Abstract
Overview
Introduction
This brief assesses the extent of the current problems and the future for
investing in these securities. Please note: This brief does NOT discuss MBS
pricing or estimate future MBS asset values.
Scope
- Sizes the historic MBS market by issuance through 2006 in the US, Europe,
the UK and Australia, and presents the size of worldwide exposure to US MBS
- Assesses MBS exposure on a company level by identifying the MBS balance
sheet exposure for 38 of the world' s largest banks in the US, Europe and Asia
Report Highlights
While agency securities have traditionally accounted for the majority of MBS
issued, its share has dropped from around three quarters in 1996 to under half
by 2006. Private label MBS issuance accounted for $743 billion in 2006 and was
the fastest growing issuance sector in the last three years.
Although Australia was the third largest single country to issue securitized
assets in 2006, issuing $102 billion of these assets (90% of which, or $90
billion are MBS), the structure of its market should ensure that it won' t face
the same sub-prime issues that the US is seeing.
European-based banks reported almost $300 billion in MBS on their balance
sheets as of the end of 2006. This equates to almost three-and-a-half times
the total profits reported in 2006 by the same banks. It would take
write-downs of 29% on average across these balance sheets to equal the total
profits reported by the banks in 2006.
Reasons to Purchase
Assess the scope of MBS issuance historically in the US, Europe, the UK and
Australia. Analyze which regions have the most exposure to mortgage-backed
securities based on balance sheet analysis of 38 of the worlds largest banks.
Identify which banks have large reported MBS exposures
View Cart
