Welcome to the CMO Derivatives Blog
Buy: IIO/INV FL and PO (Trust and Structure)
Sell: Floaters
Thank you for visiting the CMODerivatives.ORG site. At this site Udo will educate you on the world of mortgage derivatives.
So be wise and listen to Udo, who is one of the top agency mortgage derivatives(Trust:PO/IIO/INV Floaters and Structure:PO/IIO/INV Floaters) trading guru’s in the nation.
This is a paperless trade had real cash been committed you as a portfolio manager would have made all the money simply because you hired a smart mortgage derivative trader like Udo. Udo knows agency relative value from the CMO to the mortgage derivatives products.
Udo Long/Short Bond Fund.
TRS CMO PO Strategy
Stay the cause…with LIBOR at 4%ish and up. Buy Floaters that are paged to UST12,10 and prime rate.
January 25th, 2008 at 6:59 pm
Interesting pick..you should starte your own hadge fund.
February 11th, 2008 at 4:31 pm
Do you reaally think the fed will not reverse their position on rates?
February 11th, 2008 at 7:05 pm
Yes Peter the fed will continue to ease. Poor earnings, low ISM of 41.9 the last time ISM was this low was 2001. The o n going housing recession and more shoes to drop. The fed will ease untill 2008 last quater I am projecting fed funds rate of 2.5 and a 3MLIBOR of 1.5.
February 25th, 2008 at 11:10 am
Kudos to Udo. It’s about time some one who knows derivatives shows the other guys how to look at these things..and at the same time looks out for the investors with smart analysis. I have worked with Udo in the past and this guy KNOWS derivatives.
Cheers Udo!
March 1st, 2008 at 9:07 am
KurtS thank you for the kind words. Agency mortgage derivatives can be very difficult to valuing and trade. My goal is to change the negative misconception of agency mortgage derivatives. For agency mortgage derivatives is not a bad product if used the right way. I see my role as that of an educator speaking about agency mortgage derivatives from a scholastic point of view.
March 2nd, 2008 at 7:55 pm
Can you elaborate on why the inverse floater market will outperform the floater market in mortgage land ?
The Fed keeping easing brings Libor lower. However, as Libor + Y gets discounted on libor, and since funding is cheaper, one could argue that higher prevailing spreads offer compelling opportunities in ‘08 for floaters.
March 3rd, 2008 at 5:44 am
From my past experience when you look at inv floaters, the most vital component is the optionality.
http://en.wikipedia.org/wiki/Implied_volatility
Wikipedia has a good explanation of optionality. When looking at inv floaters you should treat it like an options derivative contract. Becareful in treating it like any other instrument. Of cause my explanation is academia driven.
May 19th, 2008 at 10:03 pm
I would be interested in discussing topics related to CMO investments. Please contact me via email or phone at 714-293-2517.
I look forward to working with you.
July 7th, 2008 at 10:06 pm
We are seeking CMO buyers. We are direct to seller mandates. If this is an interest to you, Contact me at 956 330-3417 or via email: andy@superior-investors.com
Thanks,
Andy
July 10th, 2008 at 5:15 am
I WOULD BE INTERESTED IN BUYING CMO WITH FACIAL VALUE UP 500 MM AND TO KNOW THE SELLING PRICE
July 10th, 2008 at 8:55 am
The CMO Derivatives market continues to offer higher yields and income returns for investors compared to corp or muni bonds . Agency debts has zero credit risk and default rate is there but you are guranteed you coupon and principal base on were you are on the structure. Make sure you understand and apply the right Speed, OAS or Static model analysis..volatility when you value agency structures.
The GSE will survive this credit crisis. FHA will meet the loans obligation that they insured. Do not be afraid of buying Agency backed securities. You can always sell it back to the GSE via Tradweb or Bloombergs TBA3 trading platform.
Happy Trade!
