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Chart 7: 90+ Day Delinquencies for Top GNMA Issuers BofA Chase CITI GMAC TBW WFHM 31-Mar-10 0.60 2.27 1.13 5.00 18.50 0.23 28-Feb-10 1.10 2.53 1.25 4.93 18.00 0.27 31-Jan-10 2.20 2.56 1.27 4.71 17.50 0.38 31-Dec-09 1.70 2.40 1.32 4.40 16.40 0.64 30-Nov-09 5.30 2.36 1.31 4.28 15.10 0.96 31-Oct-09 4.90 2.16 5.71 3.87 13.80 1.27 30-Sep-09 4.50 2.30 5.50 3.70 12.00 1.43 31-Aug-09 4.60 2.16 5.29 3.30 10.70 1.86 31-Jul-09 4.50 3.33 5.07 3.05 8.90 1.71 30-Jun-09 4.50 2.75 4.84 2.86 8.40 1.59 31-May-09 4.40 2.03 4.71 2.68 7.70 2.06 30-Apr-09 4.20 1.35 4.49 2.53 7.20 2.57 31-Mar-09 4.20 0.79 4.25 2.66 7.20 2.84 28-Feb-09 4.30 0.90 4.33 2.70 7.10 3.11 31-Jan-09 4.50 0.98 4.37 2.59 6.90 3.19 Source: BNP Paribas Chart 8: CBRs for Top GNMA Issuers BofA Chase CITI GMAC TBW WFHM 31-Mar-10 10.5 7.2 7.6 1.9 0.5 5.5 28-Feb-10 16.1 6.2 8.3 1.1 - 7.9 31-Jan-10 1.5 7.0 9.5 1.0 - 10.5 31-Dec-09 38.6 7.0 9.7 - - 10.6 30-Nov-09 0.6 7.0 50.0 0.1 - 10.7 31-Oct-09 0.7 10.2 6.9 3.6 - 9.0 30-Sep-09 3.9 7.6 5.8 1.0 - 11.1 31-Aug-09 0.8 20.5 5.8 1.1 - 4.0 31-Jul-09 0.7 0.1 4.2 1.0 0.6 3.0 30-Jun-09 0.6 0.1 4.4 1.1 0.6 8.9 31-May-09 0.5 0.1 4.3 0.8 1.6 8.8 30-Apr-09 0.2 0.3 3.8 0.9 0.9 5.4 31-Mar-09 0.1 7.9 3.2 0.8 0.2 4.5 28-Feb-09 2.2 8.8 5.1 0.5 0.9 3.8 31-Jan-09 2.6 9.9 2.7 0.4 0.2 2.6 Source: BNP Paribas CBRs Chart 9: CBRS CBRs for GMAC versus All GNMA Issuers 20 18 GMAC 16 All Issuers 14 12 10 8 6 4 2 0 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Source: BNP Paribas Chart 10: Prepayment Improvement due to Lower Delinquencies Approx CPR benefit (calculations are UPB weighted) 30Ys 5.0% 5.5% 6.0% 6.5% 2009 0.0 (0.2) (0.9) (4.3) 2008 (0.3) (0.6) (1.9) (2.2) 2007 (1.5) (1.4) (2.6) (5.2) 2006 (2.0) (2.0) (2.7) (3.2) 2005 (1.0) (0.7) (2.0) (4.8) Source: Freddie Mac, BNP Paribas Chart 11: About 55-60% Loans Going From 90-119 to 120+ Day Delinquencies Feb to Mar 90-119 to 120+ D Transition 2009 66% 53% 62% 2008 58% 57% 57% 59% 2007 52% 57% 57% 56% 2006 57% 59% 58% 60% 2005 55% 58% 53% 51% 2004 and Prior 50% 50% 48% 48% Source: Freddie Mac Fed H.8 report shows growth in bank MBS assets The most recent Federal Reserve H.8 report showed a USD 8.6bn increase to USD 982.5bn in bank MBS holdings for the week ending 12 April. The previous week had also shown a USD 9.6bn increase. Since the end of March, bank MBS holdings have increased by USD 13.2bn, but with higher dollar prices, it is questionable whether these purchases can be sustained. Chart 14: Domestically Chartered Commercial Banks’ MBS Holdings 1,000 $ bn 990 980 970 960 950 940 930 920 910 Source: Federal Reserve Jul-09 Sep-09 Nov-09 Jan-10 Mar-10 Anish Lohokare/Timi Ajibola 7 May 2010 Market Mover, Non-Objective Research Section 38 www.GlobalMarkets.bnpparibas.com
