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Inside MBS & ABS

May 12, 2006

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Fannie Finds More Holes in MBS Accounting Practices, Offers Detail on New Investments

Fannie Mae this week announced that it has found new problems in its accounting for certain mortgage securities transactions but still hopes to have its revised 2004 financial statements sometime in the second half of this year. Officials at the government-sponsored enterprise also said they welcome new regulatory guidance on nontraditional mortgage products as a development that should balance the market a little more in Fannie’s favor. Most mortgage lender groups, as well as those… Read More

Investor Support for MBS Seems Strong, But How Deep Does it Run?

There’s been a lot of liquidity for the MBS market while it’s been hot, with hedge funds, investors from Asia and CDOs playing particularly active roles in the market. But just how deep is the passion and what kind of influence will these players exert as the market transitions this year? … Read More

Foreign Investors Continue Flocking to U.S. Asset-Backed Secu-rities; China Leads the Way

Mainland China led a stampede of foreign investors buying up agency MBS in 2005, according to preliminary data released by the Treasury Department. The Chinese held an estimated $55.89 billion of asset-backed securities issued by government agencies as of the end of June 2005, an increase of 73 percent from the same period in 2004. For the purposes of the Treasury International Capital system, the survey through which the data are collected, government agency ABS… [One data table included] Read More

Servicers Want Leniency on Reg AB Audit Requirement, But SEC Poised to Enforce Full Compliance Right Away

Many servicers of non-agency MBS and ABS may not be able to fully comply with the audit requirement of Regulation AB in time, but the industry is having a tough time getting the Securities and Exchange Commission to give any slack. Instead, the SEC appears set on full compliance from the get-go, although sources suggest that some members may be open to discussing the issue. Failing to meet Reg. AB’s tough standards could jeopardize a… Read More

Commercial MBS Issuance Drops Sharply In Early 2006, Still Ahead of Last Year

Commercial mortgage-backed securities issuance in the first quarter of 2006 fell 26 percent from the final three-month period of last year, possibly signaling a cyclical shift in the market. Clocking in at $46.4 billion, CMBS issuance was down $16.1 billion from the previous quarter, but it was still the second best quarter on record, according to the Inside Mortgage Finance MBS… [One data table included] Read More

Jumbo Mortgage Securitization Slows in 2006, With Fewer Big Loans in Alt A, Subprime Deals

Securitization of mortgage loans over the Fannie/Freddie conforming limit slowed sharply in the first quarter of 2006, according to the Inside Mortgage Finance MBS Database. Some $99.2 billion of jumbo mortgages were funneled into the non-agency MBS market during the first three months of 2006, down 20.8 percent from the fourth quarter of last year. It did, however, represent a sizable 23.4 percent jump from the first three months of 2005. … [One data table included] Read More

New Fitch Rating Scheme Gauges Chances of Recovery For ‘Distressed’ ABS, MBS Securitization Classes

Investors who hold performance-plagued classes of asset- and mortgage-backed securities have gotten a new tool for gauging the chances that they will recover some principal and interest in case of default. In an audio conference last week, Fitch Ratings took the wraps off a new rating system for distressed securities that aims to estimate recoveries on a forward-looking basis. The new rating scheme is part of an effort to provide “enhanced analytics” for structured finance… Read More

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