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Our Forbearance Data just got better – UPDATE #1

Please read our Commentary from Friday, January 18, 2018 (especially pages 1-2). Our forbearance data is either actual or actual adjusted. Some sources are more reliable than others and we describe the reliability of each source at the top of each page. If there is no source for forbearance data, we provide other important data points that can help you make an educated guess, i.e. cumulative loss of modified loans, past recovery rates of these losses, HAMP data. Email/call us so we can walk you through the way we would look at it. Update now includes:

  • As promised, includes both data by Deal and by Deal-Group.

  • Thanks to a conversation we had on Friday, we discovered Citigroup, as securities administrator, provides loan level data on outstanding forbearance; unfortunately for just four deals for the past four months. The Citigroup data appears to correctly handle forbearance subject to forgiveness.

  • We added a sheet of Forbearance Recovery Rates by:

  • Source

  • Servicer

  • Current LTV

  • Vintage / Pool Type (Alt-A, Option ARM, Prime, Subprime)

  • California, Florida and New York – by Vintage / Pool Type

  • We promised to conduct a deep dive into why JPMorgan’s recovery rate was lower than other servicers. We discovered this was simply an error with some loss data provided on a few JPMorgan Chase serviced deals. The bad data has been excluded and Recovery Rate tables have now been updated.

  • A common question we received: How much coverage do we have? We added the following 3 sheets:

  • Coverage by Servicer

  • Coverage by Pool Type / Vintage

  • Coverage by Shelf

As you use these spreadsheets, please email/call us with questions. No question is too big or too small. We’re here to help. If Intex or any other source is telling you something different, please contact us so we can investigate. Remember, there is both recognized and unrecognized forbearance. Recognized is taken as a loss at modification effective date and the UPB in the deal only includes the interest bearing UPB. The forbearance outstanding (loss taken by Trust) can eventually be recovered. Unrecognized forbearance is not taken as a loss and the UPB in the deal represents both the interest bearing and non-interesting bearing balance. Unrecognized forbearance can represent a future loss.

Contact us at 203-276-0672 to become a client and access all reports and attachments.

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