Mortgage Based Securities Losses

MBS description:

• The Bank holds a pool of MBS totaling $3.65 billion as of December 31, 2008.

• The underlying loans are not sub-prime and are generally quality loans (average of

approximately 17 months of seasoning, original FICO scores of 749, and original loanto-

value ratio of 73%).

 

Losses based on MTM:

• The MBS has subordinated collateral of $172 million. The amount of subordinated

collateral exceeds the worst-case loss projections, which means the Bank does

not expect to incur any losses on its senior MBS positions (positions that MTM

rules have required be written down by $913 million).

• The MTM write-down required on this pool is more than nine times the maximum

estimated lifetime losses.

Source: http://www.bob-mcteer-blog.com/william-isaac-on-mark-to-market/

Original Testimony: PDF

Loans Of Commercial Banks 1998 - 2008