Cal writes:
While relevant it would be much more interesting if that chart was broken out for the last 4 years and had doc type as well.

What is the full name of this report?
Cal | Homepage | 03.12.07 - 2:50 pm | #

calmo writes:
Thanks for this and I am waiting for Tanta's review...damn those spring days.
calmo | 03.12.07 - 2:55 pm | #

Rob Dawg writes:
What %age of all mortgage debt are these "first-liens?"
Rob Dawg | Homepage | 03.12.07 - 2:59 pm | #

Geoff writes:
Why is the non secured so big? Is there any way to get at a breakout there?
Geoff | 03.12.07 - 3:04 pm | #

Geoff writes:
prev post :

secured = securitized.
Geoff | 03.12.07 - 3:04 pm | #

Anthony Fleming writes:
OT: Bill Fleckenstein - Next: The real estate market freezehttp://articles.moneycentral.msn.com/ Investing/ContrarianChronicles/ NextTheRealEstateMarketFreeze.aspx
Anthony Fleming | Homepage | 03.12.07 - 3:07 pm | #

Anthony Fleming writes:
Try that again

OT: Bill Fleckenstein - Next: The real estate market freeze
http://articles.moneycentral.msn.com/ Investing/ContrarianChronicles/ NextTheRealEstateMarketFreeze.aspx
Anthony Fleming | Homepage | 03.12.07 - 3:08 pm | #

Allenm writes:
Um, that chart make the problems look quite confined. However, I note that little non-securitized box with nearly two trillion in it and begin to wonder if there is some toxic waste that wasn't sold hiding there too.

But I am starting to see too many roaches in the KFC:-]

Over $800BB in interest only IOs on both sides- toss in the nonsec and you get at least a trillion in folks renting their houses from the banks and Wall Street;-}
Allenm | 03.12.07 - 3:13 pm | #

Tanta writes:
Cal: it isn't broken out because it's outstandings, not originations. Certainly, the question of which is more analyically useful, "flow" or "stock," has come up here before. In my view, the useful reason for looking at the "stock" at this point is in aid of answering the questions we all have about risk appetite going forward.

There is information in the report on flow, and I'll exerpt some of it.

The report is called "Mortgage Liquidity du Jour: Underestimated No More." In some kind of French, that apparently rhymes. In any case, the title is a play on Zelman et al.'s 2004 report, “Mortgage Liquidity: Don’t Underestimate the Underwriting.”

Rob, first liens of the type included here are probably 80% of total residential mortgage outstandings (which would include all junior liens). (There are first liens that would not be included in the numbers presented here, such as construction loans in process for custom-built, some manufactured housing loans, lot loans considered residential, etc.) This report is not really intended to cover the total mortgage market; it's intended to use data on the mortgage market to estimate prospects for the builders (by gauging impact on home sales).
Tanta | 03.12.07 - 3:14 pm | #

Nikki writes:
Anthony-
In the future, try tinyurl.com--you can paste a long site and turn it into a smaller one. Here is the Fleck piece you were linking to.

http://tinyurl.com/2fzuk3
Nikki | Homepage | 03.12.07 - 3:19 pm | #

Cal writes:
Tanta, I see I didn't realize that was the name of the whole paper, thanks.
Cal | Homepage | 03.12.07 - 3:20 pm | #

Tanta writes:
Nonsecuritized isn't broken out because Zelman et al. are working with security issuer databases here. The nonsecuritized portion would basically mean the whole-loan portfolio holdings of depositories and any REITs who hold whole loans.

The kind of data being presented here has to be teased out of a bunch of different databases, and it's difficult analysis to do, so I can't really fault Zelman et al. for not having gotten into the whole loan side. They're trying to look at the "liquid" side--the part of the outstandings that represent what got sold in the secondary market in a security.
Tanta | 03.12.07 - 3:21 pm | #

Anthony Fleming writes:
Thanks Nikki :)
Anthony Fleming | Homepage | 03.12.07 - 3:29 pm | #

David Pearson writes:
As everyone here knows, for more "non-securitized" option arms look no further than the FED/DSL/BKUNA/WM balance sheets.
David Pearson | 03.12.07 - 3:32 pm | #

theroxylandr writes:
QUESTION: what is "Non-IO" ?
theroxylandr | Homepage | 03.12.07 - 3:33 pm | #

Anthony Fleming writes:
"Countrywide told its brokers Friday to stop offering borrowers the option of taking out a mortgage without a down payment, according to a document obtained by Reuters. Other lenders have made similar changes."

http://money.cnn.com/2007/03/12/ ...sion=2007031211
Anthony Fleming | Homepage | 03.12.07 - 3:39 pm | #

bailey writes:
Harry & Tonto, WONDERFUL! Good stuff. thx.
bailey | 03.12.07 - 3:42 pm | #

Will writes:
A very instructive chart. Thanks.
Will | 03.12.07 - 3:55 pm | #

amk writes:
Maybe I don't understand how to read this chart, but there seems to be a typo somewhere in the Prime Jumbo/ARM branch: the total for ARMs is $293BB, but the three ARM subitems are $190BB, $200BB, and $21BB, which totals to $411BB.
amk | 03.12.07 - 3:56 pm | #

ron writes:
copied this post from a poster called crazy-ate over at capitalstool.com

Day of the Bagholder begining to dawn....