July 15th, 2008 at 8:50 pm
I have many clients looking to purchase CMO’s for the purpose of adding to a collateral package for funding their projects. Can someone contact me who is either a seller or direct, to explore how these bonds can help my clients. Thank you. Contact me at:
funding@rfconline.net or
877-867-8778 Ext. 1
July 16th, 2008 at 3:49 am
In spite of the latest news coming out of indymac and the two major GSE’s it is vital to stay the course. Agency CMO/RMBS offers a better return. Do not engage in a fire sale situation, if you do not know the value of your bonds please feel free to let us know. We will be more than glad to offer you a free evaluation on the estimated value of your securities. After all, won’t you seek a second opinion when it comes to our medical doctor? why not do the same for your financial health.
July 18th, 2008 at 9:47 am
Mr.Udo. Could you please help me understand reverse IO’s (floaters) and how they are beneficial in this current market period. What are the risks that are associated with them? What sort of risks can these instruments hedge? Thank you.
July 18th, 2008 at 11:43 am
Hi MV,
Let me begin by saying thank you for stopping by CMO Derivatives.Org.
My job here is to create a community of mortgage derivatives experts were we get to talk about the next stages of structured mortgage derivatives.
Let me give you some general understanding of the IO/IIO sectors.
There are two types of interest only sectors. We have the Trust and we have the Structure. Both sectors have an IO and IIO. When you say ‘reverse IO’s (floaters)” I take it you mean IIO. Reverse IO’s (floaters) coupon payment is mathematically calculated base on TSY/CMT/COFI or 3MLIBOR depending on the one that was use. Therefore, your major risk here is interest rate risk. For as rates go down it favors you but when rates goes up you loss value.
The next risk is that of collateral risk, as rates go down the 10 TYS is probably following suit as well which leads to a lower mortgage rates. Now I am not going to go into seasoning, burnout and loan size here but few customers tend to refi whenever the rate is palatable to them and if they have no pre-payment penalties. With a reverse IO’s (floaters) you want a slow payer that is people who cannot refi for reasons best know to them a collateral with high pre-payment penalty. Bear in mind when you look at this reverse IO’s (floaters) know when to use PSA or CPR given the vintage.
The next risk is what I called perceptions of other PMs. Most if not all PMs look at the economic data in making investment decisions. They look at the PPI/CPI/RETAIL SALES/UMEMPLOYMENT etc if any of these economic data begins to show trends of being bullish the PM may decide to act on it which will affect the 10 TSY which then ultimately affects the 30 year mortgage rate which in turn affects the consumers ability to refi or not and hence, your reverse IO’s (floaters).
The risk this instrument hedge is your loan and cashflow. For example, a mortgage company or bank that loaned out money when rates were at 5% and the rate are now at 2% with reverse IO’s (floaters) the mortgage or bank is fully protected. Furthermore, asset management firms can use it to manage their portfolio’s duration as well as generate an alpha return if the right reverse IO’s (floaters) is bought, like I asserted earlier in my comment, not all reverse IO’s (floaters) are equal. They all behave differently base on a whole host of factors, it is imperative to have a well seasoned person look at these instruments to avoid having yours eye gauge out.
August 1st, 2008 at 12:19 pm
Need buyers for CMO’s. Al 520-299-9383
August 5th, 2008 at 12:46 pm
Udo,
I would like to take you up on your offer to evaluate a CMO. How do I contact you in a secure manner?
Thanks,
Jim Martin
August 5th, 2008 at 4:11 pm
I am a business broker with a client with AAA FNMA securities seeking a loan
do you know of any credit facilities Udo?
I would pay a fee if successful
August 5th, 2008 at 4:15 pm
how do we offer CMO’s to you Udo for
as you said free evaluation
‘Do not engage in a fire sale situation, if you do not know the value of your bonds please feel free to let us know. We will be more than glad to offer you a free evaluation on the estimated value of your securities.’
August 5th, 2008 at 4:25 pm
dear Mr Luis Kalinowski
how do i contact you?
