The nation's mega banks and other depositories repurchased roughly $30 billion in residential mortgages from Fannie Mae and Freddie Mac in the second-half of 2009 and will suffer losses of up to 40% on the loans, according to a new report from Credit Suisse.

Penned by Credit Suisse analyst Moshe Orenbuch, the report noted that repurchase volumes are accelerating and will "remain elevated in 2010 and moderate thereafter." 

Orenbuch estimated that large cap banks followed by Credit Suisse account for roughly 88% of the $30 billion in buybacks. Among this universe of large caps, he told National Mortgage News, is Wells Fargo, Bank of America, JPMorgan, and Citigroup — all of which have acknowledged buyback problems in earnings reports.

The analyst said the loans being repurchased are "likely to be delinquent and/or deficient" and include what he called "differentiated" products, meaning Alt-A, interest only mortgages and payment option ARMs.

But there is some good news in the report: "given the bulk of the repurchases are from the 2007 vintage, we would expect repurchase demands to moderate in 2011, as the quality of industry originations strengthened during 2008."

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.