Topic:
CRE charge-offs
Credit Regimes and the Race Against a Flood of Defaults
Credit losses arrive in floods at the start of bad times: roughly 80% of mortgage losses occur in about 20% of the history. Yet risk and loss models, like CCAR and CECL, are built on good times, which where (80% of) the data lies, Investigating idiosyncratic risk is running the … Continue Reading
The Good, the Bad and the Ugly
A little of something bad can ruin the whole batch. We ranked Fannie’s Fort Myers portfolio loan-by-loan and found that in a 2006 – 2011 repeat home-price crash, 10% of today’s loans generate nearly half the forecasted mortgage losses. That decile, alone, generates losses greater than The Crisis, and overall … Continue Reading
Time-on-Book Is Pyrite
There is no seasoning curve. There’s only 2009. Time-on-Book is a vacuous risk factor. Default humps are simply systemic events hitting whatever vintage ages happen to be on the book, not a law of loan age. We use public Fannie Mae data to make the point.… Continue Reading