Legal Seminar, Chicago, IL

GSE RISK-SHARING INDICES GSES UNDER CONSERVATORSHIP

Spreads on older CRT securities have narrowed considerably through time, despite occasional bouts of volatility. In late 2018, there was considerable spread widening, followed by a sharp spread narrowing in 2019, a pattern also seen in the corporate bond market. The figures below show the spreads on 2015, 2016, 2017 and 2018 indices, as priced by dealers. Note that the 2015 and 2016 indices consist of the bottom mezzanine tranche in each deal, weighted by the original issuance amount; the equity tranches were not sold in these years. The 2017 and 2018 indices contain both the bottommezzanine tranche as well as the equity tranche (the B tranche), in all deals when the latter was sold.

By Vintage

2017 and 2018 Indices

2015 Vintage Index

2016 Vintage Index

2017 B Index

2017 M Index

2017 M Index

2018 M Index

2018 B Index

2018 M Index

500

500

450

450

400

400

350

350

300

300

250

250

200

200

150

150

100

100

50

50

0

0

Jul-18 Aug-18 High Indices Sep-18 Oct-18

Jan-18

Jan-19

Jun-16

Jun-17

Jun-18

Jun-19

Jun-18

Jun-19

Apr-17

Apr-18

Apr-19

Oct-16

Oct-17

Oct-18

Apr-18

Apr-19

Feb-17

Feb-18

Feb-19

Feb-18

Feb-19

Dec-16

Dec-17

Dec-18

Aug-16

Aug-17

Aug-18

Dec-18

Nov-18

Mar-18

Mar-19

May-18

May-19

Low Indices

2014/15 Low Index

2016 Low Index

2014/15 High Index

2016 High Index 2018 High Index

2017 High Index

2017 Low Index

2018 Low Index

500

500

450

450

400

400

350

350

300

300

250

250

200

200

150

150

100

100

50

50

0

0

Jun-16

Jun-17

Jun-18

Jun-19

Apr-17

Apr-18

Apr-19

Oct-16

Oct-17

Oct-18

Feb-17

Feb-18

Feb-19

Jun-16

Jun-17

Jun-18

Jun-19

Sep-16

Sep-17

Sep-18

Dec-16

Dec-17

Dec-18

Aug-16

Aug-17

Aug-18

Dec-16

Dec-17

Dec-18

Mar-17

Mar-18

Mar-19

28

28

Sources : Vista Data Services and Urban Institute. Note : Data as of May 15, 2019.