Non-Agency RMBS: Things of Interest
In addition to today’s commentary, we have attached a spreadsheet that shows modification step-ups by deal. It is difficult to get a grasp of how modification step-ups might affect your bonds unless you know what percentage of your deal is affected. Our spreadsheet not only estimates the percentage of the deal affected but also the extent of the payment shock. Complete modification data is hard to obtain, but we did our best using the Treasury MHA dataset and US Bank’s trustee dataset. Once you have this information, you can then judge whether you even need to worry about step-ups or even need to think about servicers re-modifying loans when the payment shock proves unmanageable. Our analysis revealed that step-ups on Option ARM loans are the most troublesome.
Topics in today’s commentary
Servicer/Trustee Mappings: 2004-2007 Vintages (as of January 2015 Remittance)
Nationstar stops paying Accrued and Unpaid Net Interest before Principal
Modification Step-ups (especially Option ARMs)
The Problem with Principal Forgiveness: It is permanent.
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