Hat-tip to the WSJ Law Blog, the full US government complaint against Standard & Poor’s:
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Aire Valley is in what’s called Brontë Country in the UK’s Pennine hills, home to the towns of Bradford and Bingley.
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.
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.
– By John McDermott and Cardiff Garcia
The details of the US government’s attempted bank raid are coming in on Friday afternoon. Read more
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. Read more
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
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
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
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 Outlook. Read more
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
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
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
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
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.
Here’s an unexpected press release from the Irish Funds Industry Association:
Irish Funds Industry Continues Expansion Read more
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
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.
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
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