The future for investing in mortgage-backed securities 2008

DATAMONITOR VIEW 2

CATALYST 2

SUMMARY 2

ANALYSIS 3

The US, Europe and Asia have embraced RMBS; as a result, at least $6.6 trillion in RMBS sit on balance sheets around the world 3

The US issued $1.934 billion in MBS securities in 2006, making it the largest single country issuer in the world 3

Balance sheets worldwide have $5.8 trillion in exposure to US RMBS 6

Europe has seen a dramatic increase in securitized asset issuance in the past four years 7

The UK is Europe's largest issuer of RMBS, with strong growth in issuance in the last four years 9

The European MBS market is only 20% the size of the US MBS market 10

MBS coming from Australia are relatively healthy for a number of structural reasons 10

The problem is that nobody knows who holds the defaulting securities, or where their valuations may end up 13

In the short-term, there will be a lot of upheaval 13

The value of MBS reported in the balance sheets of 38 of the world's largest banks exceeded $1 trillion at the end of 2006 13

Asia Pacific banks will likely fare better than their peers in other parts of the world 13

US banks are facing a difficult year in 2008 14

At least $300 billion in MBS sat on European balance sheets as of December 2006 17

The worst is not over, but as a medium-term investment, the RMBS market is still an attractive one 19

MBS are a good investment for the right wealth management clients 19

APPENDIX 21

Definitions 21

Agency/GSE MBS 21

Collateralized debt obligations (CDOs) 21

CMBS 21

Fannie Mae (FNMA) 21

Freddie Mac (FHLMC) 21

Ginnie Mae (GNMA) 21

Mortgage-backed securities (MBS) 21

Private label MBS 21

RMBS 22

Securitization 22

Sub-prime 22

Methodology 22

Further reading 22

Ask the analyst 22

Datamonitor consulting 22

Disclaimer 23
[Inhaltsverzeichnis ausblenden]

Table 1: MBS issued in the US each year, ($bn) 5

Table 2: US Agency MBS outstanding, 1995-March 2007, ($bn) 7

Table 3: MBS issuance based on originating country or region (Europe), 1999-2006, ($bn) 8

Table 4: UK major banks' issuance of RMBS, (£bn) 10

Table 5: MBS issuance based on originating country or region (Australia), 1999-2006, ($bn) 12

Table 6: APAC-based bank MBS exposure accounted for 282% of the same companies' total profits in 2006 14

Table 7: North America-based bank MBS exposure accounted for 501% of the same companies' total profits in 2006 16

Table 8: Western Europe-based bank MBS exposure accounted for 344% of the same companies' total profits in 2006 18





Figure 1: US MBS issuance has been relatively steady over the last three years following a three-year boom in issuance 4

Figure 2: Agency MBS outstanding balances have grown strongly in the US from 1995 to March 2007 6

Figure 3: European securitization has grown dramatically since 2003 8

Figure 4: The UK market for RMBS has grown substantially in recent years, 1999-2006 9

Figure 5: Australia's MBS issuance is much smaller than that of Europe or the US, but has grown strongly since 2000 11
[Tabellenverzeichnis ausblenden]