Chart 12: 90-119 Day Dlq for FRE 90-119 D Dlq in # of loan terms 30Ys 5 5.5 6 6.5 Feb Mar Diff Feb Mar Diff Feb Mar Diff Feb Mar Diff 2009 0.04% 0.04% 0.00% 0.11% 0.13% 0.02% 0.21% 0.26% 0.05% N/A 0.00% 2008 0.38% 0.33% -0.05% 0.63% 0.55% -0.08% 0.89% 0.80% -0.09% 1.30% 1.14% -0.16% 2007 0.73% 0.71% -0.01% 0.94% 0.82% -0.11% 1.30% 1.13% -0.17% 1.89% 1.58% -0.31% 2006 0.74% 0.61% -0.13% 0.91% 0.79% -0.12% 1.05% 0.94% -0.10% 1.36% 1.19% -0.17% 2005 0.60% 0.50% -0.10% 0.76% 0.66% -0.10% 1.08% 0.95% -0.13% 1.50% 1.39% -0.12% 2004 and Prior 0.30% 0.24% -0.06% 0.43% 0.35% -0.08% 0.51% 0.43% -0.08% 0.52% 0.43% -0.09% Source: Freddie Mac Chart 13: 120+ Day Dlq for FRE 120+ D Dlq in # of loan terms 5 5.5 6 6.5 30Ys Feb Mar Diff Feb Mar Diff Feb Mar Diff Feb Mar Diff 2009 0.02% 0.02% 0.00% 0.08% 0.06% -0.02% 0.15% 0.13% -0.02% 0.43% 0.00% -0.43% 2008 0.24% 0.22% -0.02% 0.41% 0.36% -0.05% 0.61% 0.51% -0.11% 0.98% 0.76% -0.22% 2007 0.46% 0.38% -0.09% 0.65% 0.54% -0.11% 0.91% 0.74% -0.17% 1.38% 1.06% -0.32% 2006 0.53% 0.43% -0.10% 0.65% 0.53% -0.11% 0.77% 0.61% -0.16% 0.97% 0.81% -0.16% 2005 0.39% 0.33% -0.07% 0.49% 0.44% -0.05% 0.77% 0.58% -0.19% 0.96% 0.77% -0.19% 2004 and Prior 0.18% 0.15% -0.03% 0.26% 0.22% -0.05% 0.29% 0.25% -0.04% 0.29% 0.25% -0.04% Source: Freddie Mac Anish Lohokare/Timi Ajibola 7 May 2010 Market Mover, Non-Objective Research Section 39 www.GlobalMarkets.bnpparibas.com
Page 1 and 2: Market Economics | Interest Rate St
Page 3 and 4: UK: all eyes on the election US: re
Page 5 and 6: Event response The ECB is being ove
Page 7 and 8: Eurozone Periphery: Compare and Con
Page 9 and 10: over 20% in Q1) and, last but not l
Page 11 and 12: Market Stress Charts • Signs of s
Page 13 and 14: Chart 7: Greek Bank CDS* 900 Greece
Page 15 and 16: • The plan also contains a number
Page 17 and 18: Germany: Downs and Ups • The impa
Page 19 and 20: Retail sales data from month to mon
Page 21 and 22: On inflation, the statement was als
Page 23 and 24: quarterly average of 2.7% in the fi
Page 25 and 26: US Credit: Still the Recovery’s B
Page 27 and 28: Japan: Rising Chance of Sales Tax H
Page 29 and 30: BNP Paribas Surprise Indicator •
Page 31 and 32: UK headline After surprising to the
Page 33 and 34: US: Supply Could Affect Swap Spread
Page 35 and 36: steep curve is typically associated
Page 37: decline. We continue to maintain ou
Page 41 and 42: the gamma sector for some time now.
Page 43 and 44: EUR: Limited Nervousness at ECB Ten
Page 45 and 46: with the big redemption (EUR 17.7bn
Page 47 and 48: measures are not promptly taken to
Page 49 and 50: Table 1: BNP Paribas' Inflation For
Page 51 and 52: Table 3: BNP Paribas' Inflation For
Page 53 and 54: Table 1: BNP Paribas Carry Analysis
Page 55 and 56: What’s the call? It is relatively
Page 57 and 58: Update on FIN SEN and FIN SUB 5/10y
Page 59 and 60: Germany 10y: Within MT falling wedg
Page 61 and 62: Judging Currencies by Liquidity •
Page 63 and 64: type of regulation would reduce mon
Page 65 and 66: Euro Dives • The euro is collapsi
Page 67 and 68: Currency Spot Trade Recommendations
Page 69 and 70: Economic Calendar: 7 - 14 May (cont
Page 71 and 72: Key Data Preview Chart 1: US Payrol
Page 73 and 74: Key Data Preview Chart 5: UK Manufa
Page 75 and 76: Key Data Preview Chart 9: French GD
Page 77 and 78: Key Data Preview Chart 13: US Indus
Page 79 and 80: Treasury and SAS Issuance Calendar
Page 81 and 82: Central Bank Watch Interest Rate EU
Page 83 and 84: FX Forecasts* USD Bloc Q2 '10 Q3 '1
Page 85: RESEARCH DISCLAIMERS: IMPORTANT DIS

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