tag:blogger.com,1999:blog-30643134.post6458468930526782214..comments2023-12-26T01:10:26.319-05:00Comments on Accrued Interest: 2009 Forecast: Agencies and MBS -- Back door huh?Accrued Interesthttp://www.blogger.com/profile/05096191765979971184noreply@blogger.comBlogger8125tag:blogger.com,1999:blog-30643134.post-51751315846620004802009-01-20T13:17:00.000-05:002009-01-20T13:17:00.000-05:00Mindless:That's a pretty big risk, for sure. I per...Mindless:<BR/><BR/>That's a pretty big risk, for sure. I personally think that is a poor use of potential stimulus money. I'd rather see government cash focused on increasing the <I>purchase</I> of homes rather than refinancings.Accrued Interesthttps://www.blogger.com/profile/05096191765979971184noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-30584992450587585782009-01-20T06:00:00.000-05:002009-01-20T06:00:00.000-05:00Isn't there still a possibility that they will wai...Isn't there still a possibility that they will waive re-appraisals (a la FHA loans), and your high LTV loans will be swept up in the intended refinancing boom? After all, the exposure doesn't change and the policymakers want the rate down.Andrew Hoferhttps://www.blogger.com/profile/02270207403412720789noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-39265568257048983362009-01-16T15:34:00.000-05:002009-01-16T15:34:00.000-05:00Ian:IO's and PO's aren't for the feint of heart!JS...Ian:<BR/><BR/>IO's and PO's aren't for the feint of heart!<BR/><BR/>JSwede:<BR/>I've actually bought more high OCS, high LTV loans. My theory is that those loans are good borrowers with bad timing. Probably going to keep paying his bills.<BR/><BR/>Also you are right about other debts, but when looking at loan characteristics, you can't see that stuff. So I look for indicators that a borrower might have maxed out. Like if you see a pool full of EXACTLY 80 LTV puchase loans, the odds of a silent second are high.<BR/><BR/>Ginger:<BR/>I don't like NLY or HTS because they are still borrowing short-term. You don't know when that short-term funding is going to dry up on them.Accrued Interesthttps://www.blogger.com/profile/05096191765979971184noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-76922605104357915552009-01-16T14:45:00.000-05:002009-01-16T14:45:00.000-05:00another thought AGAINST these supposed coming pre-...another thought AGAINST these supposed coming pre-pays in MBS from re-fi's are that while the GSE loans look pretty good as far as LTV, let's not assume that that's the borrower's ONLY loan. He/she likely took a conforming loan and piggy-backed a HELOC so as to steer clear of PMI, and take advantage of GSE type interest rates.<BR/><BR/>So a $625k property bought with 20% down has a ~$415k conforming loan and a $85-100k HELOC-type 2nd loan. Even a conservative 5% drop in home value, and that 2nd loan should certainly keep him from re-fi'ing the first GSE wrapped loan...<BR/><BR/>right?<BR/><BR/>A lot of people did this btw -- it was 2 loans and 2 pay-days for the mortgage broker. This was standard from 2005 on, if not before.<BR/><BR/>Further, you had a ton of "cash-out" HELOCs that squeezed out the equity -- these are separate and not accounted for in the GSE loans' statistics, putting the total borrowers' LTV much higher than advertised in the DES pages of the Agency MBS security... and, ahem, a few folks did that also...<BR/><BR/>thought?jswedehttps://www.blogger.com/profile/04162993027365744426noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-34156811142273205582009-01-16T12:44:00.000-05:002009-01-16T12:44:00.000-05:00What effect does this have on the stocks like Anna...What effect does this have on the stocks like Annaly, NLY, Agency,AGNC, and Hatteras, HTS? All seem to be in a sweet spot with low capital costs and owning all agency paper. Annaly is levered 7 times, last I checked.Unknownhttps://www.blogger.com/profile/08542801042852133148noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-26366881637486507782009-01-16T11:48:00.000-05:002009-01-16T11:48:00.000-05:00"If you are willing to do a little more work, you ..."If you are willing to do a little more work, you can do much better. Say you can find a pool with mostly 2006 borrowers. Most of those borrowers have experienced negative home price appreciation to some degree (not as bad as you might think because we're only talking about conforming loans here, i.e., loans under $417,000). Anyway, couple this with a pool full of borrowers with 90+ LTV? Or mostly coastal geographics? Or relatively low credit scores? You might have a mortgage pool that will repay much slower than average."<BR/><BR/>Slower, unless there is mass default and FNMA pays you back par, a lot quicker that you were ready for....<BR/><BR/>(assuming FNMA can -- they are supposed to anyway)jswedehttps://www.blogger.com/profile/04162993027365744426noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-34302575722284403062009-01-16T09:22:00.000-05:002009-01-16T09:22:00.000-05:00There was an article today that Pimco has made a s...There was an article today that Pimco has made a significant reduction in their MBS holdings.<BR/><BR/>I wonder if your explanation is the reason.Alex Morrowhttps://www.blogger.com/profile/08730761845112491520noreply@blogger.comtag:blogger.com,1999:blog-30643134.post-8757654733827818392009-01-15T23:25:00.000-05:002009-01-15T23:25:00.000-05:00Nice analysis. In addition to the pool attributes...Nice analysis. In addition to the pool attributes you mentioned, I am also hanging out in low loan balance pre 2003 vintage cohorts. I figure that if a person in the 2000-2002 cohorts didn't refi during the 2003 refi wave, they are a burnout candidate and less likely to prepay going forward. Plus with cashout refis drying up, the accumulated equity is not an issue. Also I like 60 wala 15-yr paper, less option cost and convexity risk to hedge.<BR/><BR/> Agency CMO's are also extremely cheap compared to underlying collateral. I'd be a big fan of inverse IO's and seller of PO's here. Market is pricing in speeds that are way too fast. Even if speeds are fast, for many inverse IO's, the yields are still extremely fat according to the B-berg YT screen. Just my $.02 worth.Unknownhttps://www.blogger.com/profile/07919793542143882158noreply@blogger.com