M A Stein Lic Fla Business Broker
privateplacement2@yahoo.com
August 6th, 2008 at 4:30 am
Jim Martin this place is secure. What is the modified duration, who is the issuer? Is it a vintage deal? What’s the notional? Is it a trust or structured deal? Is it an agency or non agency?
August 6th, 2008 at 4:37 am
m a stein please kindly post your CMO bonds up right here. You can begin with one or two CMO bonds if you are not comfortable with posting a lot.
August 6th, 2008 at 6:36 pm
FNR 2006-5 N2 2.6863%
Issuer: Fannie Mae 2/25/06 - 2/25/35
CMO: IO, CSTR, NTL
July 08 Current $674,096,319
Original $2,083,383,770
July, June, May, April, March, Feb, Jan
PSA 572 691 789 784 930 875 973
CPR 34.3 41.4 47.3 47.1 55.8 52.5 58.4
Fact .32 .34 .35 .37 .39 .42. .45
CPN 2.68 2.69 2.85 2.07 2.29 0 0
WAC 5.98
WAM 309
US0012M 78.56%
H15T1Y 19.12%
US0006M 2.09%
August 7th, 2008 at 7:27 am
Jim Martin:
CUSIP Number: 31394VL99
Security Type: REMIC: Typically Single-Family MBS-backed
Trust Number: 2006-5
Class: N2
Issue Date: 01/2006
History of not paying the coupon in the pass i.e. this bond did skip a couple of months payments.
Collateral: 100% ARMS loans
Holding this bond means you are bullish on TSY. With the current weak labor market I continue to see a decline in U.S TSY yield in the front end of the curve.
At a 60 PPC the AVL is 1.96 at 30 PPC you get an AVL of 2.72.
Other relative investments that you can put your money to work are: i.e. you can put money to work in anyone of these products instead of the above ARMS IO.
• U.S TSY short term securities
• Commercial papers(triple AAA rated companies)
• Options on rates
• CDs
• Overnight Repos
• Similar Agency backed IIO with the same AVL
Below is an a piece of information from the prospectus to consider if you want to buy or sell.
“The Fannie Mae Guaranty
Our guaranty requires that we pay Certificate holders in a timely manner the amounts
of principal and interest described in the related prospectus supplement. We also must pay the full outstanding principal amount of the Certificates of each class no later than the Final Distribution Date for that class. Our guaranty is effective whether or not sufficient funds are available in the Trust Account for the series. If we were unable to perform our guaranty obligations, Certifcateholders of a series would receive only the amounts paid on the underlying securities of that series. If that happened, those amounts generally would be limited to borrower payments and other recoveries on the mortgage loans backing those underlying securities. As a result, delinquencies and defaults on the mortgage loans backing the underlying securities could directly affect the amounts that Certifcateholders would receive each month.”
This explains the zero payments that was not paid for a couple of months.
After considering all of the above afore mentioned factors the model mark price is between a $2-00 on the low end and a $3-25 handle on the high end.
August 7th, 2008 at 12:34 pm
Udo, Thanks for the evaluation. If you would be so kind, Wells Fargo CMO.
CUSIP 94984SAC5. WFMBS 2006AR-18 1AIO
August 8th, 2008 at 12:16 pm
Udo, The 2.00 - 3.25 model mark price should be multiplied by what value to determine the value of the CMO?
August 11th, 2008 at 5:19 am
Jim Martin:
WFMBS 2006-AR18 1AIO
Price 0-15
8.4 CPR
WHARM 6.2 N 6.410(338)22
2 0 0 8
factor 1mo CPR
0.754149486 8.2
0.747475328 9.5
0.739421625 11.5
0.723675836 22.1
0.717182037 9.6
0.704676912 18.1
0.699186114 8.4
August 12th, 2008 at 6:18 am
Have cmo’s available for sell, have all the screen shots and settlement details, both agency and residential.
Please contact at:
smt1954@aim.com
tel 33 6 13756746 fr.
