Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem
|
|
- Paul Booker
- 6 years ago
- Views:
Transcription
1 Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem Juan Ospina 1 Harald Uhlig 1 1 Department of Economics University of Chicago July 20, 2016
2 Outline
3 Post Mortem post mortem: an examination of a dead body to determine the cause of death.
4 What we do Questions: What were the losses and returns on non-agency RMBS, in particular those rated AAA? How did the ex-ante rating compare to their ex-post performance? Role of house price boom and bust for RMBS performance? Approach: Create new data set of 143 thousand RMBS bonds. Obtain their ratings, their characteristics, their payoff stream. Calculate losses, returns. Compare to ratings. Compare to house price booms and busts, state-by-state.
5 Data Collection We needed to find a source that had some information about the universe of securities Mortgage Market Statistical Annual 2013 Edition had information on all non-agency MBS deals issued between 2006 and 2012 About 50 pages of tables deals.
6 A sample table from the Stats Annual
7 Data Collection on Bloomberg Searched for the 2824 deals from the Stats Annual Searched also for related deals (for example by name of financial institution) Deal Example Once we find a deal, we look back at all deals with similar name. Goal: get the universe of deals. Total: 8615 deals Old Deal Example For each deal, get tranches (securities, bonds) Total: bonds. Principal: 5.7 trillion $. Tranches Example Per bond: obtain 93 variables plus losses and cash flows Security Challenge: Bloomberg places a limit on how much information can be downloaded per month: Max out below 15 thousand securities per month. We have more than 140 thousand securities It took more than a year to collect all the data
8 Bloomberg Deal Search I Back
9 Bloomberg Deal Search II Back
10 Bloomberg List of Securities (Tranches) Back
11 Bloomberg Security Example Back
12 Data specs: ( Distr.:min, max, mean, 25th, 50th,75th ) Security Identification Cusip ID Deal Name Deal Manager Issuer Company Security Classification Deal Type (eg. CMBS, RMBS) Collateral Type (Home, Auto, Student) Collateral Type (ARM vs FRM) Agency Backed (yes, no) Agency (Fannie Mae, Freddie Mac) Dates Issue Date Pricing Date Maturity Date Security Description Bond type (e.g. Floater, i Only) Tranche Subordination Description Coupon Type (e.g. Fixed, Floating) Coupon Frequency (e.g. Monthly) Coupon Index Rate (e.g. 3M-libor) Credit Rating Current and Original Ratings (5 ag.) Other Security Characteristics Credit Support at Issuance Original Principal Amount Collateral Description Mortg.Purp.(% Equ. Takeout, Refin.) LTV Distr.. Credit Score Distr. Mortgage Size Distr. MBS metrics 1: w. av. coupon MBS metrics 2: w. av. Life MBS metrics 3:w. av. maturity Fraction of ARM and FRM Occup. (% own, inv., vac.) Geographic Information Fraction of mortg. in top 5 states Cash Flow and Losses Monthly Interest, Principal Paym. Monthly Outstanding balance Monthly Losses
13 What we find Five facts: 1. The bulk of these securities was rated AAA. 2. AAA securities did ok: on average, their total cumulated losses up to 2013 are under six percent. Their rate of return was above 2 percent. 3. The subprime AAA-rated RMBS did particularly well. 4. The bulk of the losses were concentrated on a small share of all securities. 5. Later vintages did worse than earlier vintages. Together, these facts call into question the conventional narrative, that improper ratings of RMBS were a major factor in the financial crisis of 2008.
