The company has further said it owns the deal termination right at whatever time it chooses, without issuance of the residual securities
via paying a "modest" amount as cancellation fee, the size of which remains unspecified too.
It consists of a facility collateralized by existing residual securities
, carrying an interest rate of one-month LIBOR plus 350 basis points, and a second facility collateralized by existing mortgage servicing rights, carrying an interest rate of one-month LIBOR plus 375 basis points.
Those three categories are collateralized mortgage obligations and real estate mortgage investment conduits (CMOs and REMICs), stripped mortgage-backed securities (strips) and CMO-REMIC residual securities
Some define derivatives to include asset-backed securities (such as collateralized mortgage obligations, interestand principal-only securities, residual securities
and stractured notes), which generally are recognized in a user's statement of financial position.
Many of the mortgage lender lawsuits are directed at underwriting practices and accounting estimates, including estimates related to allowance for loan losses, valuation of mortgage servicing rights and residual securities
, and liabilities for loan repurchases.
We model our residual securities
based upon historical prepayment experience, cumulative losses and the current forward LIBOR curve.
Excluding non-investment grade and residual securities
, total Q3-07 charge-offs were $55 million, and the total related credit reserve at September 30 was $553 million, or 10 times the charge-off amount.
The increase in NPAs in our loan portfolios resulted in increased loan loss provisions, and we took credit valuation adjustments in our non-investment grade and residual securities
portfolios to reflect expected increases in credit losses.
Such factors include, but are not limited to, (i) the state of the overall economy, (ii) the interest rate environment, (iii) the Company's ability to maintain adequate financing facilities, (iv) the validity of the assumptions underlying the value of the Company's residual securities
, (v) the effectiveness of the Company's hedging strategy, (vi) the outcome of the Company's pending litigation and regulatory inquiries, (vii) the effect of new and proposed legislation and regulations on the Company's business, and (viii) the risks identified in the Company's Annual Report on Form 10-K for the year ended December 31, 2001 and its other periodic filings with the Securities and Exchange Commission.
Market conditions are expected to reduce gain on sale revenues and necessitate write-downs of low investment grade and residual securities
2 million (see Residual Securities
for further discussion).
In addition, Indymac's loans in the FALP data represent 100 percent of the Company's Alt-A non-investment grade and residual securities