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RepoWatch roundup of securitization data

RepoWatch’s quarterly roundup of securitization data shows no sign that securitization – and the credit it provides businesses and consumers – is reviving.

RepoWatch tracks securitization because it was the combination of repos and securitization, which Yale professor Gary Gorton calls securitized banking, that blew up in 2007 and 2008.

SECURITIES INDUSTRY AND FINANCIAL MARKETS ASSOCIATION

(1) U.S. Asset-backed commercial paper, outstanding, in billions:

Most recent high, July 2007: $1,186.5 billion
Most recent low, December 2010: $382.0 billion
Most current, January 2011: $385.0 billion

ABCPaper is a short-term, often overnight, IOU that banks and their off-the-books businesses – like trusts, special purpose entities, special purpose vehicles, variable interest entities, conduits and structured investment vehicles – sell to investors like money market funds to raise cash for their securitization operations. SIFMA doesn’t report ABCPaper issuance.

(2) U.S. Asset-backed securities excluding mortgages, issuance, in billions:

Most recent high, 2006: $753.9 billion
Most recent low, 2010: $107.5 billion
Most current, 2010: $107.5 billion
Past months, January-February 2010: $18.6 billion
Most current, January-February 2011: $16.9 billion

 Financial institutions sell loans to their trusts, which pool them and sell asset-backed securities backed by the loans to investors, often other financial institutions but also other institutional investors like municipalities and insurance companies.

(3) U.S. Mortgage-backed securities without government guarantees, issuance, in billions:

Most recent high, 2006: $909.4 billion
Most recent low, 2009: $11.7 billion
Most current, 2010: $13.5 billion
Past months, January-February 2010: $0.2 billion
Most current, January-February 2011: $4.0 billion

The growth this year is in commercial real estate mortgages.

(4) U.S. Mortgage-backed securities with Fannie Mae and Freddie Mac-type guarantees, issuance, in billions:

Most recent high, 2003: $2,661.8 billion
Most recent low, 2006: $1,179.4 billion
Most current, 2010: $1,707.3 billion
Past months, January-February 2010: $268.1 billion
Most current, January-February 2011: $310.9 billion

These mortgages are backed by the U.S. taxpayer.

(5) U.S. Mortgage-backed securities with Fannie Mae and Freddie Mac-type guarantees, outstanding, in billions:

Most current, December 31, 2010: $6,840.0 billion, highest on record.

These securities are keeping the mortgage market alive. What will happen to them if Congress decides to get rid of the two mortgage giants?

FLOW OF FUNDS

(5) Issuers of asset-backed securities, total assets, in billions:

Most recent high, September 30, 2007: $4,532.9 billion
Most recent low, September 30, 2010: $2,542.8 billion

These are the trusts that pool loans, sell asset-backed securities backed by the loans to investors, and sell ABCPaper to help fund their operations. The Flow of Funds is the Federal Reserve’s quarterly report on the financial markets.

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