14 Fact 1: The bulk of these securities was rated AAA. MBS Bonds Principal Amount Rating No. Pct. ($ Billion) Pct. AAA 65, , AA 13, A 13, BBB 13, BB 6, B 3, CCC CC C Rated 115, , Not Rated 26,
15 Frequency Frequency Frequency FICO scores vs Prime, Alt-A, Subprime Subprime Alt-A Prime Mean FICO Score Subprime Alt-A Prime Subprime Alt-A Prime Mean Mortgage Loan Size Mean LTV
16 Loss Rate Losses on AAA securities Fact 2: AAA securities did ok: on average, their total cumulated losses up to 2013 are under six percent. Their rate of return was above 2 percent. Fact 3: The subprime AAA-rated RMBS did particularly well Prime AltA Subprime All AAA % % 31.8% Time
17 Loss ($ billion) Dollar Amount of Losses in Non-Agency RMBS All RMBS AAA-rated Inv. Grade Ex-AAA Non-Inv. Grade
18 Cash flow example Example Deal JPALT 2006-S1 Security Name JPALT 2006-S2 A7 Mtge Security ID 46627MEX1 Original Rating AAA Year Coupon Rate Interest Payments 1,421 2,131 2,131 2,108 1,989 1, Principal Payment ,247 1,365 1, Loss ,844 14,039 7,550 3,802 Balance 34,547 34,547 34,547 33,300 27,091 11,878 3,898 -
19 Returns 1 P 0 = T t=1 i t + p t (1 + r) t + TV T (1 + r) T (1)
20 Returns 2 Return Statistic 80% TV 90% TV 100% TV By Credit Rating AAA AA A BBB Inv. Grade Ex AAA By Type of Mortgage AAA Prime AAA SubPrime AAA AltA
21 Returns 3 Return Statistic 80% TV 90% TV 100% TV Fixed Rate MBS AAA Prime Fixed AAA SubPrime Fixed AAA AltA Fixed Floating Rate MBS AAA Prime Floating AAA SubPrime Floating AAA AltA Floating
22 Frequency Fraction With Loss < 5% Fraction With Loss > 5% Fact 4: The bulk of the losses were concentrated on a small share of all securities Panel A: All RMBS 1 Panel B: By Credit Rating AAA Loss < 5% IG Ex-AAA Loss < 5% Non-IG Loss < 5% AAA Investment Grade Ex-AAA Non-InvestmentGrade Loss as a Fraction of Principal Loss as a Fraction of Principal
23 Fact 5: Later vintages did worse than earlier vintages. Principal-Weighted Losses in RMBS and Credit Ratings: Rating Full Sample Before AAA *** *** *** AA *** *** *** A *** *** *** *** BBB *** *** *** *** BB *** *** *** *** B *** *** *** *** CCC *** *** *** *** CC *** *** C or Below *** *** *** *** Observations 93,902 19,230 38,381 36,291 R-squared Standard errors in parentheses p < 0.10, p < 0.05, p < 0.01
24 Misratings Compare actual loss rate lossrate i,t = L i,t /Principal i,t to expected loss rate in table by Moody s.
25 Moody s Table
26 Misratings
27 Loss-Rates and House Price Boom/Busts L i = β MA ω i,ma + β IL ω i,il β X X i + ɛ i where L i is loss for security i, where ω i,ma is the fraction of principal invested in the state MA, etc.. (with only five of these weights nonzero), and where X i are controls. L i = β boom (ω i,ma boom P MA + ω i,il boom P IL +...) + β bust (ω i,ma bust P MA + ω i,il bust P IL +...) ɛ i where boom P MA is the percent change of house prices during the boom, , bust P MA is the percent change during the bust , etc..
28 State-Level Dummies for Loss Rates with Controls without Controls 0.3 / / / / / / / / / / -0.4
29 State-Level House Price Boom and Bust Boom: 2000-Q1 to 2006-Q4 Bust: 2006-Q4 to 2009-Q4 23.2% / 38% 38% / 44.6% 44.6% / 72.1% 72.1% / 94.1% 94.1% / 165.2% -43.2% / -14.4% -14.4% / -9.6% -9.6% / -2.9% -2.9% / 0.2% 0.2% / 9.1%
30 House Prices and Loss Rates (1) (2) (3) (4) (5) HP *** *** *** HP *** -0.63*** *** Price Reversal *** Controls No No No No Yes Observations 93,902 93,902 93,902 93,902 71,316 R-squared Standard errors in parentheses p < 0.10, p < 0.05, p < 0.01
31 Conclusions Five facts: 1. The bulk of these securities was rated AAA. 2. AAA securities did ok: on average, their total cumulated losses up to 2013 are under six percent. Their rate of return was above 2 percent. 3. The subprime AAA-rated RMBS did particularly well. 4. The bulk of the losses were concentrated on a small share of all securities. 5. Later vintages did worse than earlier vintages. Together, these facts call into question the conventional narrative, that improper ratings of RMBS were a major factor in the financial crisis of 2008.
Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem
Mortgage-Backed Securities and the Financial Crisis of 28: a Post Mortem Juan Ospina 1 Harald Uhlig 1 1 Department of Economics University of Chicago October 217 Outline Post Mortem post mortem: an examination
More informationMortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem
Mortgage-Backed Securities and the Financial Crisis of 28: a Post Mortem Juan Ospina University of Chicago Harald Uhlig University of Chicago First draft: January 21st, 216 This revision: October 26, 216
More informationMortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem
WORKING PAPER NO. 2018-24 Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem Juan Ospina and Harald Uhlig April 2018 1126 E. 59th St, Chicago, IL 60637 Main: 773.702.5599 bfi.uchicago.edu
More informationU.S. CAPITAL MARKETS DECK
U.S. CAPITAL MARKETS DECK SIFMA RESEARCH SEPTEMBER 217 Introduction The United States has the largest and deepest capital markets in the world according to the Federal Reserve, capital markets provide
More informationA Guide to Investing In Corporate Bonds
A Guide to Investing In Corporate Bonds Access the corporate debt income portfolio TABLE OF CONTENTS What are Corporate Bonds?... 4 Corporate Bond Issuers... 4 Investment Benefits... 5 Credit Quality and
More informationSafe Harbor Statement
Third Quarter 2009 Safe Harbor Statement All statements made during today s investor presentation and in these webcast slides that address events, developments or results that we expect or anticipate may
More informationAmerican Financial Group, Inc.
Investor Supplement - Fourth Quarter 2015 February 2, 2016 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739
More informationMarch 2017 For intermediaries and professional investors only. Not for further distribution.
Understanding Structured Credit March 2017 For intermediaries and professional investors only. Not for further distribution. Contents Investing in a rising interest rate environment 3 Understanding Structured
More informationAmerican Financial Group, Inc. Investor Supplement Fourth Quarter 2016
Investor Supplement Fourth Quarter 2016 February 1, 2017 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739
More informationFANNIE MAE POOLTALK GLOSSARY (Updated as of October 2013)
FANNIE MAE POOLTALK GLOSSARY (Updated as of October 2013) Fannie Mae generally relies on its mortgage loan sellers/servicers to provide pool and loan level information to generate its MBS disclosures.
More informationAmerican Financial Group, Inc.
Investor Supplement - Third Quarter 2018 October 31, 2018 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739
More informationAmerican Financial Group, Inc.
Investor Supplement - Second Quarter 2018 August 1, 2018 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739
More informationAmerican Financial Group, Inc.
Investor Supplement - First Quarter 2018 May 2, 2018 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739 Table
More informationInvestment Materials. February 9, Genworth Financial, Inc. All rights reserved.
Investment Materials February 9, 2009 2008 Genworth Financial, Inc. All rights reserved. Investment Portfolio Position $67.9B Investment Grade Fixed Maturity 44% High Quality Portfolio: 95% Of Fixed Maturities
More informationOn-line Appendix for Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem
On-line Appendix for Mortgage-Backed Securities and the Financial Crisis of 28: a Post Mortem April 6, 218 Abstract This on-line appendix is divided into three sections. Section A explains in detail, step
More informationAmerican Financial Group, Inc.
Investor Supplement - Fourth Quarter 2017 February 7, 2018 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739
More informationThe Financial Turmoil in 2007 and 2008
The Financial Turmoil in 2007 and 2008 Gerald P. Dwyer June 2008 Copyright Gerald P. Dwyer, Jr., 2008 Caveats I am speaking for myself, not the Federal Reserve Bank of Atlanta or the Federal Reserve System
More informationKeefe, Bruyette & Woods Insurance Conference. S.A. Ibrahim, CEO NYSE: RDN September 7, 2010
Keefe, Bruyette & Woods Insurance Conference S.A. Ibrahim, CEO NYSE: RDN September 7, 2010 1 Safe Harbor Statements All statements made during today s investor presentation and in these webcast slides
