HECM: CMO/Pool

Brean Strategic - CheckoutTimer
Search
Export Excel


Search Not filtered
Deal Not filtered
CUSIP Not filtered
Loan Balance Not filtered
Pool Type Not filtered
Issuance Vintage Not filtered
Participation Balance Not filtered
1M CPR, HMBS Not filtered
3M CPR, HMBS Not filtered
6M CPR, HMBS Not filtered
12M CPR, HMBS Not filtered
1M Draw, SMM % Available LOC HMBS Not filtered
3M Draw, SMM % Available LOC HMBS Not filtered
6M Draw, SMM % Available LOC HMBS Not filtered
12M Draw, SMM % Available LOC HMBS Not filtered
1M Draws % HDC HMBS Not filtered
3M Draws % HDC HMBS Not filtered
6M Draws % HDC HMBS Not filtered
12M Draws % HDC HMBS Not filtered
1M Draw, % Max Claim Amount (Annualized) Not filtered
1M Draw HDC HMBS, % Max Claim Amount (Annualized) Not filtered
Youngest Borrower Age Not filtered
WALA Not filtered
GWAC Not filtered
Sand States Not filtered
Rust Belt Not filtered
Northeast Not filtered
Texas Not filtered
California Not filtered
HECM Saver % Not filtered
No data to display
                              
Show filter builder dialogCreate Filter 
Historical, All CUSIPs
CUSIP Not filtered
Current Remit Not filtered
1M CPR, HMBS Not filtered
3M CPR, HMBS Not filtered
6M CPR, HMBS Not filtered
12M CPR, HMBS Not filtered
1M Draw, SMM % Available LOC HMBS Not filtered
3M Draw, SMM % Available LOC HMBS Not filtered
6M Draw, SMM % Available LOC HMBS Not filtered
12M Draw, SMM % Available LOC HMBS Not filtered
1M Draws % HDC HMBS Not filtered
3M Draws % HDC HMBS Not filtered
6M Draws % HDC HMBS Not filtered
12M Draws % HDC HMBS Not filtered
1M Draw, % Max Claim Amount (Annualized) Not filtered
1M Draw HDC HMBS, % Max Claim Amount (Annualized) Not filtered
xv
No data to display
                
