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Inside MBS & ABS

August 14, 2009

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Government Holdings of Agency MBS Continued To Climb in July, But Growth May Be Slowing

The Federal Reserve and the U.S. Treasury have been the biggest players in the agency MBS market for most of 2009, and recent data suggest the two agencies remain on track to reach their ambitious buying targets for the year. The Federal Open Market Committee this week renewed its pledge to buy some $1.25 trillion of agency MBS – plus another... [Includes one chart and two graphs] Read More

Credit Analysts Expect Total Losses for Legacy MBS on Banks’ Books to Reach $260 Billion

Despite signs of a stabilizing economy and government intervention programs taking hold, expected losses on toxic mortgage securities that are still on banks’ books continue to climb, according to analysts. In its latest update on the performance of legacy mortgage securities still carried by U.S. banks, Standard & Poor’s concluded that total losses on the banks’ MBS portfolios are still... Read More

GSE Loan Buyouts Leap, With Much More to Come, But Will GSEs Spook Investors and Roil Market?

Fannie Mae and Freddie Mac have seen a big spike in their buyouts of delinquent and modified mortgage loans in recent quarters, a growing trend that is expected to intensify later this year. But the two government-sponsored enterprises have pipelines of delinquent loans that are swelling so rapidly, they could disrupt the secondary market if they move too much, too fast... Read More

Nearly Half of Borrowers Will be Underwater Before Market Stabilizes, Deutsche Bank Says

A new report from Deutsche Bank concluded that before home prices begin to firm up, 25 million homeowners, or 48 percent of all borrowers, will owe more than their house is worth. While this figure seems astronomical, a new report from First American CoreLogic estimates that 32.2 percent of all mortgages were underwater at the end of the second quarter of 2009... Read More

S&P Develops New MBS Surveillance Platform to Improve Exception Reporting

Standard & Poor’s is developing a new surveillance platform for residential MBS with a better collateral exception-reporting system in order to minimize the risk of loss due to bad loans. The surveillance platform is part of S&P’s broad effort to enhance transparency by improving its surveillance criteria for MBS and issuing information materials to explain its standards... Read More

Efforts to Restart the Non-Agency Market Continue as Industry Reps Brainstorm

Continuing concerns over the languishing non-agency secondary market have prompted the Mortgage Bankers Association to release for public feedback a draft model whole loan purchase and sale agreement. The model agreement was designed to help increase liquidity and efficiency in the non-conforming residential mortgage market, the trade group said. It would standardize the structure of... Read More

S&P Seeks Market Opinion on Proposed Stressed Principal Recovery Ratings for MBS

Standard & Poor’s is seeking comment on proposed “stressed recovery ratings” which are designed to provide investors estimates of ultimate recovery of principal on specific MBS if they default. The proposed stressed recovery rating methodology would apply to senior tranches of prime, Alt A, and subprime MBS, which S&P originally rated at ‘AAA’ but have been downgraded to ‘BB+’ or... Read More

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