Keen Eye for Manufactured Housing
By Mickey Storms

Though the loss rates exhibited by manufactured housing (MH) loans may have peaked during 2003, the fallout continues to generate unpleasant surprises. Radian Insurance Inc. recently announced it was taking a $96 million dollar charge to increase loss reserves on a Conseco MH MBS transaction that the company insured to $111 million. The deal is believed to be Conseco 2000-3. Read more...

Insights into Historical Current Coupon OAS
By Alex Levin in Collaboration with Andrew Davidson & Anne Ching

When investors attempt to assess how attractive the mortgage market in general is, there exists no better measure with which to begin than the OAS for the current-coupon TBA. This OAS is often found and reported versus the swap rates ("Libor OAS" or LOAS), but the measure taken off the agency debt curve is also informative. A systematic, though volatile, difference between expected returns on agency MBS and agency debentures is a point of investor interest. On the other hand, it serves as the source of income for the U.S. agencies that are the major MBS investors, themselves, holding about 30% of the market (Perli and Sack [2003]). Nevertheless, this positive spread is not a free lunch: it compensates for prepayment risk (even after prepay option exercise is modeled) and operational risk although small differences in liquidity and credit quality exist as well. Let us briefly review these sources.  Read more...

By Dan Szakallas

Prepayments held relatively steady from November to December. Speeds actually increased in the 5.0's and 5.5's in both the conventional and GNMA markets. All other coupons showed increases of no more than 5%. These increases, however, were somewhat unexpected, considering that December is traditionally one on the slowest months for prepayments due to holidays and winter weather in many parts of the country.  Read more...