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Inside MBS & ABS

July 10, 2009

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Treasury Names Fund Managers for Legacy Securities Arm of Smaller Toxic Asset Rescue

The Obama administration this week nudged forward the government’s long-awaited plan to help banks rid their balance sheets of distressed mortgage securities, although the scope of the initiative will be significantly narrower than originally thought. The Treasury Department revealed nine asset managers that will move as much as $40 billion in... [Includes one chart] Read More

Groups Encourage Expansion of TALF To Include Legacy Non-Agency MBS

The government’s Term ABS Loan Facility has been a major contributor to the revival of the non-mortgage ABS market in recent months, and industry groups are pressing regulators to stick with their plans to expand the program to existing non-agency MBS to provide liquidity for a market that is still paralyzed. Industry trade groups commended the Federal Reserve Bank of New York, which is... Read More

Research Suggests Securitization Isn’t the Hangup in Mortgage Loan Modifications, Other Risks Involved

Servicers dealing with distressed mortgage loans may be reluctant to undertake loan modifications because of key overlooked risks rather than constraints imposed by the mortgage securitization business, according to a new study by Federal Reserve economists released this week. The analysis of loans that became 60-days or more past due found that loan modification rates were... Read More

Are Mortgage Losses Stabilizing? Thrift Charge-Off Amounts for MBS Fall to Levels Not Seen Since 2007

The latest data from the Office of Thrift Supervision provide a preliminary indication that soaring charge-off rates on mortgage securities holdings by thrift institutions may have peaked during the fourth quarter of 2008, according to a new analysis by Inside MBS & ABS. The annualized net charge-off rate for thrift mortgage pool securities was 2.379 percent in the... Read More

Changes to S&P Methodology Result in Higher Loss Estimates for 2005-2007 Subprime, Alt A Deals

Changes in the method and assumptions used by Standard & Poor’s to project losses for residential MBS has resulted in higher loss assumptions for deals backed by subprime and Alt A collateral. The higher default and loss severity adjustments were on subprime deals issued in 2005, 2006, 2007, which showed losses rising to 14.0 percent, 32.0 percent, and 40.0 percent, respectively. The loss... Read More

Issuance Boom Helps Supply of Mortgage Securities Outstanding Continue to Grow in Early 2009

The supply of MBS in the market rose to a record $7.079 trillion as of the end of the first quarter of 2009 despite ongoing severe distress in the U.S. housing market. The total volume of residential MBS was up 4.1 percent from the fourth quarter, reversing a modest decline in the supply over the second half of 2008. The biggest jump was in the Fannie... [Includes one chart] Read More

Agency MBS Market Gets More Consolidated As Top Issuers Capitalize on Surging Volume

The top mortgage originators became increasingly dominant in securitizing home loans through the agency MBS programs during the second quarter of 2009, according to a new analysis and ranking by Inside MBS & ABS. The three largest issuers of agency MBS in 2009 – Wells Fargo, Bank of America and Chase Home Finance – accounted for nearly half, 49.3 percent, of all the... [Includes one chart] Read More

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