Hi LaszloChi, could you give some more information for those of us who are not familiar with this data and the source? Thanks
The snapshot is a 'Collateral Performance' view of a particular ABS deal (in this case IMSA 2006-SD1) as sourced by Bloomberg CMO. This particular mortgage security only has one 'class' of issuance (some mortgage securities can have multiple 'classes' bundled up within them). The original amount was 110,614 (in thousands), with a 5.75% coupon, and a original maturity out to July 25, 2036 If you want to look up the CUSIP, it's 45256CAA7.. That is class 'A' of the deal. I can give you a quick overview of what each line means: Balance - obviously, the remaining amount outstanding on the original loan pool. Pool Factor - Current Balance / Original balance... This almost always will decrease, as people 'pay' down their outstanding debt within the pool. # of loans - just what it implies. As people 'pay' their loans off, or they get foreclosed, this number will decrease with age until maturity. WAC/WAM/WALTV - not going to get into the discussion here.. Bankruptcy - The % of mortgage pool owners who are declaring or have already been in bankruptcy. This has some significance to the pool, and can affect payments/prepayments (if any) and the delinquency/foreclosure rates. For each reporting period, these are NOT cumulative.. If you were to look at that attachment you might say HMM Add up all the Bk columns and MAN that's bad.. It's not cumulative, just what's reported for that month. Obviously, if you're a holder of this MBS pool, you want them to go down, because it does affect the payment cashflows, etc. Foreclosure - Goes by the same thing as BK (i.e. not Cumulative across the board).. Obviously, that is the % of loans oustanding in the pool that has caused the servicer/holder to initiate foreclosure proceedings on that particular mortgage. As with any FC, it will fluctuate as some homeowners can usually avoid FC right before it actually happens. REO - % of bank-owned property. Delinq 60+ - % of loans that are within the 60, 90, REO (Bank Owned) and Foreclosure status. If you look at it, and add up 60D + 90D + Foreclosure + REO = 74.54% Delinq 90+ - % of loans that are within the 90D + Foreclosure + REO = 73.05 (34.34 + 19 + 19.71) Full Doc - % of loans that have FULL documentation. Sometimes the pool servicers don't report it, so that's why you don't see anything here. ARM Collat % - The % of loans within the pool which are ARM (Adjustable Rate Mortgages).. As you can see, the servicer started finally reporting this one!! LOL I drilled down on the 60D Del. page and here's the breakdown by state of the outstanding balances due that are 60D+ del. I attached that here.. Pretty simple to analyst that, State, Count (# Of loans) Current Amount (the total current amount of loans outstanding), % (Percentage for that state outstanding).. WALTV, WAC, WAM, WALA I'm not going to explain here..) and ARM% (% of loans in that state that are ARMS). Source: Bloomberg CMO Hope this helps... It's time consuming to go through and analyse all these deals and drill down to get the pertinent data.
Here's the Delinquencies in the pipeline (i..e. they haven't reached that foreclosure or REO level yet...)
If you want to watch a unfolding trainwreck..... CSFB - 2005 - CF1 - Whole ARM Collateral Has 9 'classes' 3 of them are paid (including the A1 class, with 113,061 issued at 5.520 cpn and a Maturity of 03/25/45) On the A class, looks like folks prepaid that one, but I will look at it and verify. I'm looking at the A2 class, orig amt was 40,784 (in thousands) at 2.752 coupon! I think I'll let the simplified chart speak on this one.
For those who want to read into the data (see my previous post regarding how to interpret this screen) ... Here's the table. Now, isn't this fun?? -lc
Holy smokes. Thanks LasloChi for sharing this information. Looks like we've only seen the tip of the iceberg or as you say trainwreck. I knew it would be bad but no idea that the numbers coming online were so high. Much appreciated.