More informationAXIS Capital Holdings Limited. Investment Portfolio Supplemental Information and Data March 31, 2010
AXIS Capital Holdings Limited Investment Portfolio Supplemental Information and Data March 31, 2010 Cautionary Note on Forward Looking Statements Statements in this presentation that are not historical
More informationAG Mortgage Investment Trust, Inc. Q Earnings Presentation
AG Mortgage Investment Trust, Inc. Q1 2018 Earnings Presentation May 3, 2018 Forward Looking Statements and Non-GAAP Financial Information Forward Looking Statements: This presentation includes "forward-looking
More informationWells Fargo Bank, N.A. General Information Statement
The following information should be considered in conjunction with the Prior Securitized Pool reports: General Information Statement. The performance information for Prior Securitized Pools is based upon
More informationPrimer: building a case
Marketing material for professional investors or advisers only Primer: building a case for Fool s infrastructure gold: mining for finance true value in the US commercial real estate debt market September
More informationSecond Quarter 2018 Earnings Call AUGUST 8, 2018
Second Quarter 2018 Earnings Call AUGUST 8, 2018 Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes forward-looking statements within the meaning of the safe harbor provisions
More informationMBS ratings and the mortgage credit boom
MBS ratings and the mortgage credit boom Adam Ashcraft (New York Fed) Paul Goldsmith Pinkham (Harvard University, HBS) James Vickery (New York Fed) Bocconi / CAREFIN Banking Conference September 21, 2009
More informationAG Mortgage Investment Trust, Inc. Q Earnings Presentation. August 7, 2018
AG Mortgage Investment Trust, Inc. Q2 2018 Earnings Presentation August 7, 2018 Forward Looking Statements and Non-GAAP Financial Information Forward Looking Statements: This presentation includes "forward-looking
More informationBBM2153 Financial Markets and Institutions Prepared by Dr Khairul Anuar
BBM2153 Financial Markets and Institutions Prepared by Dr Khairul Anuar L6: The Bond Market www. notes638.wordpress.com 6-1 Chapter Preview In this chapter, we focus on longer-term securities: bonds. Bonds
More informationWells Fargo Bank, N.A. General Information Statement
The following information should be considered in conjunction with the Prior Securitized Pool reports: General Information Statement. The performance information for Prior Securitized Pools is based upon
More informationNotice regarding Revisions of Earnings Forecasts
To Whom It May Concern October 31, 2008 Listed Company: Mitsubishi UFJ Financial Group, Inc. Representative: Nobuo Kuroyanagi, President (Code:8306) Notice regarding Revisions of Earnings Forecasts Mitsubishi
More informationReal Estate Loan Losses, Bank Failure and Emerging Regulation 2010
Real Estate Loan Losses, Bank Failure and Emerging Regulation 2010 William C. Handorf, Ph. D. Current Professor of Finance The George Washington University Consultant Banks Central Banks Corporations Director
More informationThe Mortgage and Housing Market Outlook
The Mortgage and Housing Market Outlook National Economists Club Washington, DC March 27, 2008 Frank E. Nothaft Chief Economist Recession Risk, Housing Contraction Worsen 1-in-2 chance of recession in
More informationReal Estate Loan Losses, Bank Failure and Emerging Regulation 2011
Real Estate Loan Losses, Bank Failure and Emerging Regulation 2011 William C. Handorf, Ph. D. Current Professor of Finance The George Washington University Consultant Banks Central Banks Corporations Director
More informationAmerican Financial Group, Inc.
Investor Supplement - Second Quarter 2014 July 28, 2014 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739
More informationKBW Mortgage Finance Conference. June 1, 2016
KBW Mortgage Finance Conference June 1, 2016 Safe Harbor Statement F O R W A R D - L O O K I N G S T A T E M ENTS This presentation includes forward-looking statements within the meaning of the safe harbor
More informationChapter 12. The Bond Market
Chapter 12 The Bond Market Chapter Preview In this chapter, we focus on longer-term securities: bonds. Bonds are like money market instruments, but they have maturities that exceed one year. These include
More informationAmerican Financial Group, Inc.
