Late last month, a Manhattan district court judge denied a plaintiff investor's motion to hire experts to perform statistical sampling analysis in a case involving legacy MBS.
Since 2006, only one rated whole business securitization has defaulted. Investors in the deals are protected by various features, including a model that isn't particularly reliant on issuer profits.
The founder and CEO of Premium Point Investments, New York, was sentenced to 50 months in prison for overvaluing by $100 million the value of securities his hedge fund had invested in.
Investors in some prime non-agency MBS are taking losses even though loans in the deals are performing well. The red ink is tied to variable servicing fees and high prepayment rates.
Provident Funding is set to issue a non-agency MBS with standard mortgages eligible for sale to the GSEs. An affiliate of Cerberus is also planning a relatively large deal backed by seasoned mortgages.
The Fed has significantly stepped up purchases of agency MBS in recent months. However, the central bank's balance sheet shows no sign of an increase in MBS holdings, prompting some questions. Meanwhile, shoring up the repo market might be a factor.
The $302.8 million transaction is comprised of fully collateralized excess-of-loss reinsurance coverage from Triangle Re on a portfolio of existing MI policies written this year.
The novelty of prepayment as a primary risk factor is one of the charms MBS have for foreign investors, particularly sophisticated institutional investors. That’s because it has a relatively low correlation factor with other assets.
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