Well thought through and well presented. A couple of minor points...
1. Declining rates triggered a 111.7% increase in refinancings according to recent IMF data. This will greatly enhance guarantee fee income and provide an offset to loan loss provisions due to forbearance costs.
2.I do not anticipate any "fair value" writedowns because home prices actually increased due to inventory decline as reported by Diana Olick on CNBC.
3. New home sales data is screaming hot. This informs key market players that rising g-fees are not the death knell for affordable home purchases. The recent data confirms a net-neutral relationship in a declining interest rate market. Rates are not expected to see Fed pressure towards a hike. The real "best news" in this new-normal reality is that FHFA can dump the SPSPA crap like Seniors and warrants but keep the Treasury Backstop on a modest fee basis (like 10-20 basis points) and give new investors the peace-of-mind needed to fully subscribe the Capital IPO.
As always, the derivative loss just is what it is, but tends to cycle through in subsequent quarters.
The stimulus bill needs to clear Congress before the Summer Recess or Q3 is going to be a freakin" disaster as extended recessionary fears grip the market.
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