According to the estimate of Amherst Securities, Freddie Mac and Fannie Mae losses could reach 9.6% or $448 billion.

Amherst reasoned that once a borrower is 60+ days delinquent, the cure rate is ” well under 10%.” Even if modified and returned to re-performing status, the re-default rate remains ” unbelievably high.”

The U.S. Department of Treasury recently announced that Treasury would cover all loses at Fannie and Freddie.