by Anonymous on 12/22/2007 11:10:00 AM

Our friend P.J. at Housing Wire did the world a big favor last night by sorting out the details of Fitch's giant $5.3 billion heap o' RMBS downgrades yesterday. Go here for the handy list of what deals were included in that.

What jumped out at me, of course, was that $783MM WaMu deal. This little puppy (2007-HE3) was closed on May 10, 2007. That's a whopping seven months before the first downgrade. (It's too young, of course, to have noticeable realized losses, but the 60-day delinquency is up to 9.17% already, for loans originated primarily in the first quarter of this year. Wowsers.)

I haven't been paying enough attention, I confess, to recent downgrades to know if that's a record for fastest downgrade or not. Does anyone else know? It's fair-to-middlin' pointless, of course, in the grand scheme of things, but I do think that issuing the fastest-downgraded mortgage-backed security in history is an accomplishment that should be given recognition.

by Calculated Risk on 12/21/2007 09:16:00 PM

Northern Trust's Director of Economic Research Dr. Paul Kasriel's model is putting the odds of recession at 65.5%: Probing the Probabilities of a 2008 Recession

Click on graph for larger image.

This is Chart 2 from Kasriel's piece:

What is the probability that the U.S. economy will fall into a recession in 2008? We would answer, 65.5%. The bases for our answer are the Kasriel Recession Warning Indicator (the trademark-pending KRWI) and an econometric technique known as Probit modeling. ... Since the late 1960s, every recession ... has been immediately preceded by or accompanied by both of the KRWI variables in negative territory. The KRWI has not given a false qualitative signal – i.e., it has not predicted a recession when one did not occur. Aside from its impressive track record in identifying recessions, the KRWI has another attractive attribute – its variables are not subject to much, if any, revisions. For a theoretical explanation of the KRWI see, The Inverted Yield Curve - Is It Really Different This Time?.

There is much more in the piece. See Kasriel's comments on the stock market (page 4, chart 4).

by Calculated Risk on 12/21/2007 06:16:00 PM

In addition to this blog, Tanta and I have decided to offer a monthly subscription email newsletter with analysis of real estate and the housing market.

The idea of this newsletter is to provide a concise overview of the real estate market - what we think you need to know - and commentary on real estate and mortgage issues. This newsletter will draw heavily on material from this blog, but will be focused on real estate (as opposed to other credit and economic issues).

Hopefully this monthly overview will provide useful background information for real estate investors, home buyers, and sellers. The price is $60 per year.

If you are interested, you can sign up at CR4RE (Calculated Risk 4 Real Estate).

Best Wishes to All.

by Calculated Risk on 12/21/2007 03:20:00 PM

From the WSJ: Banks to Abandon Super-SIV Plan

Lack of interest has led the banks to drop the plan -- known as the Master-Enhanced Liquidity Conduit, or M-LEC. ...

The banks ... are likely to issue a statement by Monday saying they no longer intend to go forward with the fund, according to the people familiar with the matter.

This just makes official (well, on Monday) what was obvious from the beginning.

by Anonymous on 12/21/2007 01:48:00 PM

Apparently we're not going to have an ABX.HE 08-1 to kick around any time soon:

New York, NY- Markit, the leading provider of independent data, portfolio valuations and OTC derivatives trade processing and owner of the Markit ABX.HE index, today announced that the roll of the Markit ABX.HE has been postponed for three months. The Markit ABX.HE is a synthetic index of U.S. home equity asset-backed securities.

The new series, the Markit ABX.HE 08-1, was scheduled to launch on 19 January 2008. The decision to postpone its launch was taken following extensive consultation with the dealer community. It follows a lack of RMBS deals issued in the second half of 2007 and eligible for inclusion in the forthcoming Markit ABX.HE roll. The Markit ABX.HE 07-2 remains the on-the-run series until further notice.

Under current index rules, only five deals qualified for inclusion in the Markit ABX.HE 08-1. Markit and the dealer community considered amending the index rules to include deals which failed to qualify initially but decided against this approach at this time.

Markit and the dealer community remain fully committed to the index and will update the market as and when appropriate.

I'm actually quite touched that they decided not to just re-write the rules to qualify any old deal they could scrape up. It's so . . . unusual for anything having anything to do with mortgages lately.

I don't know why some deals failed to qualify, but looking over the eligibility rules, I'd guess that the deals were either too small (under $500MM) or had a WA FICO greater than 660. Oh well. I guess I have to change my line: we're all prime now.

(Thanks, Buzz!)