b13_-_non-agency_mortgage_securities

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1、Non-AgencyMortgageProductUpdateJamesPlunkettSeniorStrategist,MortgageSpecialist“ViewFromaHeight”•Almostnonewissuance•Strongdemand–Balancesheetsaugmentingloanportfolios–REIT’s•Decliningdelinquencyrates•Escalatedrateofforeclosures•Strugglinghousingmarket•Pendingstructuralandreg

2、ulatorychanges2BarrierstoNewIssuance•SECdisclosureregulations•Riskretentionrules•QRMdefinitionquestions•UncertainGSEwind-downtimeline•Lackofeconomicjustification•Capitalallocationproblems•Highbalanceneedsforloans•Lowloanoriginationvolumes•Pooroverallcollateralperformance3Disc

3、losureRules•SECdisclosureregulationsrequireassetreview;rule193andAmendmentstoRegulationABItem1111requiresthat“thereviewmust,ataminimum,bedesignedandeffectedtoprovidereasonableassurancethattheprospectusdisclosureabouttheassetsisaccurateinallmaterialrespects.”•Reviewsmaybeexpen

4、siveandhardtoobtain•Thirdpartliabilityandindemnificationarecontroversial4RiskRetentionDebateisOngoing•5%retentionfornon-QRMsecuritizations•QRMandotherexclusionscontroversial•Parvaluedefinition;faceamountorvalueofallinterests•Residualsandexcessinterestincludedinclosingproceeds

5、?•NextcommentperiodendsJune10th5QualifiedResidentialMortgages–ExemptedfromriskretentionrequirementsinFrank-Dodd–CurrentDefinition;•Owneroccupied•80%LTV,PMInotaddressed•Thirty-yearorlessamortizationschedule•Fulldocumentation•Noprepaymentpenalties•Zero60-daydelinquencies“TheQRM

6、istheexception,nottherule,andassuch,Ibelieveshouldbenarrowlydrawn.”–FDICChairmanSheilaBair6MortgageMarketinContraction7ANon-conformingOriginationDrought(amountsin$billions)8Non-AgencyShareisShrinking9Mortgage/CreditMarketConditions•Declininghomeprices•Historicallyhighforeclos

7、urerates•Decliningdelinquencyrates•Limitedpurchasefinancingandrefinancealternativesformanyborrowers•Ongoingmodificationefforts10HomePricesHaveMoreorlessStabilized11MedianHomeSalesPrice/MedianHouseholdIncomeRatioNear“Normal”12DelinquenciesTurnedtheCornerWhileForeclosuresJustLe

8、veledOff13DelinquencyRatesareDecliningforFullCreditSpectrum14Delinqu