Bond Cusip 60+
ACCR 2007-1 M2 00438QAF1 35.8
CARR 2007-RFC1 M2 144526AF7 48.5
CMLTI 2006-WFH3 M1 17309QAE4 40.3
CWL 2006-10 MV2 12666PAW4 61.0
CWL 2006-18 M1 23243WAE8 60.5
CWL 2006-20 M2 12667HAG6 62.4
CWL 2006-22 M2 12666BAG0 60.2
CWL 2006-25 M2 12667TAG0 62.9
CWL 2006-26 M2 12668HAG5 60.0
CWL 2006-3 M1 126670WC8 57.4
CWL 2006-BC4 M1 12667NAE8 64.6
CWL 2007-1 M2 23245CAG5 64.4
CWL 2007-10 2M1 23246BAM3 56.6
CWL 2007-10 2M2 23246BAP6 56.6
CWL 2007-10 2M3 23246BAR2 56.6
CWL 2007-10 M5 23246BAT8 56.4
CWL 2007-11 2M3 23247LAK4 56.6
CWL 2007-11 M5 23247LAM0 56.3
CWL 2007-7 M1 12669VAF5 56.2
CWL 2007-8 M1 12669WAG1 57.0
CWL 2007-8 M5 12669WAL0 57.0
CWL 2007-9 M1 12670FAF7 57.9
CWL 2007-9 M2 12670FAG5 57.9
CWL 2007-9 M3 12670FAH3 57.9
CWL 2007-9 M5 12670FAK6 57.9
JPMAC 2006-CH1 M2 46629TAG5 37.6
JPMAC 2006-CH2 MV3 46629QAZ9 47.5
JPMAC 2006-CW2 MV2 46629BAU3 65.5
JPMAC 2007-CH2 MV2 46630MAY8 42.2
JPMAC 2007-CH2 MV4 46630MBA9 42.2
JPMAC 2007-CH3 M1 46630XAG3 46.5
JPMAC 2007-CH3 M2 46630XAH1 46.5
JPMAC 2007-CH3 M3 46630XAJ7 46.5
JPMAC 2007-CH4 M1 46630CAF1 42.9
JPMAC 2007-CH4 M2 46630CAG9 42.9
JPMAC 2007-CH4 M3 46630CAH7 42.9
JPMAC 2007-CH5 M2 46631KAG0 46.6
JPMAC 2007-CH5 M4 46631KAJ4 46.6

This is a bid list of bonds for sale today, mostly originated in '06 and '07 the last column represents loans 60+ days delinquent.
This list is mostly Countrywide and JPMorgan origination, you can see the Countrywide is significantly worse (CWL). If put backs of MBS get going in earnest, every bank will have big holes to fill.
All sizes in millions so this is a few hundred Million of bonds from quite a few deals that represent Billions of mortgages (these tranches represent just a tiny portion of the whole deal).

Yowza....

Quote:

This is a bid list of bonds for sale today, mostly originated in '06 and '07 the last column represents loans 60+ days delinquent, it does not include those houses already in foreclosure.

Do you mean that the last column represents the percentage of homes 60+ days past due?

Quote:

JPMAC 2006-CW2 MV2 46629BAU3 65.5

This bond was written by JPM in 2006 and has 65.5% that are two months behind????

Holy ****!

Yep, 65.5% 60 or more days del, 38%of collateral from California, 19% Florida, 5.3 TX and 3.8 NY.

do you have any idea if this is just a typical day, or a particularly bad one?

Isn't there some stat that says mortgages 60+ behind have a 90%+ default rate?

If so...

Eleua, yep. 60+ is basically a guaranteed default.

I corrected my message, this does include mortgages in foreclosure that haven't been liquidated yet.

Bearshort, is this from a random sample of bonds, or are you highlighting some specific examples? Because, if this is a random cross-sample, then OH BOY!

Quote:

JPMAC 2006-CH1 M2 46629TAG5 37.6

This is the best of the lot up there.

If 3 out of every 8 are going to be zeroes, and you get 50% recovery, that's 3/16ths that you just don't recover, which has to be recouped in advance via the purchase price. This presumes no expense in selling off the collateral.

At the very least, this adds 2000bp to the interest rate. Remember, that's the best in class up there.

The real gems up there have in excess of 2/3 non-performing. That has to add at least 4000bp. Also, that $100K bond has 2/3 of it that is worthless. This is the collateral these banks are holding?