Investor Supplement - Second Quarter 2013 July 29, 2013 American Financial Group, Inc. Corporate Headquarters Great American Insurance Group Tower 301 E Fourth Street Cincinnati, OH 45202 513 579 6739
More informationSecond Quarter 2018 Investor Presentation
Second Quarter 2018 Investor Presentation 1 Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes forward-looking statements within the meaning of the safe harbor provisions of the
More information4091 P-01 7/14/03 7:40 AM Page 1 PART. One. Introduction to Securitization
4091 P-01 7/14/03 7:40 AM Page 1 PART One Introduction to Securitization 4091 P-01 7/14/03 7:40 AM Page 2 4091 P-01 7/14/03 7:40 AM Page 3 CHAPTER 1 The Role of Securitization Every time a person or a
More informationThe following information concerning Wells Fargo Bank s prior originations and purchases of Prime Adjustable-Rate Loans is included in this file:
The following information concerning Wells Fargo Bank s prior originations and purchases of Prime Adjustable-Rate Loans is included in this file: summary information regarding original characteristics
More informationMORTGAGE BACKED SECURITIES AN ACTUARIAL APPROACH TO CASH FLOW ANALYSIS
MORTGAGE BACKED SECURITIES AN ACTUARIAL APPROACH TO CASH FLOW ANALYSIS Kyle S. Mrotek, FCAS, MAAA Neal Dihora, ASA, CFA CAS Spring Meeting 1 Disclaimer This presentation contains our views and these views
More informationFuture State MBS Disclosures June 2018
Future State MBS Disclosures June 2018 Frequently Asked Questions Listed below are common questions related to Fannie Mae s future Single-Family MBS disclosure files that are scheduled to be implemented
More informationFirst Quarter 2017 Earnings Call MAY 4, 2017
First Quarter 2017 Earnings Call MAY 4, 2017 Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes forward-looking statements within the meaning of the safe harbor provisions of the
More informationSpecific financial information Q3 08
03/ 11/2008 Specific financial information Q3 08 (based on FSF recommendations for financial transparency) Contents Unhedged CDOs exposed to the US residential mortgage sector Write-downs on assets of
More informationChimeraARCover:ChimeraARCover 3/24/08 9:05 PM Page C Annual Report
2007 Annual Report Letter from the CEO and President Dear Fellow Shareholders: It gives me great pleasure to write my first annual letter to the shareholders of Chimera Investment Corporation. Chimera
More informationFinancial Guaranty Insurance Company RMBS and ABS CDOs as of June 30, October 9, 2007
Financial Guaranty Insurance Company RMBS and ABS CDOs as of June 30, 2007 October 9, 2007 Table of Contents Overview 3-5 Part I MBS 6 Underwriting 7-9 Portfolio 10-16 Performance 17-19 Part II ABS CDOs
More informationJPMorgan Funds statistics report: Mortgage-Backed Securities Fund
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE JPMorgan Funds statistics report: Mortgage-Backed Securities Fund Must be preceded or accompanied by a prospectus. jpmorganfunds.com Table of contents
More informationSpecific financial information Q1 10
05 / 05 / 2010 Specific financial information Q1 10 (based on FSF recommendations for financial transparency) We stand by you Contents Unhedged CDOs exposed to the US residential mortgage sector CDOs of
More informationInvesco Mortgage Capital Inc Fourth Quarter Earnings Call February 22, 2017
Invesco Mortgage Capital Inc. 2016 Fourth Quarter Earnings Call February 22, 2017 Richard King President & Chief Executive Officer John Anzalone Chief Investment Officer Rob Kuster Chief Operating Officer
More informationChapter 14. The Mortgage Markets. Chapter Preview
Chapter 14 The Mortgage Markets Chapter Preview The average price of a U.S. home is well over $208,000. For most of us, home ownership would be impossible without borrowing most of the cost of a home.
More informationChapter 4. Characteristics of Bonds. Chapter 4 Topic Overview. Bond Characteristics
Chapter 4 Topic Overview Chapter 4 Valuing Bond Characteristics Annual and Semi-Annual Bond Valuation Reading Bond Quotes Finding Returns on Bond Risk and Other Important Bond Valuation Relationships Bond
More informationM E M O R A N D U M Financial Crisis Inquiry Commission
M E M O R A N D U M Financial Crisis Inquiry Commission To: From: Commissioners Ron Borzekowski Wendy Edelberg Date: July 7, 2010 Re: Analysis of housing data As is well known, the rate of serious delinquency
More informationEnterprises' Disclosure Technical Specification for UMBS & all Single Class Securities Version June 2016
Enterprises' Disclosure Technical Specification for UMBS & all Single Class Securities Table of Contents Table Page # Description File Header Definitions 2 The table providing the definitions of the column
More informationEnterprises' Disclosure Technical Specification for UMBS & all Single Class Securities Version November 2016
Enterprises' Disclosure Technical Specification for UMBS & all Single Class Securities Table of Contents Table Page # Description File Header Definitions 2 The table providing the definitions of the column
