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Inside MBS & ABS

October 10, 2008

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Much Uncertainty Remains as Treasury Ramps Up TARP; GSE and FHLBanks May Participate

The Treasury Department this week hurriedly moved to get its $700 billion Troubled Asset Relief Program up and running, but a lot of uncertainty remains for potential market participants, and their involvement may lag for a time until some answers emerge. Some observers think participation in the program may be limited to the potential sellers that are in the most precarious condition... Read More

Non-Agency MBS Market Bottoms Out In 3rd Quarter, Loses More Key Players

The non-agency MBS market thudded to a standstill in the third quarter of 2008, marking the end of a sharp downward spiral that began in the middle of last year. Along with just $2.22 billion in new issuance – virtually all of it re-securitizations of existing deals – the non-agency MBS market also lost several of the firms that had played major roles over... [Includes two charts] Read More

Banking Regulators to Lower Risk-Based Capital Requirements for GSE Mortgage Securities

Federal banking regulators this week proposed to lower the risk-based capital requirements for bank and thrift holdings of MBS issued by Fannie Mae and Freddie Mac. Under the proposed rule change, depository institutions could classify their Fannie and Freddie MBS in the 10 percent risk-weight category. These assets currently require a 20 percent risk weighting, meaning banks and... Read More

Market Won’t Give Thumbs Up to SEC’s Fair Value Guidance Until After Issuance of 3Q Financial Reports

Whether fair value rule clarifications issued last week will result in more accurate pricing of mortgage assets will not be known until third quarter reports come out, although the mortgage and banking industries are optimistic that fire-sale valuations will ease at least for the time being. The Mortgage Bankers Association said guidance issued last week by the Securities and... Read More

Moody’s Says Issuers of Covered Bonds Can Structure Deals to Minimize Rating Linkage

Although the two covered bond programs launched in the U.S. had identical structures and there is no federal law on covered bonds, potential sponsors have considerable flexibility to put together transactions tailored for their needs, suggests Moody’s Investors Service. Ratings on all covered bonds are, to some extent, linked to the corporate ratings of the sponsor... Read More

SIFMA Helps Develop Industry Protocol to Aid Firms In Closing Outstanding TBA MBS Deals With Lehman

Firms looking to terminate some outstanding MBS trades with Lehman Brothers, now in Chapter 11 bankruptcy protection, have some guidance they can follow, thanks to an industry protocol developed by the Securities Industry and Financial Markets Association, some of its buy-side members, and Lehman’s court-appointed Securities Investor Protection Corp. trustee. SIFMA’s work... Read More

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