Need buyers that are ready to execute.
August 14th, 2008 at 8:56 am
We are looking to purchase privately owned CMOs with a T+5 settlement. Please contact me at akqj54@hotmail.com or +86 136 4126 1848
August 15th, 2008 at 12:42 pm
we are looking for the following cmo:
Issuer Ginne Mae
cusip 38375QQE2
One source that said they could deliver failed we have funds available at bank and on deposit to trade.
You are able to deliver please contact with infom such as settlement details, bank officer, and the amount and pricing.
I know the pricing of the cmo, and what to pay for it.
If you can deliver please contact at:
minglinglim@yahoo.com
August 18th, 2008 at 7:41 am
I am looking for a job trading agency cmo’s. Do you know of anyone that is hiring? I have been in the business for over 20yrs.
August 18th, 2008 at 2:59 pm
Andrew O’Fee why not leave your contact information…this way firms that are looking can reach out to you.
August 19th, 2008 at 1:58 pm
Good morning, Udo:
I just called you - mentioned that I found you through a Reuters article about you.
I am pursuing a business funding structure through the purchase and backend leverage, via a line of credit, of CMO’s. I have an investor that has provided a written commitment letter to invest up to $50M in the purchase of CMO’s, and I have a backend private lender willing to lend 5-7% of face value on multiple CMO’s with an ideal face value of $400M. The lender has lines of credit with Credit Suisse, B of A, and Shearson that they will tap to offer a line of credit program to us.
I am looking for the following:
- Up to four CMO’s
- Ideal Face Value- $400M each
- Rating- AAA
- I/O with a minimum positive floater or better
- Market value at 2%-3% of face value
- Cost to purchase, including fee - 1% of face value
We are seeking to purchase these CMO’s through an escrow environment, providing our investor with a lower level of risk, as well having transparency throughout the transaction. Once we take ownership over the CMO and it has been re-registered under Core Impact Consulting, the bond will need to be transferred via SWIFT to the Line of Credit Program with our lender.
Our next step is to get screen shots of the four CMO’s to our private lender today for them to determine their viability and provide a conditional commitment letter if they are acceptable. With that commitment letter, we will go immediately to our investor and get their final approval to execute the deal. Our desired timing is to commence the purchases by the end of the week.
Please advise if you are available, willing and interested in working with us.
Thank you,
Michael Stay
“Making Small Business Coaching as Commonplace as Having an Accountant”
August 19th, 2008 at 2:03 pm
Sure no problem I am willing to work with you in putting your money to work.
August 19th, 2008 at 7:52 pm
We own a $26M CMO of $26M. We are trying to use it as collateral for a loan. Where can we get the best LTV? If you give me an email address, I can send you the bloomberg screen shots. Thanks.
August 21st, 2008 at 7:12 am
Bond CUSIP Size Price Talk
CFLX 2007-2 M1 16165WAC0 8.700 low 20s
CFLX 2007-2 M2 16165WAD8 1.650 Mid Teens
CFLX 2007-2 M3 16165WAE6 0.700 Low Teens
updated price#2:PRIME: SUPER SENIOR 3/1 HYBRID **ORDER**
WMLT 06-A 1A1 30+MM/17+MM 92977TAA0 5.46% NWAC
SUPER SENIOR WITH 8.00% CURRENT CE BACKED BY 3/1 HYBRIDS
60+ DQ: 1.60%
WALA: 36 (30 wala for grp)
WALTV: 68.8% GROUPS 1,2,3,4 ARE CROSSED
