Alas, it appears my speed reading after a couple of evening beers was more speed than reading.
But to address your actual comment around MBS defaults. 4 more months is probably about right for some junior notes, however I would expect the senior notes to last a little longer. Most securitisation structures have liquidity and general reserves/facilities that equal 1%-5% of the outstanding balance of the assets. Additionally many have features like "principal to pay interest" where the principal component of the mortgage repayment is "borrowed" to cover a shortfall in interest and repaid when arrears are caught up. These features should cover 1-2 years of senior note interest payments and avoid defaults in the short term. Ratings agencies test specifically for these sorts of cashflow stresses when assigning ratings as can be seen in the rather boringly named "Appendix 4: Cash Flow Analysis" of
Moody’s Approach to Rating US RMBS Using the MILAN Framework (PDF warning)
The big questions are how long will the recession last and how fast will the recovery be. At the moment, most people should still have some reserves of cash to last a few months and they should still have equity in their houses as we haven't seen a decline in house prices as was seen in the 08-09 shock - which should make them less inclined to just mail back the keys. If the lockdown carries on i'd expect house prices to tank which, along with continued higher mortgage arrears, will have a much bigger impact on MBS.
Source: Have worked in bank treasuries structuring ABS/RMBS transactions.
