When the conduits that pumped commercial mortgage loans into mortgage-backed securities from 1995 through 2008 failed, they seemed to fail in predictable ways, according to a new analysis from the Kroll Bond Rating Agency.
Mark McDevitt and other KBRA analysts have published data supporting that view in a look at how the conduits in operation from 1995 through 2008 performed.
The topic is of keen interest to life insurers, because U.S. life insurers hold more than $500 billion in mortgage-backed securities.
The KBRA analysis included 523 conduits that handled loans with an original balance of $845 billion. Borrowers have retired 281 of the transactions; 242 of the transactions are still active. Borrowers owe $16 billion on the 1,565 loans that are still active.
The full 523-conduit group has experienced $58 billion in losses, or losses equal to 6.9% of the original mortgage loan balance, according to the KBRA analysts.