CAL: 55%
POOL FACTOR: 0.754
3 MO CPR: 9.7 (grp) ‘offered’ = 81-0
FICO: 739
August 21st, 2008 at 8:32 am
Index Coup Bid Offer Chg || Index Coup Bid Offer
Chg
07-2 PAAA 76 50-08 / 51-08 +0-12 || 06-2 PAAA 11 82-12 / 83-12
-0-01
07-2 AAA 76 42-16 / 43-16 +0-03 || 06-2 AAA 11 62-12 / 63-12
+0-02
07-2 AA 192 9-08 / 10-08 +0-06 || 06-2 AA 17 18-00 / 19-00
+0-00
07-2 A 369 7-16 / 8-24 -0-05 || 06-2 A 44 6-16 / 7-16
+0-03
07-2 BBB 500 5-00 / 6-00 +0-01 || 06-2 BBB 133 4-00 / 5-00
-0-14
07-2 BBB- 500 5-00 / 6-00 +0-00 || 06-2 BBB- 242 4-00 / 5-00
-0-15
=============================================================================
Index Coup Bid Offer Chg || Index Coup Bid Offer
Chg
07-1 PAAA 9 57-16 / 58-16 +0-06 || 06-1 PAAA 18 95-24 / 96-00
-0-02
07-1 AAA 9 46-08 / 47-08 +0-18 || 06-1 AAA 18 87-16 / 88-08
+0-02
07-1 AA 15 8-16 / 9-16 -0-07 || 06-1 AA 32 50-24 / 51-24
-0-08
07-1 A 64 5-08 / 6-16 -0-03 || 06-1 A 54 18-00 / 19-00
-0-01
07-1 BBB 224 4-00 / 5-00 -0-15 || 06-1 BBB 154 9-00 / 10-00
+0-12
07-1 BBB- 389 4-00 / 5-00 -0-14 || 06-1 BBB- 267 9-00 / 9-24
+0-09
August 23rd, 2008 at 7:49 am
for michael stay, if intreested i have some IO’s from AAA rated, i have screen shots an all please contact at
smt1954@aim.com
tel 33 6 13756746 fr
August 25th, 2008 at 1:38 am
we have the following
wells fargo cmo
rated AAA
cusip 94984sac5
col maturity 11.25.2036
class 1AIO
TYPE IO
july 2008 balance 541,019,727
smt1954@aim.com
August 26th, 2008 at 12:01 pm
Looking for buyers of CMO’s that can close using an escrow agent.
August 26th, 2008 at 4:30 pm
I am told that my CMO’s current market value of 260M can be leveraged and some type of line of credit for PPP can be put on this CURRENT MARKET VALUE of 260M. Can anyone help with this? I would appreciate an offline answer. Principles who know, only. No intermediaries please.
- racy.prg@gmail.com -
August 27th, 2008 at 6:38 am
Udo,
Have a client looking at CSTR, IO, NTL tranches (3AX class in trusts I guess). He’s looking for high current balance, low dollar price. I am not familiar with this bond class. Could you give me a little color on what it is and what effects cashflows? One that he gave me as an example was 19075DAG6. Thanks and if anyone is interested in selling these securities, I may have a buyer. Regards, John
August 27th, 2008 at 8:20 am
I have a secured financing facility in place and looking for IO CMO’s .
The facility is confirmed and available .
The general terms of facility are:
Settlement is T plus 3. The facility is issued in a security house and is secured.
Even though I have posted before on this blog. Those cmo’s are no longer available.
Source of the cmo’s must be able to give bloomberg screens of the cmo’s available,and if accepted i can give ability of doing the trade.
Source must be able to do a free delivery.
This facility is available and without delay.
Please feel free to contact:
smt1954@aim.com
tel 33 6 13756746 fr
September 3rd, 2008 at 5:36 pm
Looking for buyers of CMO’s that can close using an escrow agent.
reply to: wa352ne@excite.com
September 9th, 2008 at 3:58 pm
we are a direct trader/institution source for the real buyer looking for a real source for CMO’S. there is no “ridiculous” broker chains on our side & we will only work with no more than 1 or 2 away, who will get out of the way and let the deal CLOSE. we are about CLOSING CMO’S. not wasting time. call us if u need our services. thank u.
