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CMO Info on Bloomberg

CMO Info on Bloomberg. Chris Lamoureux, PhD Head of Finance Estes/Neill Professor of Finance University of Arizona. Generic Prepayment Data.

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CMO Info on Bloomberg

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  1. CMO Info on Bloomberg Chris Lamoureux, PhD Head of Finance Estes/Neill Professor of Finance University of Arizona

  2. Generic Prepayment Data Bloomberg provides generic prepayment data for Agency Pools. Here is an example screen for 30-Year Freddie Mac pools (from January 18, 2005). (Note that the outstanding 5.5% Pools increased by over 500 over the past month.) Mortgage Backed Securities

  3. Sample Prepayment Screen Mortgage Backed Securities

  4. CountryWide Home CMO In the next slides we’ll look at an actual CMO issued by Countrywide Financial. This is not an agency. Credit enhancements are achieved by a senior/subordinate structure that entails both insurance against default (for the senior tranches), and allocation of credit risk. This particular pool is designated: Countrywide Home 30-Yr: 2003-44. It is a $500 million pool divided into 16 tranches. Here is a hyperlink to the prospectus (.doc format). Mortgage Backed Securities

  5. 2003-44 Notes Interesting aspects of the 2003-44 Deal: • Note that all tranches are rated by Fitch and most by Moody’s. • Note that the A-3 tranche is protected by financial guarantee insurance. • Note that the A-3 tranche is the longest-lived of the tranches. • This deal has no PAC / Companion tranches. • The Bloomberg screens about this deal are on the following slides. Mortgage Backed Securities

  6. MBS Features (Cont’d.) Mortgage Backed Securities

  7. CWHL 03-44 structure Mortgage Backed Securities

  8. CWHL 03-44 structure Mortgage Backed Securities

  9. CWHL 03-44 structure On the next 2 slides I present the HPR screens from Bloomberg for the A-10 tranche. You can access this directly: 12669EP83 <MTGE> <GO> (The 8-digit string is the CUSIP of A-10.) Mortgage Backed Securities

  10. CWHL 03-44 A10 HPR Mortgage Backed Securities

  11. CWHL 03-44 A10 HPR Mortgage Backed Securities

  12. CWHL 03-44 A1 The next screen provides the first page of the Bloomberg description of the A1 tranche. 12669EN77 <MTGE> <GO> (The 8-digit string is the CUSIP of A-10.) Mortgage Backed Securities

  13. CWHL 03-44 A1 Description Mortgage Backed Securities

  14. CWHL 03-44 A1 Notes • The overall pool’s original WAC is 5.65%. • At this point, the WAC is 5.71%. • Note that there were high prepayments in March – May of 2004. • (Indeed the “AR” (PO) tranche is already fully paid off.) Mortgage Backed Securities

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