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RMBS

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  • Longer liquidation times lines and falling home prices have led to a worsening of loss severities of subprime residential mortgage-backed securities to 76%, according to Fitch Ratings.
  • There is growing concern that the quality of the commercial mortgage-backed securities coming to the market is declining amid the industry’s revival.
  • Price guidance on Lloyds Banking Group’s Headingley 2011-1 residential mortgage-backed deal emerged this afternoon.
  • Northern Rock is shopping its first public residential mortgage-backed deal since the financial crisis. The issue is being hailed as a major boost to Europe’s securitization sector, but some London-based investors reckon it could prove tricky to tempt some buyers, noting bonds in Northern Rock’s Granite RMBS may yet offer better yields.
  • U.S. regulators are expected to miss the April 18 target date, set under the Dodd-Frank Wall Street Reform Act, for overhauls to the lending market that includes risk retention rules for mortgages and securitizations.
  • Citigroup is said to be preparing an issue of residential mortgage-backed securities denominated in Australian dollars.
  • FIG
    Deutsche Bank, JP Morgan and Royal Bank of Scotland will sell Northern Rock’s first public post-crisis securitisation, a £1.5bn prime RMBS. The deal will be issued through Gosforth Funding 2011-1, which will be a standalone static pool deal.
  • The U.S. Department of the Treasury plans to start selling off its $142 billion portfolio of agency residential mortgage-backed securities, with the first batch of $10 billion expected this month.
  • Smaller players in the U.K. and European mortgage sector, such as retail banks and building societies, are being tipped to contribute to a healthy flow of residential mortgage-backed securities issuance this year.