Top 3 Seriously Delinquent Loans by Deal - UPDATE

Today we are distributing indispensable loan level and property level data on the three largest seriously delinquent loans in each deal. It is a spreadsheet you should have open when bidding bonds or analyzing the risk of your portfolio. We will update this data on a regular basis for all our clients.

In 2017, this pinpoint accurate loan level and property level data is more important than fancy models, macro views of the market, or pretty graphs showing trends. This data is more comprehensive and precise than what is provided on Bloomberg or Intex. Past performance, even very recent, may not be indicative of future results. You never really know what’s sitting in your delinquent pipeline until you let us start digging deep.

Many of our clients periodically ask us to look at delinquent pipelines of individual CUSIPs and provide color on what we see. This is one of our favorite tasks. Our past commentaries are packed with interesting situations that could be detrimental to your investments. On Monday, we will email out details on our Insight Commentary Search tool, which will allow you to quickly check if a bond, deal, or loan has been written up in any of the 160+ inSight commentaries we've distributed over the past 2.5+ years. Starting on page 3 of today’s commentary, we highlight six seriously delinquent loans still sitting in the trust that have been sold months to years prior. Obviously, these losses should have already been recognized, possibly before you even owned the bond.

Below are the 61 data fields provided for each loan on our spreadsheet. Key data fields are from sources other than CoreLogic. Currently, we have updated valuations on almost 50% of all seriously delinquent loans, and close to 100% for Ocwen and Nationstar serviced seriously delinquent loans. For advances, we generally have close to 100% for either Ocwen serviced loans or Nationstar master serviced loans. For deferred debt, we have reliable data from Wells Fargo, Nationstar Master servicing, BNY Mellon and the US Treasury. Unfortunately, forbearance data sourced from US Bank is not always reliable, although Intex uses it, so beware.

FYI – We only include a subset of the actual property addresses. If you have a bond that you need us to locate the property addresses of some worrisome loans, please just ask. All our data is from publicly available sources. Many counties make the data available online. We never include borrower name in our data downloads.

Data Fields

Deal
Loan Number
Remittance Data
Remittance Date, Actual Balance, Scheduled Balance, % of Total Deal UPB, Interest Rate, Loan Age
OTS Delinquency
Status, Months Delinquent, Paid to Date
Payments Made
Last 1 month, Last 6 months, Last 12 months, Lifetime
Bankruptcy Flag
REO Date
Modification (based on our proprietary algorithm)
Capitalization Flag, Principal Modification Flag, Interest Rate Reduction Flag, Cumulative Loss, Unrecognized Principal Forbearance (if available), Recognized Principal Forbearance (if available)
Default Reason (if available)
Outstanding Advances (if available)
Escrow, Corporate, Net Interest, Principal, Total
Webbs Hill Comments (i.e. house burned down, property had been sold)
Property Address
Street Address (we can locate many of these for you), City, County, State, Zip Code
Original Valuations
Property Type, Original Appraisal, Purchase Price
Updated Valuation (if available)
Source, Date, Type, Value
LTV
Original and Current
Combined LTV
Original and Current
ZHVI Estimate (not to be confused with the Zestimate)
Zillow’s Home Value Index (ZHVI) Percentage Change, Estimated Value based on ZHVI Percentage Change by ZIP, City, County, etc., 60% of that Estimated Value (our best guess of a distressed price)
Zillow Zip Code Statistics
Market Health (0=least healthy, 10=most healthy), Previous year-over-year change in their Home Value Index, Forecasted year-over-year change in their Home Value Index, Percentage of homes with negative equity, Average number of days on the market
Origination Date
Original Loan Amount, Original Interest Rate, Loan Purpose, MI
Servicer, Master Servicer, Trustee / Securities Administrator