by Calculated Risk on 3/01/2007 12:15:00 AM

“It is impossible to get a number. And I don’t think they even know.”
Richard X. Bove, an analyst with Punk Ziegel & Company on big investment bank’s exposure to subprime loans.

NY Times: Calm Returns to Market, but Worries Persist Over Subprime Loans. Excerpts:

Wall Street now faces risks on two fronts. First, it stands to earn less from originating, packaging and trading mortgage-backed securities. Second, it will have to absorb more of the losses from loans when borrowers are no longer making payments.
...
For some analysts, the bigger risk to Wall Street is simply that the spigot has been turned off.

“Does the flow of mortgages to the securitization machine slow?” asked Jeffrey Harte, an analyst with Sandler O’Neill. “That’s what I’m most worried about.”

Volume is falling. Production of nonagency mortgage securities fell almost 50 percent between January and February, according to preliminary numbers compiled by Inside Mortgage Finance. The data indicate that new subprime and Alt-A loans fell significantly in February.

There is much more in the NY Times article.