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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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Cmo info on bloomberg l.jpg

CMO Info on Bloomberg

Chris Lamoureux, PhD

Head of Finance

Estes/Neill Professor of Finance

University of Arizona


Generic prepayment data l.jpg

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


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Sample Prepayment Screen

Mortgage Backed Securities


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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


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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


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MBS Features (Cont’d.)

Mortgage Backed Securities


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CWHL 03-44 structure

Mortgage Backed Securities


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CWHL 03-44 structure

Mortgage Backed Securities


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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


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CWHL 03-44 A10 HPR

Mortgage Backed Securities


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CWHL 03-44 A10 HPR

Mortgage Backed Securities


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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


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CWHL 03-44 A1 Description

Mortgage Backed Securities


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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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