More informationBeryl Credit Pulse on Structured Finance
Beryl Credit Pulse on Structured Finance This paper will summarize Beryl Consulting 2010 outlook and hedge fund portfolio construction for the structured finance sector in light of the events of the past
More informationFixed income. income investors. Michael Korber Head of Credit. August 2009
Fixed income Old lessons re-learned for income investors Michael Korber Head of Credit August 2009 Role of fixed income in a portfolio The role of fixed income in a portfolio a fixed or floating rate of
More informationThe New Landscape. David Bowman, Special Advisor Board of Governors
The New Landscape David Bowman, Special Advisor Board of Governors Estimates of US Dollar LIBOR Exposures, Market Participants Group Report (2014) Derivatives make up roughly 90 percent of all USD LIBOR
More informationDefault & Loss Rates of Structured Finance Securities:
SEPTEMBER 24, 2010 GLOBAL CREDIT POLICY SPECIAL COMMENT Default & Loss Rates of Structured Finance Securities: 1993-2009 Table of Contents: SUMMARY 1 THE DISTRIBUTION OF GLOBAL STRUCTURED FINANCE RATINGS
More informationFourth Quarter 2018 Earnings Call FEBRUARY 7, 2019
Fourth Quarter 2018 Earnings Call FEBRUARY 7, 2019 Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes forward-looking statements within the meaning of the safe harbor provisions
More informationComments on Understanding the Subprime Mortgage Crisis Chris Mayer
Comments on Understanding the Subprime Mortgage Crisis Chris Mayer (Visiting Scholar, Federal Reserve Board and NY Fed; Columbia Business School; & NBER) Discussion Summarize results and provide commentary
More informationReforming the Selection of Rating Agencies in Securitization Markets: A Modest Proposal
Reforming the Selection of Rating Agencies in Securitization Markets: A Modest Proposal Howard Esaki Lawrence J. White (An edited version will be forthcoming in the Milken Institute Review) Introduction:
More informationmortgages, bank loans and structured credit
mortgages, bank loans and structured credit Contents Introduction... 1 Nuts and Bolts Mortgage-Backed Securities... 2 Bank Loans... 10 Structured Credit... 13 Conclusion... 17 Behind the Industry Jargon...
More informationSpecific financial information Q2 10
04/ 08 / 2010 Specific financial information Q2 10 (based on FSF recommendations for financial transparency) We stand by you Contents Unhedged CDOs exposed to the US residential mortgage sector CDOs of
More informationAG Mortgage Investment Trust, Inc. Q Earnings Presentation
AG Mortgage Investment Trust, Inc. Q3 2018 Earnings Presentation November 8, 2018 Forward Looking Statements and Non-GAAP Financial Information Forward Looking Statements: This presentation includes "forward-looking
More informationCapital Market Trends and Forecasts
Capital Market Trends and Forecasts Glenn Yago, Ph.D. Director, Capital Studies Milken Institute Los Angeles Fire and Police Pension System Education Retreat January 7, 28 1 Dow Jones U.S. Financial Index
More informationCredit Rating Agencies and the Credit Crisis: What Securities Attorneys Need to Know
Credit Rating Agencies and the Credit Crisis: What Securities Attorneys Need to Know April13, 2010 Agenda Introduction Presentation Steve Herscovici, Managing Principal, Analysis Group Bill Chambers, Finance
More informationPORTFOLIO ARM BORROWER PAID RATE SHEET For Lender Paid Comp Plan see below
PORTFOLIO ARM BORROWER PAID RATE SHEET For Lender Paid Comp Plan see below 5/1 LIBOR (Portfolio 6/2/6) ARM (JP51, JP51IO) 7/1 LIBOR (Portfolio 6/2/6) ARM (JP71) 10/1 LIBOR (Portfolio 6/2/6) ARM (JP101)
More informationFANNIE MAE NEW ISSUE MEGA STATISTICS (NIMS) GLOSSARY (August 2016)
FANNIE MAE NEW ISSUE MEGA STATISTICS (NIMS) GLOSSARY (August 2016) NIMS provides enhanced at-issuance disclosures, including additional weighted averages, quartile data, and various stratifications, for
More informationHSBC Global Investment Funds - Global Asset-Backed Bond
HSBC Global Investment Funds - Global Asset-Backed Bond S Share Class AM2 AM2 31/08/2018 Fund Objective and Strategy Investment Objective The Fund invests for long-term total return (meaning capital growth
More informationWholesale Rate Sheet
a new lock may be requested at the current market price without incurring the relock fee. 5 Days 0.150% Conventional Fixed Products 30 Year Fixed 20 Year Fixed Rate 30 Day Price 45 Day Price 60 Day Price
More informationFirst Quarter 2018 Financial Summary. May 2, 2018
First Quarter 2018 Financial Summary May 2, 2018 Safe Harbor Notice This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference
More informationesf securitisation data report Q1:2008
esf securitisation data report Q1:28 June 28 London New York Washington Hong Kong TABLE OF CONTENTS Market Highlights and Commentary 1 1. Issuance 1.1. European Historical Issuance.............. 2 1.2.
