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  • GOVT GUARANATEE ON MBS & Bank Capital Relief

    Transféré par

    Joshua Rosner
    93 vues1 page
    If the government chose to provide an explicit guarantee on MBS that are of the same standards as the GSEs currently have, the 10 largest US banks (by assets) would receive $114 billon in regulator capital relief - that is before considering the decline in the requirements of the Liquidity Coverage Ratio which would fall from 15% to 0% and allow the banks to hold up to 100% of their assets in these guaranteed mortgages as they would qualify as HQLA Level I. If the government expanded that guarantee to a wider set of loan qualities the relief would rise from there. This would provide the largest mutual funds, that need volume, with a limitless supply of securities without credit risk and which have a yield premium to treasuries.

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    If the government chose to provide an explicit guarantee on MBS that are of the same standards as the GSEs currently have, the 10 largest US banks (by assets) would receive $114 billon in regulator capital relief - that is before considering the decline in the requirements of the Liquidity Coverage Ratio which would fall from 15% to 0% and allow the banks to hold up to 100% of their assets in these guaranteed mortgages as they would qualify as HQLA Level I. If the government expanded that guarantee to a wider set of loan qualities the relief would rise from there. This would provide the largest mutual funds, that need volume, with a limitless supply of securities without credit risk and which have a yield premium to treasuries.

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    93 vues1 page

    GOVT GUARANATEE ON MBS & Bank Capital Relief

    Transféré par

    Joshua Rosner
    If the government chose to provide an explicit guarantee on MBS that are of the same standards as the GSEs currently have, the 10 largest US banks (by assets) would receive $114 billon in regulator capital relief - that is before considering the decline in the requirements of the Liquidity Coverage Ratio which would fall from 15% to 0% and allow the banks to hold up to 100% of their assets in these guaranteed mortgages as they would qualify as HQLA Level I. If the government expanded that guarantee to a wider set of loan qualities the relief would rise from there. This would provide the largest mutual funds, that need volume, with a limitless supply of securities without credit risk and which have a yield premium to treasuries.

    Droits d'auteur :

    © All Rights Reserved
    Téléchargez comme PDF, TXT ou lisez en ligne sur Scribd
    Signaler comme contenu inapproprié
    sur 1

    JPM Mortgage-backed Detail Amount

    Residential: GNMA Guar 21,034,002,000


    Residential: FNMA/FHLMC 68,776,000,000
    Residential: Other (CMOs) 628,000,000
    Residential: Private 13,162,000,000
    Commercial: Pass-Through 3,076,000,000
    Commercial: Issued/Guar 204,000,000
    Commercial: Other 13,065,000,000

    BAC Mortgage-backed Detail Amount


    Residential: GNMA Guar 118,863,000,000
    Residential: FNMA/FHLMC 178,562,000,000
    Residential: Other (CMOs) 14,471,000,000
    Residential: Private 648,000,000
    Commercial: Pass-Through 12,515,000,000
    Commercial: Issued/Guar 912,000,000
    Commercial: Other 101,000,000

    C Mortgage-backed Detail Amount


    Residential: GNMA Guar 331,000,000
    Residential: FNMA/FHLMC 46,045,000,000
    Residential: Other (CMOs) 9,229,000,000
    Residential: Private 5,211,000,000
    Commercial: Pass-Through 1,636,000,000
    Commercial: Issued/Guar 2,259,000,000
    Commercial: Other 0

    WFC Mortgage-backed Detail Amount


    Residential: GNMA Guar 30,543,384,000
    Residential: FNMA/FHLMC 164,648,946,000
    Residential: Other (CMOs) 5,377,600,000
    Residential: Private 7,360,000,000
    Commercial: Pass-Through 900,000,000
    Commercial: Issued/Guar 3,116,000,000
    Commercial: Other 6,522,000,000

    USB Mortgage-backed Detail Amount


    Residential: GNMA Guar 10,540,970,000
    Residential: FNMA/FHLMC 29,327,467,000
    Residential: Other (CMOs) 39,763,604,000
    Residential: Private 1,452,000
    Commercial: Pass-Through 0
    Commercial: Issued/Guar 14,078,000
    Commercial: Other 0

    BK Mortgage-backed Detail Amount


    Residential: GNMA Guar 2,077,711,000
    Residential: FNMA/FHLMC 30,671,443,000
    Residential: Other (CMOs) 15,097,291,000
    Residential: Private 2,550,465,000
    Commercial: Pass-Through 2,600,000,000
    Commercial: Issued/Guar 5,340,000,000
    Commercial: Other 917,000,000

    PNC Mortgage-backed Detail Amount


    Residential: GNMA Guar 5,182,534,000
    Residential: FNMA/FHLMC 29,884,838,000
    Residential: Other (CMOs) 3,600,506,000
    Residential: Private 3,387,187,000
    Commercial: Pass-Through 1,522,433,000
    Commercial: Issued/Guar 1,362,648,000
    Commercial: Other 4,417,315,000

    COF Mortgage-backed Detail Amount


    Residential: GNMA Guar 9,960,018,000
    Residential: FNMA/FHLMC 17,611,435,000
    Residential: Other (CMOs) 21,906,500,000
    Residential: Private 1,751,448,000
    Commercial: Pass-Through 1,040,923,000
    Commercial: Issued/Guar 5,575,927,000
    Commercial: Other 1,730,269,000

    HSBC Mortgage-backed Detail Amount


    Residential: GNMA Guar 5,343,726,000
    Residential: FNMA/FHLMC 7,475,569,000
    Residential: Other (CMOs) 7,998,976,000
    Residential: Private 5,422,000
    Commercial: Pass-Through 0
    Commercial: Issued/Guar 3,027,820,000
    Commercial: Other 0

    TD Mortgage-backed Detail Amount


    Residential: GNMA Guar 598,930,000
    Residential: FNMA/FHLMC 1,018,333,000
    Residential: Other (CMOs) 2,460,702,000
    Residential: Private 6,606,411,000
    Commercial: Pass-Through 5,783,158,000
    Commercial: Issued/Guar 13,089,342,000
    Commercial: Other 7,890,500,000

    Assuming the MBS Guarantee only applies to GSE type loansTotal Loans GSE 20% risk weight reqs
    $574,021,031,000.00 $114,804,206,200.00

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