September 11th, 2008 at 11:16 am
i have cmo’s available a 1 billion cmo for 5 million
September 11th, 2008 at 11:17 am
i have a 1 billion cmo and need a buyer for 5 million to sell to my client BIG profit!!!
September 11th, 2008 at 2:16 pm
Security Name CUSIP Orig Face Px Talk
ARMT 2005-11 CB3 007036VL7 1,700,000 3 area
ARMT 2005-11 CB4 007036VP8 3,350,000 2 area
ARMT 2006-2 B2 007034AX9 5,940,000 mid teens
BAFC 2005-H DB2 05946XK93 3,550,000 4-5 area
BAFC 2005-H DB3 05946XL27 2,130,000 3 area
BAFC 2006-D 6B3 058933BM3 1,348,000 7 area
BAFC 2006-D 6B4 058933BN1 1,798,000 6 area
BAFC 2006-D 6B5 058933BP6 1,124,000 5 area
BAFC 2006-D 6B6 058933BQ4 1,123,000 4 area
CMLTI 2006-WF1 M4 17307G4Q8 2,790,000 1-2 area
CSMC 2006-2 DB4 225470ZW6 2,372,000 4-5 area
CWALT 2005-18CB B2 12667GFM0 3,745,000 low teens
CWALT 2005-35CB B1 12667G2N2 2,500,000 low teens
CWALT 2005-60T1 B1 12668AVF9 4,260,000 low teens
CWALT 2005-64CB B2 12668AB61 5,097,000 6 area
CWALT 2005-70CB M 12668A2W4 5,701,000 high teens
CWALT 2005-73CB M 12668AW35 2,728,000 mid teens
CWALT 2005-77T1 1B1 12668BCW1 5,114,895 6 area
CWALT 2005-J11 B1 12668AKG9 4,827,000 8-9 area
CWALT 2005-J13 B1 12668AE35 2,257,500 8 area
CWALT 2006-14CB B1 021468AR4 4,462,000 4 area
CWALT 2006-16CB B1 021460AM2 2,677,500 5 area
CWALT 2006-16CB M 021460AL4 5,985,100 8 area
CWALT 2006-17T1 M3 02146AAP3 2,160,000 4 area
CWALT 2006-5T2 B1 12668BQP1 3,749,000 4 area
CWALT 2006-5T2 B2 12668BQQ9 1,874,000 2 area
CWHL 2005-11 1B2 12669GVD0 1,484,000 4 area
FHAMS 2005-FA10 B2 32051GG41 3,792,000 8 area
FHAMS 2005-FA10 B4 32051GG90 2,370,000 4 area
FHAMS 2005-FA9 B2 32051GZY4 3,910,000 10 area
LMT 2005-2 B245 52520MCY7 3,434,000 3 area
MABS 2005-AB1 M7 57643LLP9 1,411,000 4-5 area
MABS 2005-AB1 M8 57643LLQ7 1,911,000 3-4 area
MABS 2006-AB1 M7 57643LPE0 3,761,000 5-6 area
MALT 2005-6 B1 576434X33 4,226,000 low teens
MALT 2005-6 B4 576434X66 2,389,000 2 area
MALT 2006-1 B2 576434Z56 2,760,000 7 area
MALT 2006-1 B4 576434Z72 1,656,000 2-3 area
MALT 2006-2 B2 5764342S2 5,000,000 2-3 area
MARM 2004-6 B4 576433PL4 3,583,000 low teens
MLMI 2006-A1 M2 59020U5Z4 5,000,000 3 area
MSM 2005-9AR 1B4 61748HRH6 2,060,000 1 area
OPMAC 2006-1 M10 68383NEL3 2,336,000 1 area
RAST 2005-A12 B2 45660LM22 3,164,205 m/h teens
RAST 2005-A14 B2 45660LU31 2,035,000 8-9 area
RAST 2005-A4 B3 45660LHL6 1,010,000 8-9 area
RAST 2005-A5 B2 45660LKK4 4,012,000 low teens
RAST 2005-A5 B3 45660LKL2 2,608,000 7 area
RAST 2006-A2 B2 45661ECD4 3,663,000 5-6 area
RAST 2006-A3CB B2 45661EFT6 5,237,000 4-5 area
SARM 2005-10 M6 863579UJ5 2,619,000 2 area
SARM 2005-15 B3 863579UY2 3,127,000 10 area
SARM 2005-20 B2II 863579ZX9 3,963,000 mid teens
SARM 2005-20 B4II 863579ZZ4 1,266,000 4 area
SARM 2005-21 B4II 863579E20 3,440,000 4 area
SARM 2005-21 B5II 863579E38 688,000 3 area