More informationMemorandum. Sizing Total Exposure to Subprime and Alt-A Loans in U.S. First Mortgage Market as of
Memorandum Sizing Total Exposure to Subprime and Alt-A Loans in U.S. First Mortgage Market as of 6.30.08 Edward Pinto Consultant to mortgage-finance industry and chief credit officer at Fannie Mae in the
More informationInternet Appendix for Did Dubious Mortgage Origination Practices Distort House Prices?
Internet Appendix for Did Dubious Mortgage Origination Practices Distort House Prices? John M. Griffin and Gonzalo Maturana This appendix is divided into three sections. The first section shows that a
More informationThird Quarter 2018 Financial Summary. October 31, 2018
Third Quarter 2018 Financial Summary October 31, 2018 Safe Harbor Notice This presentation, other written or oral communications, and our public documents to which we refer contain or incorporate by reference
More informationEconomics 173A and Management 183 Financial Markets
Economics 173A and Management 183 Financial Markets Fixed Income Securities: Bonds Bonds Debt Security corporate or government borrowing Also called a Fixed Income Security Covenants or Indenture define
More informationU.S. Subprime Rating Surveillance Update
U.S. Subprime Rating Surveillance Update Glenn Costello Managing Director July 2007 Agenda Rating Actions And The July 2007 Under Analysis List Risk Factors Affecting Performance and Ratings Going Forward
More informationGuidelines Correspondent. Loan Program: 5/1 LIBOR ARM 2/2/5 85 LTV No PMI Dollar Bank (1585) LTV Limits:
Loan Program: 5/1 LIBOR ARM 2/2/5 85 LTV No PMI Dollar Bank (1585) LTV Limits: Occupancy Primary Residence Second Home Investment & Non- Owner Property Type Condominiums are ineligible for this product.
More informationSECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C FORM 10-K
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 x o (MARK ONE) FORM 10-K ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Fiscal Year Ended: December
More informationCONFORMING LIBOR ARMS PROGRAM HIGHLIGHTS
Program Summary Loan Term & Program Category A 30 year conforming conventional LIBOR ARM that is fixed for the initial 3, 5, or 7 years then rolls into a one year ARM for the remainder of the loan term.
More informationFannie Mae 2009 Second Quarter Credit Supplement. August 6, 2009
Fannie Mae 2009 Second Quarter Credit Supplement August 6, 2009 1 These materials present tables and other information about Fannie Mae, including information contained in Fannie Mae s Quarterly Report
More informationFourth Quarter 2014 Financial Results Supplement
Fourth Quarter 20 Financial Results Supplement February 19, 2015 Table of contents Financial Results Segment Business Information 2 - Annual Financial Results 12 - Single-Family New Funding Volume 3 -
More informationMortgage Market Statistical Annual 2017 Yearbook. Table of Contents
Mortgage Originations Mortgage Origination Activity Mortgage Market Statistical Annual 2017 Yearbook Table of Contents Mortgage Origination Indicators: 1995-2016... 3 Mortgage Originations by Product:
More informationThe Financial Turmoil in 2007 and 2008 Events
The Financial Turmoil in 2007 and 2008 Events Gerald P. Dwyer, Jr. May 2008 Copyright Gerald P. Dwyer, Jr., 2008 Caveats I am speaking for myself, not the Federal Reserve Bank of Atlanta or the Federal
More informationAdvance Search Download Results Attribute List and Data Type
Advance Search Download Results Attribute List and Data Type The disclosure information on DUS Disclose will be searchable and available for download for any registered user. The downloaded search results
More informationMortgage Backed Securities: The US Approach. 4 February 2003 Soula Proxenos International Housing Finance Services
Mortgage Backed Securities: The US Approach 4 February 2003 Soula Proxenos Today s Session... Overview of MBS in the United States Investor Considerations for MBS Fannie Mae s MBS Business Slide 2 Mortgage
More informationDiscussion of Credit Supply and the Housing Boom by Alejandro Justiniano, Giorgio Primiceri and Andrea Tambalotti
Discussion of Credit Supply and the Housing Boom by Alejandro Justiniano, Giorgio Primiceri and Andrea Tambalotti Monika Piazzesi Stanford & NBER Frankfurt, December 2014 1 Summary why did banks increase
