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Inside MBS & ABS

July 2, 2009

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Agency MBS Market Hits New Monthly Record In June as Refi Fuels Second Quarter Surge

The agency MBS market hit a crescendo of new issuance last month, pulling second quarter production levels to their third-highest level ever as U.S. borrowers capitalized on a refinance opportunity that may be closing quickly. A total of $231.91 billion of agency MBS were issued in June, breaking a monthly production record that has stood since September 2003. June’s... [Includes two charts] Read More

FINRA Slaps Wachovia Securities with $1.4 Million Fine for Failing to Provide Timely Info to Investors

Wachovia Securities has agreed to pay $1.4 million in penalties to the Financial Industry Regulatory Authority for failing to deliver prospectuses and information materials to investors about securities they purchased, including collateralized mortgage obligations, and for related supervisory failures. FINRA, an independent securities industry watchdog, announced the settlement with... Read More

OTS Provides Updated Guidance on Appropriate Risk Weighting of Downgraded MBS and ABS

The Office of Thrift Supervision is telling institutions it regulates that they need to revise the risk-based capital classifications of MBS and other securities they hold if rating services downgrade the securities. The OTS and other banking agencies issued final risk-based capital standards back in November of 2001 that allow insured institutions to hold less capital... Read More

SIFMA Group Says Loan Mod Principal Forbearance Should Be Realized as Losses

The appropriate treatment for principal forbearance modifications is as realized losses at the time of modification, according to the Securities Industry and Financial Markets Association’s Asset Management Group. Principal forbearance modifications reduce a borrower’s monthly payment by permanently eliminating the interest accrual and amortization on a portion of the original principal... Read More

Agency CMO/REMIC Issuance Up Sharply In 2nd Quarter; Goldman Sachs Takes Lead

Tracking the sharp increase in production of agency pass-throughs, issuance of structured mortgage securities backed by Fannie Mae, Freddie Mac and Ginnie Mae MBS rose significantly during the second quarter of this year. A total of $70.69 billion of agency real estate mortgage investment conduits were issued during the second quarter, up 132 percent... [Includes one chart] Read More

Investors Stand Behind H4H Despite Mandatory Principal Reduction

The MBS investor community has mostly come to grips with the unsavory prospect of taking writedowns on their holdings, and an increasing number think the orderly process envisioned by the FHA HOPE for Homeowners program may be the best option. “Institutional investors absolutely want the HOPE for Homeowners program to work,” said Tom Deutsch, deputy executive director of the... Read More

Fitch Urges Asset Managers to Do Deeper Analysis in Pricing Distressed MBS Tranches

Owners of distressed loan portfolios should conduct a more detailed analysis of valuation factors rather than depend on an index as a proxy for obtaining a price for a particular residential MBS tranche, according to analysts with Fitch Solutions. A new Fitch study on valuation of non-agency MBS tranches is the kind of drill-down analysis that asset managers should be conducting in... Read More

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