Property Prices Aid Mortgage Bonds in Insurer Models

Mortgage & Real Estate

Residential and commercial mortgage-backed securities look a little more attractive in this years just-released National Association of Insurance Commissioners model results, according to Barclays.

While the probability weights for the future scenarios remain unchanged, the [home price appreciation] or [commercial real estate] growth assumptions embedded in them are somewhat better this year, Barclays securitization researchers said in a report Friday.

Insurers use PIMCOs model for RMBS and Blackrocks model for CMBS to determine bonds regulatory risk weighting categories.

These investors need to hold more capital against bonds in higher risk categories. Rising property prices help mitigate bonds modeled risks.

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