More informationEssent Third Quarter 2017 Earnings Presentation November 9, 2017
Essent Third Quarter 2017 Earnings Presentation November 9, 2017 Disclaimer This presentation may include forward-looking statements which are subject to known and unknown risks and uncertainties, many
More informationMerrill Lynch Conference
Merrill Lynch Conference Michael Fraizer Chairman and CEO February 12, 2008 2008 Genworth Financial, Inc. All rights reserved. Forward-Looking Statements This presentation contains forward-looking statements
More informationFirst Quarter 2016 Supplemental Information
First Quarter 2016 Supplemental Information May 4, 2016 Safe Harbor Notice This presentation, other written or oral communications and our public documents to which we refer contain or incorporate by reference
More informationOnline Appendix. In this section, we rerun our main test with alternative proxies for the effect of revolving
Online Appendix 1. Addressing Scaling Issues In this section, we rerun our main test with alternative proxies for the effect of revolving rating analysts. We first address the possibility that our main
More informationAnalysis of Asset Spread Benchmarks. Report by the Deloitte UConn Actuarial Center. April 2008
Analysis of Asset Spread Benchmarks Report by the Deloitte UConn Actuarial Center April 2008 Introduction This report studies the various benchmarks for analyzing the option-adjusted spreads of the major
More informationSecuritized Products An Overlooked Source of Income
Securitized Products An Overlooked Source of Income March 26, 2014 Michael S. Nguyen, Managing Director, Liquidity Management Scott Cabalka, Vice President, Institutional Portfolio Manager RBC Global Asset
More informationHLA Rate Sheet FOR INTERNAL USE ONLY. 95% LTV. Extensions 5 Days 0.150% 10 Days 0.200% 15 Days 0.250% 20 Days 0.300% 25 Days 0.350% 30 Days 0.
Lock desk is open from 9:30am to 4:30am (ET). Rates and prices are considered expired outside that window. PROMOTION 0.25% Yield credit on Conventional Fixed Products $200,000 or greater with credit score
More informationConseco, Inc. Second Quarter 2008 Financial and Operating Results Presentation
Conseco, Inc. selected slides from our Second Quarter 2008 Financial and Operating Results Presentation (as filed in our Current Report on Form 8-K dated August 12, 2008) Key Debt Covenants CNO ($ millions)
More informationAdvanced Search Download Results Attribute List and Data Type for Multifamily MBS
Advanced Search Download Results Attribute List and Data Type for Multifamily MBS MBS disclosure information on DUS Disclose will be searchable and available for download for any registered user. The downloaded
More informationRISKS ASSOCIATED WITH INVESTING IN BONDS
RISKS ASSOCIATED WITH INVESTING IN BONDS 1 Risks Associated with Investing in s Interest Rate Risk Effect of changes in prevailing market interest rate on values. As i B p. Credit Risk Creditworthiness
More informationEssent First Quarter 2017 Earnings Presentation May 5, 2017
Essent First Quarter 2017 Earnings Presentation May 5, 2017 Disclaimer This presentation may include forward-looking statements which are subject to known and unknown risks and uncertainties, many of which
More informationGuidelines Correspondent. Loan Program: 5/1 LIBOR ARM 2/2/5 85 LTV No PMI Dollar Bank (1585) LTV Limits:
Loan Program: 5/1 LIBOR ARM 2/2/5 85 LTV No PMI Dollar Bank (1585) LTV Limits: Occupancy Primary Residence Property Type w/o Sec Fin. PURCHASE MORTGAGES w/sec Fin. Max TLTV Max HTLTV Loan Limits 1 Unit
More informationDemystifying European Asset Backed Securities
Demystifying European Asset Backed Securities July 2017 2 We are fixed income specialists it is the only asset class we cover. Our focus is on preserving our investors capital and taking advantage of capital
More informationLunchtime Data Talk. Housing Finance Policy Center. Mortgage Origination Pricing and Volume: More than You Ever Wanted to Know
Housing Finance Policy Center Lunchtime Data Talk Mortgage Origination Pricing and Volume: More than You Ever Wanted to Know Frank Nothaft, Freddie Mac Mike Fratantoni, Mortgage Bankers Association October
More informationFirst Quarter 2018 Investor Presentation
First Quarter 2018 Investor Presentation May 9, 2018 Legal Disclaimer FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning of
More information