CMO Info on Bloomberg - PowerPoint PPT Presentation

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CMO Info on Bloomberg

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CWHL 03-44 A10 HPR CWHL 03-44 A10 HPR CWHL 03-44 A1 The next screen provides the first page of the Bloomberg description of the A1 tranche. 12669EN77 ... – PowerPoint PPT presentation

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Title: CMO Info on Bloomberg


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.)

3
Sample Prepayment Screen
4
CountryWide Home CMO
  • In the next slides well 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).

5
2003-44 Notes
  • Interesting aspects of the 2003-44 Deal
  • Note that all tranches are rated by Fitch and
    most by Moodys.
  • 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.

6
MBS Features (Contd.)
7
CWHL 03-44 structure
8
CWHL 03-44 structure
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 ltMTGEgt ltGOgt
  • (The 8-digit string is the CUSIP of A-10.)

10
CWHL 03-44 A10 HPR
11
CWHL 03-44 A10 HPR
12
CWHL 03-44 A1
  • The next screen provides the first page of the
    Bloomberg description of the A1 tranche.
  • 12669EN77 ltMTGEgt ltGOgt
  • (The 8-digit string is the CUSIP of A-10.)

13
CWHL 03-44 A1 Description
14
CWHL 03-44 A1 Notes
  • The overall pools 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.)
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