Fed Splurges on Freddie Gold

In light of TD’s earlier post regarding Freddie’s loan defaults and some preliminary work we’ve done delving into the primo triple-A rated Agency MBS offerings the Fed has shoved down its pie hole into the bottomless pit that is its balance sheet (the depth of which is bounded only by the fact that DXY cannot go negative—yet), we present the #1 MBS holding by the Fed: Freddie’s "FHLMC PC GOLD 5% 01/39" (3128M7DJ2) to the tune of $8,880,051.70 (reported at par as of Oct 21 09).  Don’t let the name fool you, the only Gold is the un-mined kind that might just be unearthed when entire zip codes are bulldozed in the outer asteroid belts of LA after commuting 2.5 hours a day in a Hummer becomes economically unviable, and copper wiring becomes the new reserve currency.

Recently, the Fed began releasing detailed statistics on its SOMA MBS holdings (note: they are not archived--you must download the Excel file each week).  Between Oct 7 and Oct 14, an additional $7,249,986.40 of the aforementioned Freddie Gold offering settled on the Fed’s books. 

If you would like to know just how many California newlywed first time homebuyers with no mortgage insurance, with no verifiable assets or income were originated loans by unknown parties throughout the boom years of 2007 and 2008, or just how many Malibu yuppies are extracting the last bit of cash from their home ATM on this brief respite from the mean reversion in home prices due to end in the early teens, read here.  Some excerpts, that would fail to shock only a Moody’s analyst:

 

                LOAN PURPOSE

___________________________________________

Type        |% of UPB|# of Loans|% of Loans|

____________|________|__________|__________|

Purchase    | 36.49% | 308314   | 40.30%   |

____________|________|__________|__________|

Cash-Out    | 31.30% | 136738   | 17.87%   |

Refinance   |        |          |          |

____________|________|__________|__________|

No Cash-Out | 32.20% | 118693   | 15.51%   |

Refinance   |        |          |          |

____________|________|__________|__________|

Refinance   |  0.01% | 201374   | 26.32%   |

NotSpecified|        |          |          |

____________|________|__________|__________|

Unknown     |  0.00% |      0   |  0.00%   |

____________|________|__________|__________|

 

 

     FIRST-TIME HOMEBUYER DISTRIBUTION

___________________________________________

Type        |% of UPB|# of Loans|% of Loans|

____________|________|__________|__________|

First-Time  | 10.37% |  41676   |  5.45%   |

Homebuyer   |        |          |          |

____________|________|__________|__________|

Unknown     |  0.02% | 356550   | 46.60%   |

____________|________|__________|__________|

 

 

      MORTGAGE INSURANCE DISTRIBUTION

___________________________________________

Type        |% of UPB|# of Loans|% of Loans|

____________|________|__________|__________|

Loans with  | 11.51% |  46561   |  6.09%   |

MI          |        |          |          |

____________|________|__________|__________|

Unknown     |  0.02% | 356542   | 46.60%   |

____________|________|__________|__________|

 

 

     ASSETS DOCUMENTATION DISTRIBUTION

___________________________________________

Type        |% of UPB|# of Loans|% of Loans|

____________|________|__________|__________|

Assets      | 92.87% | 369838   | 48.34%   |

Verified/   |        |          |          |

Waived      |        |          |          |

____________|________|__________|__________|

Assets Not  |  7.10% |  38739   |  5.06%   |

Verified/   |        |          |          |

Not Waived  |        |          |          |

____________|________|__________|__________|

Unknown     |  0.02% | 356542   | 46.60%   |

____________|________|__________|__________|

 

 

     INCOME DOCUMENTATION DISTRIBUTION

___________________________________________

Type        |% of UPB|# of Loans|% of Loans|

____________|________|__________|__________|

Income      | 91.99% | 366351   | 47.88%   |

Verified/   |        |          |          |

Waived      |        |          |          |

____________|________|__________|__________|

Income      |  7.99% |  42226   |  5.52%   |

Not Verified|        |          |          |

/Not Waived |        |          |          |

____________|________|__________|__________|

Unknown     |  0.02% | 356542   | 46.60%   |

____________|________|__________|__________|

 

 