Show filter builder dialogCreate Filter 
Export Excel
Drag a column header here to group by that column
CUSIP Not filtered
Pool Name Not filtered
Current Remit Filter applied
Pool Type Not filtered
Loan Origination Not filtered
Pool Issuance Not filtered
Issue Date Not filtered
1M CPR, HMBS Not filtered
3M CPR, HMBS Not filtered
1M Draw, SMM % Available LOC Not filtered
3M Draw, SMM % Available LOC Not filtered
1M Draw, % Max Claim Amount (Annualized) Not filtered
1M Draw HDC HMBS, % Max Claim Amount (Annualized) Not filtered
Participation Balance Not filtered
WALA Not filtered
GWAC Not filtered
WAM Not filtered
Youngest Borrower Age (Loan UPB Weighted) Not filtered
First Participation/Tail Issuance Not filtered
HECM Saver % Not filtered
Top State (%Participation UPB) Not filtered
Sand States Not filtered
Rust Belt Not filtered
Northeast Not filtered
Texas Not filtered
California Not filtered
Open filter row popup menu
Open filter row popup menu
xv
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
xv
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
Open filter row popup menu
36297EY747100347/25/2019RF200920101/1/20100.000.000.000.000.000.0047,448116.005.490.0071.00First Participation0.00% AL (100.00%)      
3620AHL357303467/25/2019RF200920101/1/20100.000.000.000.000.000.0091,829116.005.560.0074.00First Participation0.00% MO (100.00%)      
36230UX537597007/25/2019RF201120118/1/20110.000.000.000.000.000.0085,26996.005.060.0070.00First Participation0.00% OK (100.00%)      
36176FZB77651387/25/2019RF201120114/1/20110.000.000.000.000.000.00300,806101.005.290.0071.57First Participation0.00% PR (100.00%)      
36176FZA97651377/25/2019RF201020113/1/20110.000.000.000.000.000.00166,626102.005.250.0070.00First Participation0.00% PR (100.00%)      
36230RPJ97567257/25/2019RF201120121/1/20120.000.000.000.000.000.00126,65591.004.500.0070.00First Participation0.00% UT (100.00%)      
36297K3U37146117/25/2019RF200920097/1/20090.000.000.000.000.000.00386,881121.005.560.0074.00First Participation0.00% WA (100.00%)      
36297K3W97146137/25/2019RF200920097/1/20090.000.000.000.000.000.00140,843121.005.560.0073.00First Participation0.00% VA (100.00%)      
36176FZL57651477/25/2019RF201120116/1/20110.000.000.000.000.000.0073,64298.005.060.0070.00First Participation0.00% PR (100.00%)      
36230RM297566777/25/2019RF201120118/1/20110.000.000.000.000.000.0083,38598.005.060.0070.00First Participation0.00% AL (100.00%)      
36230K5F47517467/25/2019RF201120116/1/20110.000.000.000.000.000.00444,65299.005.060.0071.00First Participation0.00% HI (100.00%)      
36230UXW47596937/25/2019RF201120116/1/20110.000.000.000.000.000.0080,56998.005.060.0076.00First Participation0.00% NC (100.00%)      
36230KRW37514017/25/2019RF201120116/1/20110.000.000.000.000.000.00173,64498.005.060.0071.00First Participation0.00% CO (100.00%)      
36230KRT07513987/25/2019RF201120115/1/20110.000.000.000.000.000.00535,328100.005.060.0079.00First Participation0.00% HI (100.00%)      
36230UYK97597147/25/2019RF2011201110/1/20110.000.000.000.000.000.008,83694.005.060.0088.00First Participation0.00% SC (100.00%)      
36297EYV17100247/25/2019RF200920099/1/20090.000.000.000.000.000.00436,148119.005.560.0092.00First Participation0.00% MD (100.00%)      
36297K3Y57146157/25/2019RF200920097/1/20090.000.000.000.000.000.00100,431121.005.560.0081.00First Participation0.00% VA (100.00%)      
3620A7UN37215897/25/2019RF201020105/1/20100.000.000.000.000.000.00146,217111.005.560.0071.00First Participation0.00% OK (100.00%)      
3620A7WQ47216557/25/2019RF201120116/1/20110.000.000.000.000.000.00126,84699.005.300.0073.00First Participation0.00% GA (100.00%)      
3620A7UY97215997/25/2019RF201020107/1/20100.000.000.000.000.000.00142,839109.005.560.0071.00First Participation0.00% VA (100.00%)      
3620AJJ757311867/25/2019RF201020105/1/20100.000.000.000.000.000.00464,691111.005.560.0078.00First Participation0.00% WA (100.00%)      
3620AJUK37314867/25/2019RF2010201012/1/20100.000.000.000.000.000.0027,740104.004.990.0076.00First Participation0.00% VA (100.00%)      
3620AUR897404117/25/2019RF201020102/1/20100.000.000.000.000.000.00143,648113.005.560.0072.00First Participation0.00% OK (100.00%)      
3620ACDE17256017/25/2019RF2009200910/1/20090.000.000.000.000.000.0061,242118.005.560.0078.00First Participation0.00% TN (100.00%)      
3620AUSL97404237/25/2019RF201020106/1/20100.000.000.000.000.000.0045,835109.005.930.0077.00First Participation0.00% AL (100.00%)      
36179LA77AC99307/25/2019RF201220143/1/20140.000.000.000.000.000.001,284,19879.005.060.0070.18First Participation0.00% PR (100.00%)      
36178THG4AB65317/25/2019RF2010201410/1/20140.000.000.000.000.000.001,477,448102.006.220.0076.91Seasoned First Participation0.00% PR (100.00%)      
36183H6W0AK08857/25/2019RF200920154/1/20150.000.000.000.000.000.00552,331114.007.000.0075.49Seasoned First Participation0.00% PR (100.00%)      
36178FMB9AA75547/25/2019RF200920148/1/20140.000.000.000.000.000.001,463,941115.007.000.0074.49Seasoned First Participation0.00% PR (100.00%)      
3620A7UM57215887/25/2019RF201020105/1/20100.000.000.000.000.000.00179,961111.005.560.0075.08First Participation0.00% WV (38.73%)      
3620A7UF07215827/25/2019RF201020103/1/20100.000.000.000.000.000.00152,826112.005.560.0071.00First Participation0.00% WV (99.95%)      
36176FZC57651397/25/2019RF201120114/1/20110.000.000.000.000.000.00635,905101.005.330.0070.76First Participation0.00% PR (89.39%)      
3620AXAL27426117/25/2019RF201020108/1/20100.000.000.000.000.000.00340,515108.005.560.0071.17First Participation0.00% CO (42.34%)      
36177X2K3AA16787/25/2019RF201220124/1/20120.000.000.000.000.000.00434,44887.004.990.0070.77First Participation0.00% HI (77.28%)      
36177X2S6AA16857/25/2019RF2012201212/1/20120.000.000.000.000.000.00992,83680.004.860.0072.70First Participation0.00% VA (31.62%) 21.30%    
36230UYA17597057/25/2019RF201120118/1/20110.000.000.000.000.000.00199,70795.005.060.0074.30First Participation0.00% FL (85.92%) 85.92%    
36176RA697734297/25/2019RF2011201112/1/20110.000.000.000.000.000.00827,73393.004.500.0070.64First Participation0.00% MD (64.12%) 35.88%    
36296B4B56867187/25/2019RF200820091/1/20090.000.000.000.000.000.00334,385127.006.320.0081.25First Participation0.00% WA (70.43%) 29.57%    
3620ACQZ07259727/25/2019RF2008200911/1/20090.000.000.000.000.000.002,448127.006.270.0082.61Tail Issuance0.00% WA (63.90%) 36.10%    
36230KRN37513937/25/2019RF201120114/1/20110.000.000.000.000.000.00370,015101.005.030.0074.57First Participation0.00% FL (52.18%) 52.18%    
3620AJJ597311847/25/2019RF201020104/1/20100.000.000.000.000.000.00993,297112.005.560.0071.24First Participation0.00% NV (46.12%) 82.39%    
3620ACMR27258687/25/2019RF200920099/1/20090.000.000.000.000.000.00118,714119.006.250.0087.00First Participation0.00% FL (100.00%) 100.00%    
3620AQWD17369447/25/2019RF2010201012/1/20100.000.000.000.000.000.00122,805104.004.990.0072.00First Participation0.00% FL (100.00%) 100.00%    
36297K3P47146067/25/2019RF200920095/1/20090.000.000.000.000.000.00119,462124.005.560.0076.00First Participation0.00% FL (100.00%) 100.00%    
36230RNQ57566997/25/2019RF201120121/1/20120.000.000.000.000.000.0072,96391.005.060.0074.00First Participation0.00% FL (100.00%) 100.00%    
3620AQWC37369437/25/2019RF2010201012/1/20100.000.000.000.000.000.00143,537104.004.990.0074.00First Participation0.00% FL (100.00%) 100.00%    
36297KUQ27143917/25/2019RF200920094/1/20090.000.000.000.000.000.00171,978124.005.630.0073.05First Participation0.00% NC (99.07%) 0.54%   0.54%
3620AUSR67404287/25/2019RF2010201010/1/20100.000.000.000.000.000.002,063,555105.005.550.0071.09First Participation0.00% UT (27.12%) 46.81%   25.80%
36179LA51AC99287/25/2019RF201320142/1/20140.000.000.000.000.000.001,628,10768.005.010.0070.08First Participation0.00% FL (24.72%) 48.16%   23.44%
36296B4C36867197/25/2019RF200820092/1/20090.000.000.000.000.000.001,590135.005.540.0086.21Tail Issuance0.00% CA (84.70%) 90.02%   84.70%
 Count=9,281     6.897.740.920.98  54,213,961,15159.935.09 75.84 2.05% 39.46%6.93%15.04%5.06%27.39%
Show filter builder dialog[Current Remit] Equals '7/25/2019' Clear
Export
Current Remit[Filtered]
First Participation[Filtered]
Has HECM Saver[Filter]
Pool Type 
Product Description 
ALAnnual Adjustable, HECM Loans, LIBOR Index, 2/5 Cap Structure
MLMonthly Adjustable, HECM Loans, LIBOR Index
RAAnnual Adjustable, HECM Loans, CMT Index
RFFixed Rate HECM Loans
RMMonthly Adjustable, HECM Loans, CMT Index

