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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

CMO Info on Bloomberg

Chris Lamoureux, PhD

Head of Finance

Estes/Neill Professor of Finance

University of Arizona

generic prepayment data
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

sample prepayment screen
Sample Prepayment Screen

Mortgage Backed Securities

countrywide home cmo
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

2003 44 notes
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

mbs features cont d
MBS Features (Cont’d.)

Mortgage Backed Securities

cwhl 03 44 structure
CWHL 03-44 structure

Mortgage Backed Securities

cwhl 03 44 structure8
CWHL 03-44 structure

Mortgage Backed Securities

cwhl 03 44 structure9
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

cwhl 03 44 a10 hpr
CWHL 03-44 A10 HPR

Mortgage Backed Securities

cwhl 03 44 a10 hpr11
CWHL 03-44 A10 HPR

Mortgage Backed Securities

cwhl 03 44 a1
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

cwhl 03 44 a1 description
CWHL 03-44 A1 Description

Mortgage Backed Securities

cwhl 03 44 a1 notes
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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