           THIRD PARTY ORIGINATION (TPO) DISTRIBUTION

_______________________________________________________________

Type         |Aggregate UPB     |% of UPB|# of Loans|% of Loans|

_____________|__________________|________|__________|__________|

Retail       |  6,125,295,493.94| 44.55% |  176438  | 23.06%   |

_____________|__________________|________|__________|__________|

Broker       |    512,302,203.51|  3.73% |    8492  |  1.11%   |

_____________|__________________|________|__________|__________|

Correspondent|  1,085,751,887.26|  7.90% |   15050  |  1.97%   |

_____________|__________________|________|__________|__________|

TPO          |  6,021,348,571.16| 43.80% |  208597  | 27.26%   |

Not Specified|                  |        |          |          |

_____________|__________________|________|__________|__________|

Unknown      |      3,083,331.51|  0.02% |  356542  | 46.60%   |

_____________|__________________|________|__________|__________|

 

 

                LOAN ORIGINATION DISTRIBUTION

______________________________________________________________

Year        |Aggregate UPB     |% of UPB|# of Loans|% of Loans|

____________|__________________|________|__________|__________|

        1999|$             0.00|  0.00% |      2   |  0.00%   |

        2000|         74,187.43|  0.00% |      6   |  0.00%   |

        2001|              1.50|  0.00% |      6   |  0.00%   |

        2002|            377.30|  0.00% |    606   |  0.08%   |

        2003|        280,352.26|  0.00% |  36212   |  4.73%   |

        2004|        279,154.04|  0.00% | 127402   | 16.65%   |

        2005|      4,890,405.88|  0.04% | 233908   | 30.57%   |

        2006|     34,383,888.63|  0.25% |  40653   |  5.31%   |

        2007|  2,119,867,521.87| 15.42% |  77960   | 10.19%   |

        2008| 11,587,223,432.15| 84.28% | 248345   | 32.46%   |

        2009|        782,166.33|  0.01% |     19   |  0.00%   |

____________|__________________|________|__________|__________|

 

 

                        GEOGRAPHIC DISTRIBUTION

________________________________________________________________________

State                 |Aggregate UPB     |% of UPB|# of Loans|% of Loans|

______________________|__________________|________|__________|__________|

California            |$ 2,618,423,368.55| 19.05% | 100111   | 13.08%   |

Washington            |    674,886,610.78|  4.91% |  30691   |  4.01%   |

Illinois              |    660,488,952.81|  4.80% |  35744   |  4.67%   |

Texas                 |    653,971,797.00|  4.76% |  37706   |  4.93%   |

New York              |    602,509,003.33|  4.38% |  29540   |  3.86%   |

...

 

                     SERVICER DISTRIBUTION

________________________________________________________________

Servicer                        |% of UPB|# of Loans|% of Loans|

________________________________|________|__________|__________|

BANKOFAMERICA,NA      NY 14068  | 24.79% | 155077   | 20.27%   |

WELLSFARGOBANK,NA     IA 50328  | 18.42% | 205425   | 26.85%   |

JPMORGANCHASEBANK,NA  NJ 08330  | 14.12% |  66836   |  8.74%   |

CITIMORTGAGE,INC      MO 63368  |  7.70% |  82296   | 10.76%   |

GMACBANK              PA 19034  |  5.68% |  11187   |  1.46%   |

SERVICERS < 1% UPB              |  5.45% | 104821   | 13.70%   |

USBANKNA              MN 55425  |  5.22% |  24856   |  3.25%   |

JPMORGANCHASEBANK,NA  NJ 08330  |  4.71% |  36270   |  4.74%   |

GMACMORTGAGE,LLC      PA 19034  |  2.79% |  14387   |  1.88%   |

BRANCHBANKING&TRUSTC  SC 29601  |  2.57% |  14741   |  1.93%   |

TAYLOR,BEAN&WHITAKER  FL 34470  |  1.87% |  12456   |  1.63%   |

PROVIDENTFUNDINGASSO  CA 94010  |  1.62% |  16222   |  2.12%   |

FIRSTHORIZONHOMELOAN  TX 75063  |  1.50% |   4749   |  0.62%   |

FIFTHTHIRDBANK        OH 45227  |  1.25% |   7848   |  1.03%   |

WACHOVIABANK,NA       NC 27607  |  1.18% |   5422   |  0.71%   |

FLAGSTARBANK,FSB      MI 48098  |  1.12% |   2526   |  0.33%   |

________________________________|________|__________|__________|

 

The good news is these loans are being serviced by the finest minds in banking, who will, of course, suffer no hit to their balance sheet as a result of servicing fees drying up on defaulted loans.  Legal question of the day: can you continue to collect a service fee when no payments are made if the word foreclosure is relegated to metaphor status?

When this eventually unravels, the circle jerk of mutual guarantees will burn out even the SPARC computers that run NYSE/FedWire in an infinite loop of transfers among Treasury, FDIC, Freddie and the Fed itself.  Then, not even the electrical grid will be safe.

 

Disclosure:  No copper or Agency MBS positions at time of writing.

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