The August remittance reports showed delinquency and loss data on the underlying bonds continued to deteriorate across the board. A telling statistic is that UBS analysts loss projections were for 06-1, 06-2 and 07-1 to increase by 18 basis points, 26 basis points and 74 basis points, respectively. Analysts noted that 07-2 has not seasoned enough to use the firm's model projections since that approach is based on the delinquency pipeline. According to UBS analysts, this dismal performance is not surprising, explaining that the housing market is still under pressure and the options for subprime borrows to refinance are still shrinking. They added that the virtual shutdown of the subprime and Alt-A sectors happened after many of the borrowers that refinanced last month had already closed on their loans. This would mean that the delinquency and speed data will still deteriorate in the months ahead. The firm's projected loss data is based the historical performance of the subprime market. Since that market no longer exists, the firm's estimates will come in on the low side unless a major bailout occurs, which analysts do not expect to happen. "We suspect the contraction underway in the housing market and the subprime mortgage market will continue to reinforce each other for months to come," analysts said. "This points to continued deterioration in the remittance data for the foreseeable future."
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Spreads ranging from 16-18 basis points over the three-month, interpolated yield curve on the P1 (Moody's) and F1+ (Fitch) notes, to 160 to 170 over the benchmark on the class D notes.
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Broken down by product type, the agency's NJCLASS Standard Fixed product should account for a large majority of the loans, 75.4%. NJCLASS Consolidation will account for the next-largest group, 14.1%.
April 24 -
The notes will price against Treasurys, with spreads expected to fall between 85 and 90 basis points over the benchmark.
April 24 -
The JPMorgan Chase CEO took aim Tuesday at the proposed Basel III endgame rules, hindrances to mergers and bureaucratic burdens. "I would love to have a more productive relationship with regulators, but I think it takes conversation," Dimon said.
April 24 -
Bluegreen Vacation originated the loans and Fitch expressed confidence in its record of good performance as servicer.
April 23 -
Many legal experts think the Supreme Court will rule in favor of the Consumer Financial Protection Bureau in a case challenging its funding. Such a ruling would unleash a flurry of litigation that has been on hold pending the outcome of the constitutional challenge.
April 23