[1] NEW originated mortgages
[2] NEW borrows money from Wall Street via warehouse financing
[3] NEW provides borrower with cash and receives note payable (the mortgage)
[4] NEW bundles up mortgages and ships them back to Wall Street less processing fee and covers its original borrowing
[5] Wall Street packages and then slices and dices and sells derivative securities (collateralized by the mortgages) to pension funds, insurance companies , money market funds, foreign investors, etc.
[6] Home owners begin to default on these mortgages thus effecting the mark-to-market value of the derivative securities
[7] Pension funds, insurance companies , money market funds, foreign investors, etc. go to Wall Street and demand that they take back these securities
[8] Wall Street goes back to NEW and asks them to buy back the original mortgages
[9] NEW ain't got no money -- they never did -- it was Wall Street's money

So will the bagholder be the investors or Wall Street? If Wall Street fails to make good on the securities sold to investors they'll be done. Therefore, the FINAL BAGHOLDER IS WALL STREET.

Here come the write-downs.......time to short the IYF
ron | Homepage | 03.12.07 - 3:57 pm | #

brewtser writes:
QUESTION: what is "Non-IO" ?
theroxylandr


I have the same question - under subprime ARMs, there is no Option ARM, only IO and non-IO. Are those O-ARMs available only under Prime and Alt-A?

Also the at the bottom of the slide - how does "loan performance reporting rate" affect loan classification?
brewtser | 03.12.07 - 4:51 pm | #

Jed writes:
brewtser & theroxylander:

Non-IO would be non-interest-only, i.e., fully amortizing. Also, I believe Tanta confirmed on a previous thread that lenders don't do neg-am on sub-prime loans.
Jed | 03.12.07 - 5:58 pm | #

Tanta writes:
amk, I suspect they had some trouble with those numbers for an interesting reason. This should also answer brewtser's second question.

"Loan Performance" is the name of a company that provides (for big bucks) data on loan pools (securities) for research use. Not everyone who services securities reports their data to Loan Performance; what the note on the chart means is that the data derived from Loan Performance covers about 75% of securities.

It is very hard for LP or anyone else to report this stuff in simple classifications, since there's so much overlap. Apparently, LP stopped reporting Option ARMs under Prime Jumbos last year, and began reporting them all under Alt-A. It gets back to that age-old question we've all raised around here regarding whether an Option ARM is sufficiently "exotic" that it shouldn't be considered "prime."

Anyway, Zelman indicates that they had to back into the Prime Jumbo Option ARM numbers for 2006 based on this reporting change. From what I can tell, the subtotals are correct and the total is wrong.
Tanta | 03.12.07 - 6:17 pm | #

brewtser writes:
Thanks, Tanta & Jed.
brewtser | 03.12.07 - 6:47 pm | #

Ape Man writes:
This is an off topic comment, though it partially inspired by above chart.

Lately I have been wondering about the possibility of Fannie Mae and Freddie Mac needing a bail out in the near future. If I understand things aright they have very low capitalization compared to their debt. As I understand it, a 100 billion dollar loss would wipe out the combined capital of Fannie and Freddie. It seems to me that this could well happen given that Fannie and Freddie's combined exposure is somewhere north of 3 Trillion dollars.

The chart above only strengthens these fears. I had no idea that Fannie and Freddie backed such exotic loan types. For example, it appears that Fannie and Freddie have an exposure to more then 100 billion dollars worth of interest only loans. To me it is a small scandal in and of itself that the government would allow Fannie and Freddie to back those kinds of loans.

But I realize that I am ignorant (I am a laborer by trade) and I realize that just because a loan defaults does not mean that the lender loses all their capital.

So are my fears justified? If they are, what kind of loan default rate would it take to sink Fannie and Freddie?

Obviously, no one knows the answer to those questions for sure, but I would be interested in hearing more educated people opine on the subject.

If people would rather I did not clutter up this thread with the discussion I have a blog post on the subject here.
Ape Man | Homepage | 03.12.07 - 7:04 pm | #

poszi writes:
Tanta,

I think this chart neglects more than 25% of securitized mortgages. The ABSnet.net deal performance table lists 3,063,056 mil "Home Equity" and 2,423,767 mil "Residential MBS' securities outstanding. I don't think it includes any agency MBS.

Moreover, the total mortgage debt seems too low. This report
http://www.gpoaccess.gov/eop/200...op/2007/ B75.xls
shows 10,029.3 billions of just 1-4 family houses alone.
poszi | 03.12.07 - 7:47 pm | #

Pablo writes:
Poszi,

But all the Home Equity loans would be second-lien loans, and this chart only shows first-lien loans.

The extra $2 trillion is right in line with Tanta's 80/20 estimate for firsts/seconds.
Pablo | 03.12.07 - 8:02 pm | #

mikail writes:
Thank you for posting the graphic on breakdown of total outstanding mortgage debt among agency(fannie, freddie, and Ginnie) and non agency.

I had mistakedly assumed option arm would have been greater than 3.1% MSB's. Is this because there is a boat load of option arm type products held in portfolios(WAMU, now Wachovia post World savings purchase)?

Anyone care to guestimate the total outstanding Option ARM type loans held in portfolio and not securitized into MSB's?

Thank you CR, Tanta, this post ROCKS!
mikail | 03.12.07 - 8:21 pm | #