#MBS – Federal Financial Analytics

8 08, 2023

FedFin on: Say It’s Simple

Arezou Rafikian2023-08-09T14:19:41-04:00August 8th, 2023|The Vault|

Our most recent analysis of the inter-agency capital proposal focuses on significant changes to the rules for securitization and credit-risk transfer positions. In short, super-traditional securitizations have an easier path to the secondary market, but GSEs still beat banks. Complex ABS face often-formidable obstacles, as does CRT given or taken by banks.

The full report is available to subscription clients. To find out how you can sign up for the service, click here.…

8 08, 2023

GSE-080823

Eliza Allen2023-08-08T13:46:46-04:00August 8th, 2023|4- GSE Activity Report|

Say It’s Simple

Our most recent analysis of the inter-agency capital proposal focuses on significant changes to the rules for securitization and credit-risk transfer positions. In short, super-traditional securitizations have an easier path to the secondary market, but GSEs still beat banks. Complex ABS face often-formidable obstacles, as does CRT given or taken by banks.

GSE080823.pdf…

18 07, 2023

GSE-071823

Eliza Allen2023-07-18T11:42:19-04:00July 18th, 2023|4- GSE Activity Report|

40 Percent!?

Reuters is reporting today and other sources are echoing three regulatory sources saying that the impending capital rewrite will propose risk weighted assessments (RWAs) between 40 and 90%, up from the minimum 20 and 70% Basel standards. The rationale according to Reuters is a desire not to set big-bank RWAs lower than those applicable to smaller banks. However, the rule could also amend smaller-bank RWAs if regulators are or become so inclined.

GSE071823.pdf…

20 03, 2023

FedFin on: The Collateral Damage of the Banking Crisis

Eliza Allen2023-03-20T14:30:07-04:00March 20th, 2023|The Vault|

In this report, we build on FedFin’s in-depth reports about recent bank failures to detail new risks for all of the innocent bystanders in the U.S. mortgage market along with a not so-innocent bystander: the Federal Home Loan Banks. We note also some take-aways FHFA may draw from the crisis with regard to GSE regulation, resolution, and supervision. In short, things will be different assuming they don’t get worse and then still more of a paradigm shift.

The full report is available to retainer clients. To find out how you can sign up for the service, click here and here.…

20 03, 2023

GSE-032023

Eliza Allen2023-03-20T13:51:11-04:00March 20th, 2023|4- GSE Activity Report|

The Collateral Damage Of The Banking Crisis

In this report, we build on FedFin’s in-depth reports about recent bank failures to detail new risks for all of the innocent bystanders in the U.S. mortgage market along with a not so-innocent bystander: the Federal Home Loan Banks. We note also some take-aways FHFA may draw from the crisis with regard to GSE regulation, resolution, and supervision. In short, things will be different assuming they don’t get worse and then still more of a paradigm shift.

GSE-032023.pdf…

11 01, 2023

FedFin on: An Implacable Problem With a Policy Solution

Eliza Allen2023-01-11T16:47:56-05:00January 11th, 2023|The Vault|

As the Fed has hiked interest rates, mortgage rates have of course also gone up, sending a sudden chill through the residential market and putting home ownership even more out of reach for all but those for whom the home equity they still have after prices correct suffices for long-term wealth accumulation. However, mortgage rates have often risen higher than expected from usual yield spreads and thus Fed tightening is even more excruciating not just for the mortgage market, but also for FHFA’s equitable-finance mission and the Fed’s hoped-for soft landing…

The full report is available to subscription clients. To find out how you can sign up for the service, click here.

…

11 01, 2023

GSE-011123

Eliza Allen2023-01-11T13:13:55-05:00January 11th, 2023|4- GSE Activity Report|

An Implacable Problem with a Policy Solution

As the Fed has hiked interest rates, mortgage rates have of course also gone up, sending a sudden chill through the residential market and putting home ownership even more out of reach for all but those for whom the home equity they still have after prices correct suffices for long-term wealth accumulation. However, mortgage rates have often risen higher than expected from usual yield spreads and thus Fed tightening is even more excruciating not just for the mortgage market, but also for FHFA’s equitable-finance mission and the Fed’s hoped-for soft landing. In this analysis, we assess the dynamics of recent mortgage pricing and what might be done about it.

GSE-011123.pdf…

19 12, 2022

FedFin on: FSOC Targets Usual Suspects but Also Points to Big-BHC, Nonbank Mortgage Systemic Risk

Arezou Rafikian2023-01-03T15:56:33-05:00December 19th, 2022|The Vault|

As promised, this FedFin report provides an in-depth analysis of FSOC’s 2022 annual report, focusing on findings with near-term policy implications. As always, the report is lengthy and includes many observations and market details that provide insight into Treasury and member-agency-staff thought. Much in it reiterates concerns about short-term funding markets, CCPs, and….

The full report is available to retainer clients. To find out how you can sign up for the service, click here and here.…

19 12, 2022

FSOC28

Eliza Allen2022-12-19T13:00:38-05:00December 19th, 2022|5- Client Report|

FSOC Targets Usual Suspects but Also Points to Big-BHC, Nonbank Mortgage Systemic Risk

As promised, this FedFin report provides an in-depth analysis of FSOC’s 2022 annual report, focusing on findings with near-term policy implications. As always, the report is lengthy and includes many observations and market details that provide insight into Treasury and member-agency-staff thought. Much in it reiterates concerns about short-term funding markets, CCPs, and investment funds (with FSOC for the first time urging regulators to look not only at MMFs and OEFs, but also at collective investment vehicles). As previously noted, the report is relatively sanguine about digital-asset systemic risk but, also reiterates findings in FSOC’s report (see Client Report CRYPTO33) demanding rapid action on a raft of reforms in this high-risk sector. What surprised us is the discussion of large BHCs, which departs from longstanding Fed and FSOC comfort in the post-GFC regulatory regime for this sector.

FSOC28.pdf…

19 12, 2022

GSE-121922

Eliza Allen2022-12-19T12:55:45-05:00December 19th, 2022|4- GSE Activity Report|

Nonbanks Get Unwelcome FSOC Attention

As promised Friday when FSOC’s annual report was released, we here go into depth on its implications for residential housing. Most notable to us in the lengthy report was its continuing concern about residential-housing price vulnerability, its new focus on MBS-market volatility, and specific action steps to address longstanding fears about nonbank mortgage originators and servicers.

GSE-121922.pdf…