Texas — one of the best performing housing markets since the onset of the credit crisis — also pays one of the highest weighted average coupon rates on its mortgages, representing one of the most significant mispricing of risks in the nonagency residential mortgage-backed securities marketplace, according to a research report from Opera Solutions.

"It's striking to see how the state that has maintained the best LTVs throughout the crisis is also paying the highest weighted average coupon among major markets," said Bill Hunt, vice president and author of Opera Solutions' Mobiuss Market View report.

"This fact has interesting ramifications on everything from prepayments, defaults and loss severities to credit support for bonds exposed to Texas borrowers and properties."

The report also noted that mortgage servicers who were more active in modifying loans have realized lower loss severities than those who have been more reluctant to modify. "It appears that those servicers who aggressively modified are currently outperforming their peers in term of loss severity. Tracking this relationship month-to-month will show which modification strategy returns the most benefit over the long-term," Hunt added.