Cleanup Call Rights Spreadsheet 2017

Today we distribute our revised Cleanup Call Rights Spreadsheet that includes:

List of all deals called/terminated since 2010 with performance statistics
Summary of deals that can potentially be called in 2017 (using our criteria)
List of deals that can potentially be called in 2017 (using our criteria)
List of all outstanding deals with cleanup call percentages and extensive performance statistics that can suggest which deals will be called in 2017

Our Cleanup Call Rights spreadsheet is a tool to help you come up with your own opinion as to what may be called next year. There are various performance statistics to filter on and sort by plus servicer and master servicer breakdowns. You can use our simple criteria and see what deals show up or pick some criteria and make your own predictions.

Called: 2013 - November 2016

We depend on CoreLogic LoanPerformance for our loan level data. If the deal is not tracked by CoreLogic, then it will not be included in our analysis.

Potential to be Called

Our simple criteria: We estimated which deals have the potential to be called within the next year by using the following simple criteria:

Call Eligible now or within 1 year: deal factor <= 1.3*call percent (i.e. a 0.13 factor today may be under 0.10 within the next year)
Similar performance statistics to what has been previously called: Gross WAC >= 5%, MBA Current >= 80%, Fixed Rate or Modified >= 80%. (no science here)
Shelf had been previously called since 2014.

The columns below show different combinations of criteria 2 and 3. The yellow highlighted column is what we believe has the greatest potential to be called in 2017 (our educated guess).