DISCLAIMER: I don't know how to calculate the value/ROI on a bond off the top of my head. I'm just spitballing.

Totally random, this is a list of bonds that were out for the bid this morning, customer did the favor of putting up the 60+ day delinquencies so it was easy to cut and paste. '06 and '07 jumbo RMBS are a disaster of unimaginable proportions. Saw a '07 Countrywide deal about a month ago, over 80% delinquent 60+ days.
Did a quick look, lots of this list is Home Equity loans.

Of course they're a disaster.

I'm going to write a ticker on this...

The bonds are one issue, which is bad enough.

If the BEST one has 3 out of 8 headed for default, and the worst has better than 2 out of 3, these homes will hit the foreclosure market with a vengeance.

You are staring down the gun of homes selling for cash - not credit - CASH.

We are talking about 15-20c on the dollar, and that's optimistic.

Just think, the FED has bought all this crap for the past year and change.

Why can't the Fed eat the loss? Nobody has explained that in an understandable way to me yet.

I'm not sure if this was posted elsewhere, but...

Fitch Announces Another Record In CMBS Delinquencies (6.29%)

http://www.zerohedge.com/article/fitch-a....

ps. The article goes on to say that 7.00% is pretty much guaranteed, if and when Peter Cooper/Stuyvesant hit the 60-day mark.

You've had it explained several times, but you refuse to accept the explanation.

I think the QE that has been used to buy these things has been nothing more than the FED taking out a loan from a member bank in the amount of trash it is buying at face value.

It is just an accounting entry, as no money actually changes hands. It lets the bank show that their asset was purchased at par, while the FED doesn't have to pony up the dough.

With all that is going on, I may be mistaken. There has been no "print," but rather an accounting subterfuge.

This goes bad when the FED can't close out the loan due to non-performance. Either the bank that originally had the asset goes bad due to lack of cash flow at the FED, or the FED eats it and detonates itself.

I think of it as vendor financing, which never works out well in the long term, but it sure looks sharp in the short term.

Somewhere, somehow, someone is going to need cash to make this work out. Joe and Jane Six Pack are not injecting the money as needed to keep the holders of these assets whole. Someone is going to detonate unless the mortgage payers suddenly get religion and make their payments.

DISCLAIMER: This is just my understanding. I may be wrong.

Maybe so. All we can do is wait and see. There's no good solution. I kinda like the outcome where the Fed blows up and gets replaced by something else.

My fear is that the FED has an exit strategy, but for the life of me, I can't figure out what it is. It has been theorized that FANRON/FREDRON are going to get the trash, and then Congress runs them out on our dime, but I still can't get there from here.

If Ben has an exit strategy, we will soon find out. If he doesn't, and was hoping on a cyclical return of the market to sell his trash on the upstroke, that will go down as the biggest blunder in financial history.

Well, that which can't possibly be paid back...won't be. Default and jubilee start to look pretty similar, or even exactly the same, in the case where there's not really much collateral to go after. I'd prefer a Fed orchestrated and controlled jubilee to trying to squeeze blood from a stone for 20 more years. From my ignorant point of view, this initial gambit of buying all the MBS is either a prelude to jubilee, or a prelude to and endless game of bouncing the **** back and forth between Fed and private sector, marking it down a bit during each iteration. The latter might be their "exit strategy"? The former would be a scenario where they don't plan to exit at all.

I have Koolaid's question too and I'm not trying to be dense.

If the Fed holds the MBS and lets them run down to their eventual recovery and gets say 50% on the dollar then it does shrink their balance sheet - but of course they don't want to do that and take the loss - they want Treasury to buy the crap and put the loss on us taxpayers.

At this point they have given money to the banks - their big goal. Not enough so far with the losses yet to come.

Just musing because I have the same question.

Anti, the Fed hasn't been a big buyer of this type of this type of paper, the majority of Quantatative Easing $$ went for new issue Fannie and Freddie MBS originated in '09 and '10. New issue better underwriting.
The bigger issue for the Fed will be when rates go up and the MBS drop in value like a stone.

Bear, who was selling these toxic bonds? Is the top-of-bubble stuff still mostly in SPV's?

Ths was a CDO liquidation, seeing from Dealer, don't know end account. Whomever it is........DEAD!