• HOME
  • solutions
    • RECURSION ANALYZERS
    • Agency XRay
    • Mortgage Company Data
    • Recursion DataCloud
    • Customized Solutions
  • BLOG
  • CLIENT LOGIN
    • Agency XRAY
    • Recursion Analyzers
  • ABOUT US
    • OVERVIEW
    • OUR TEAM
    • Recursion In News
    • STRATEGIC PARTNER
  • CONTACT
RECURSION CO
  • HOME
  • solutions
    • RECURSION ANALYZERS
    • Agency XRay
    • Mortgage Company Data
    • Recursion DataCloud
    • Customized Solutions
  • BLOG
  • CLIENT LOGIN
    • Agency XRAY
    • Recursion Analyzers
  • ABOUT US
    • OVERVIEW
    • OUR TEAM
    • Recursion In News
    • STRATEGIC PARTNER
  • CONTACT
BLOG

That Was Then

1/12/2021

 
​As we have commented several times, the Federal Reserve Z.1 data is a fine source of information on long-term financial market trends. This post looks at trends in ownership of single-family mortgage risk. The chart below shows this distribution from Q1 2007 to Q3 2020:
Picture

Read More

The Great Prepay

7/14/2020

 
In a recent post[1] we noted that prepayment speeds jumped in June, led by a startling 12.4% rise in 1-month FHA speeds to 36.1, likely due to a change in pool rules that prohibited loan buyouts from being re-securitized beginning on July 1. This bears looking into. If this jump is due to such a policy change then one would expect that prepayment speeds would rise more for banks than thinly capitalized nonbanks. Indeed, this is the case, and remarkably so.
Picture
Run Underlying Query

Read More

Faster, Still Weak

7/9/2020

 
Two data releases Monday night paint a picture of hyper-kinetic refinancing activity and new deterioration in GSE credit performance. First, all three agencies released prepayment data for June showing record refinancings, led by Ginnie Mae programs which skyrocketed by over 10 CPR to 37! This is a much greater increase than experienced by both Fannie Mae (+3.4 to 30.9), and Freddie Mac (+3.2 to 32.0). A significant portion of GNM CPR’s increase could derive from elevated involuntary prepays (CDR), quite possibly driven by the very recent change made to GNM pooling rules regarding reperforming loans[1].
Picture
Run Underlying Query

Read More

Using GSE Credit Risk Transfer Data to Track Delinquencies at the State Level

7/8/2020

 
The loan level tapes, delivered by the GSEs each month, unfortunately only contain delinquency data (DQ’s) at the pool level, unlike the Ginnie Mae tape which is at the loan level. One implication of this discrepancy is that state-level DQ’s can be calculated for the Ginnie programs but not, in general, for the GSE’s. An alternative approach for tracking GSE DQ’s at the loan level is to examine the performance of the reference loans in their Credit Risk Transfer (CRT) deals.

The sample of loans contained in the CRT tapes is a significant portion of the total deliveries to the entities but are not a complete sample. For CAS, the UPB represents 25%-30% of all FNM balances, while for STACR, it represents 50% of all FHL balances.
​
The primary question here is whether the CRT reference loans are a representative sample of the total for delinquencies. The way to validate the assumption is to compute a national aggregate of delinquencies for the whole set of loans in the CRT pools and compare these to the DQ data contained in the GSE monthly summaries[1].

Read More

Debt and DQ’s Redux

6/29/2020

 
In a recent post we established a correlation between the 30 day dq rate of the loans in the reference pools for the Freddie Mac High LTV STACR CRT program and the share of these loans with high indebtedness as measured by DTI>45 for the month of May[1]. Recently Fannie Mae released the corresponding data for its CAS program and the results are striking. First, the pattern of results we saw for STACR is confirmed. This can be clearly seen if the results of the two programs are overlaid one over the other[2].
Picture
Run Underlying Query 1
Run Underlying Query 2
*The Chart 1 and Chart 2  can be duplicated using the following two queries

Read More

Update on GSE Pool-level Forbearance data

6/24/2020

 
Earlier this month we discussed the new pool-level forbearance and delinquency data released by the GSE’s[1]. At that time, we noted that the delinquency data looked reasonable for May, but that the forbearance data fell short of other reported measures, particularly for Freddie Mac.
Picture
Run Underlying Query

Read More

FHA Delinquencies Surge in May

6/9/2020

 
​The Ginnie Mae loan tape for May came in last night. The data showed the FHA overall delinquency rate jumped from 13.3% to 15.5% from last month.  This compares to overall rates based on pool level data for Fannie Mae and Freddie Mac of 5.4% and 6.2%, respectively. 
Pictures
Run Underlying Query

Read More

New GSE Data

6/5/2020

 
We received delinquency and forbearance information for the GSE pools late last night. By balance, the pools with such information cover over 99% of FHL and 92% of FNM pools, which is satisfactory.
​
In terms of delinquency, Fannie Mae reported higher delinquency rate than Freddie Mac, which is in line with the relatively higher DTI’s seen in FNM deliveries in recent years. Freddie’s 30d delinquency rate reported in May was 2.47%, about 0.4% below the same figure for Fannie Mae .
Picture
Picture
Run Underlying Query

Read More
<<Previous

    Archives

    January 2021
    December 2020
    November 2020
    October 2020
    September 2020
    August 2020
    July 2020
    June 2020
    May 2020
    April 2020
    March 2020
    February 2020
    May 2019
    March 2019
    February 2019

    Tags

    All
    Banking
    CMBS
    Cohort Analyzer
    COVID 19
    CRT Analyzer
    EBO
    Fed Policy
    FHA
    Forbearance
    Ginnie Mae
    GSE
    HECM Analyzer
    HMDA Analyzer
    Mortgage Market
    Pool Level Analyzer
    Prepayment
    Recursion Achievement
    Recursion In News
    Reverse Mortgage
    Risk
    Team Building
    UMBS
    Underwriting

RECURSION

SOLUTIONS ​
Recursion Analyzers
​Agency XRay
​
Mortgage Company Data
Recursion DataCloud
Customized Solutions


ABOUT US  ​
Overview
​Our team
​Strategic Partner
CLIENT LOGIN   ​
Recursion Analyzers
​
Agency XRay

CONTACT

224 West 30th St., Suite 303, New York, NY 10001
Contact Us

Picture
Copyright © 2020 Recursion, Co. All rights reserved.​
  • HOME
  • solutions
    • RECURSION ANALYZERS
    • Agency XRay
    • Mortgage Company Data
    • Recursion DataCloud
    • Customized Solutions
  • BLOG
  • CLIENT LOGIN
    • Agency XRAY
    • Recursion Analyzers
  • ABOUT US
    • OVERVIEW
    • OUR TEAM
    • Recursion In News
    • STRATEGIC PARTNER
  • CONTACT