market.

At the end of the first-quarter of 2011, retained securitised debt made up a bigger proportion — at 51.7 per cent — of total outstanding debt (€2,076bn) than debt placed with investors, according to new figures from the Association for Financial Markets in Europe’s (AFME) securitisation data report. Read more

Strange Spanish structured finance data

“Standardisation of disparate Spanish investor reporting would enhance transaction data quality” is a nice way of saying “Stop jerking us around with your weirdo Spanish structured finance data!”

It’s also the title of a piece by Ludovic Thebault and Ariel Weil in Moody’s latest Credit Insight. Read more

Premium capture is the new 436(g), Citi says

The repeal of Rule 436(g) sent the securitisation industry into a tizzy in the summer of 2010.

Now a component of last week’s proposed risk retention rules for Mortgage-Backed Securities (MBS) is sparking comparisons from some analysts, in relation to the commercial MBS market. The troublesome bit is called “premium capture” — and it’s pretty much the only thing that came as a surprise to the securitisaton industry in the 233-page proposal published by US regulators last week. Read more

Long-term investors look at subprime again

Prices on a key subprime bond index have doubled since the low of the financial crisis they helped cause, as investors search for yields from subprime and RMBS, reports the WSJ. Prices have risen from 30 cents on the dollar to roughly 60 cents. As part of the quest for yield, investors are also seeking nonagency bonds, which are not backed by Fannie Mae or Freddie Mac, in addition to subprime. A revival in jumbo mortgages with lower interest rates also reflects investors’ return to the market. The Fed’s sale of Maiden Lane II portfolio assets will increase investor interest, with four major life insurers considering purchases, sources told the Journal.

Choose your own risk retention

So now that the Federal Reserve has gifted US banks with a one-size-does-not-fit-all policy in (some) securitisation risk retentions, which version will they be going for?

After all, they’ve got horizontal and vertical (and even L-shaped) slices to choose from. Read more

The RMBS risk retention exemption, qualified

US federal agencies on Tuesday published 233 pages of proposed rules around credit risk retention for sponsors of asset-backed securities, a requirement laid down in the Dodd-Frank legislation.

Sexy lede, right? Wait, come back… Read more

Ireland LLC

Here’s an unexpected press release from the Irish Funds Industry Association:

Irish Funds Industry Continues Expansion

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One of these ratings opinions is not like the other

Below are three rating agency opinions on Sequoia Mortgage Trust 2011-1 — which cobbles together mostly California-based mortgages from Redwood, and also happens to be the first private Residential Mortgage-Backed Security deal of the year.

The first is from FitchRead more

MERS tells members not to foreclose in its name

Fresh from Mortgage Electronic Registration Systems (MERS) on Wednesday — what looks like some (they say temporary) capitulation in the face of legal setbacks.

MERSCORP — which acts as a centralised and electronic registry for about half of the mortgages in the States — issued the below mid-week statement to its members: Read more

SEC sets sights on mortgage disclosures

US securities regulators investigating the role of banks in the mortgage crisis are homing in on the question of whether investors were misled about the home loans used to back securities, the FT reports. Kenneth Lench, chief of the SEC’s structured products unit, said at a conference in Washington on Friday that issues of interest to the commission include whether investors were properly informed about underwriting and foreclosure practices and the quality of mortgages used to back securities.

What lies in Greek RMBS

Greece has lots of problems.

Yet unlike Ireland or Spain, a collapsed housing market (even under austerity) isn’t one of them. But… Read more

‘Banks may be the best holders of mortgage risk,’ says Deutsche

Or, why the private label mortgage securitisation market keeps failing to rise from the dead — especially as the US grapples with Fannie/Freddie reform.

Here’s the thinking, from Deutsche Bank’s Steven Abrahams: Read more

Are rating agencies backing away from Re-Remics?

A £30bn re-Remic ratings “error” from S&P.

A tightening of re-Remic ratings standards from Fitch. Read more

The full story of the Ibanez case

Back in 2005 in Springfield, Massachusetts…

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A court case to challenge securitisation standards [updated]

Currently winding its way through the Massachusetts Supreme Court — a little court case that could end up having big consequences for mortgage securitisations.

It’s called the ‘Ibanez case’ and here’s the story. Read more