Prepayments reflected the unpaid principal balance of loans which prepaid in full or experienced a curtailment and were not at or near 98% of the maximum claim amount divided by the prior month’s balance plus accretion, MIP payments, servicing fees and scheduled payments for term/tenure loans as applicable. Accretion and scheduled payments are included in the denominator because the servicer must pay security holders for the full 30 days of interest even if a loan prepays in full on day one. Prepays are converted from single monthly mortality into an annualized prepayment speed. Three, six, nine and tweleve month prepay speeds are calculated consistent with the Bond Market Association standard formula and reflect the sum of prepaid principal over the period divided by the balance the month before the period begins raised to the power of twelve divided by the number of periods. Three months prepays, for example are calculated as: 1-(1-( [sum of prepaid dollars over perior three months] / [four months ago balance plus accretion] ))^ ( [12/3 = 4]).

Draws are expressed in terms of the remaining line of credit. Draws for floating rate HECMS are equal to the decrease in the available line of credit between the current month and prior month divided by the prior month’s line of credit. For purposes of the numerator in the draw calculation, the prior line of credit is assumed to increase by the accretion and the MIP.

In the event MIP and/or servicing fee are not populated, we assume a MIP of 1.25% and a servicing fee margin of 0.36%, respectively. Reported loan age and vintage is calculated at the pool level. The pool’s weighted average origination date is derived from the pool weighted average loan age reported by Ginnie Mae.

We differentiate between first participation pools and subsequent participation pool (otherwise known as “tails”) based on the participation number for the HECM loan (e.g. a first participation is the first in time, and generally the largest, participation for a given loan) and looking at the majority participation number by participation balance. Where a majority of the pool is comprised of first participations, even if seasoned, then we classify the pool as a first participation pool.

Brean reports loan and participation balances for and weights prepayment, draw speeds and collateral characteristics based on the share of the underlying G2 pool participating in each CMO. We take a ratio of the original balance participating in each CMO divided by the aggregate original balance of the underlying G2 to calculate the CMO share. The CMO share is then multiplied by the aggregate loan and participation balance of the constituents each period and summed.