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CRT DQ’s and Debt Ratios6/1/2020
We have written extensively on the mortgage market impact of the Covid-19 crisis, most recently on the first signs of delinquencies in the loans in the reference pools of the Freddie Mac Structured Agency Credit Risk (STACR) program[1]. In that post we noted the dispersion in 30-day average loan delinquencies by state for May 2020. In this note we look at the distribution of delinquencies in the same month across each of the 28 deals issued to date. We can see a distinct increase in the rate of delinquencies from the onset of the program through 2019, before falling early this year. What can account for this pattern? Read More Vertical Divider
What will MBS Issuance look like in the near future?5/22/2020
As stay-at-home orders commenced in most of states during the Covid-19 pandemic, home sales have been heavily impacted. A good timely indicator of home sales is Redfin pending sales. Monthly average seven-days total pending sales, which measure the number of total homes that went under contract in the prior seven days[1], show normal home sales seasonal patterns from Jan 2019 to Feb 2020. Read More |
Risk Sharing Data Shows Rising Delinquencies in GSE Loans5/27/2020
The loan-level data releases we receive early each month contain delinquency data for Government programs such as FHA and VA, but no such information is provided by the GSE’s. However, late in the month data is provided for the reference loans in the Credit Risk Sharing (CRT) programs. Read More 
Mortgage Distress and the Covid-19 Crisis5/19/2020
Previously we have noted the connection between aggregate unemployment and delinquencies in the mortgage market[1]. With the release of state-wide delinquencies for FHA loans earlier this month, we can dig deeper into the connection between mortgage distress and the Covid-19 crisis. Read More 
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Forbearance and Delinquency are Not the Same5/15/2020
There is a lot of confusion in the market regarding the interpretation of new data released by the two GSE’s, the delinquency distribution and forbearance distribution for some new pools. The data available so far are very limited, but we can draw some tentative conclusions from what we have.
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