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).

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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 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.

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MBS Features (Contd.)
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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.)

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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.)