SARM 2005-22 B3II 863579H84 3,201,000 4 area
SARM 2005-22 B4II 863579H92 640,000 3 area
SARM 2005-23 B2II 863579M54 6,793,000 3 area
SARM 2006-1 B3II 863579S66 2,843,000 1 area
SARM 2006-1 B4II 863579S74 775,000 1 area
SARM 2006-2 B2II 863579W46 7,630,000 3 area
SARM 2006-3 B2II 863579Z50 5,129,000 8-9 area
SARM 2006-4 B42 86360BAY4 6,314,000 5-6 area
STALT 2005-1F B1 86789MAY3 5,000,000 7 area
WMALT 2005-11 B2 93934FJH6 3,157,000 6-7 area
WMALT 2005-11 B3 93934FJJ2 1,754,000 4 area
WMALT 2005-3 B4 9393365S8 3,241,000 5 area
WMALT 2006-1 B4 93934FJZ6 5,840,000 2 area
WMALT 2006-2 B2 93934FMK5 3,000,000 6-7 area
WMALT 2006-2 B4 93934FLM2 3,211,000 2 area
WMALT 2006-3 B2 93934FPA4 6,503,000 5-6 area
September 12th, 2008 at 12:01 pm
To Gene: 26M is too small to use to collaterize. I suggest buying and selling up until you reach a larger amount. We will purchase through escrow for a favorable profit. You can repeat the process as often as you like. Contact:
racy.prg@gmail.com
September 12th, 2008 at 1:03 pm
Please let everyone in the agency and non agency mortgage market continue to stay the cause.
I have faith in the American people and the creative minds on wall st. What we are going through is just a hick-up. or as they say a blip….
Happy Trades Everyone!
September 14th, 2008 at 11:55 pm
looking for counterparties to trade with in cmo’s, i have funds on deposit and ready, we are the direct buyers, no brokers involved. we are looking to do trades of 10 m face value in cmo’s.
If you something available let me know.
steve touma
tel 336 13756746 fr
smt1954@aim.com
September 15th, 2008 at 12:12 am
Please make sure to follow the on going Lehman Brothers and ML situation.
Check out The Wall St Jr lots of brilliant articles.
September 15th, 2008 at 9:30 am
Udo
How does one go about and buy some CMO’s as per the list you have put on the board here.
Some interesting issues
Thanks
steve
September 20th, 2008 at 1:48 pm
Need CMO’s DTC Free delivery T 3
Please email me at notesfunding@gmail.com
Also have a program to get loans for BG’s up to 90% with no repayment.
September 22nd, 2008 at 1:02 pm
with the talk of a govt fund to hold all toxic debt, how will this effect the cmo market, is it finished ? will it be more control? Will it be harder to do trades? Will prices move up ?
September 22nd, 2008 at 4:19 pm
Steve,
Remember not all CMOs are bad.You still have honest Americans who pays their mortgages. The people who casued this problem were those borrower who were supported by FHA and GSEs….the private sector woke up one day and decided to compete with FHA(loan insurer) and the GSEs…the system will simply go back to what it use to be…same old stuff…only difference.. the boys and girls on Wall Street have now learnt their lessons.
September 22nd, 2008 at 4:27 pm
” 1. steve says:
July 3rd, 2008 at 5:06 am e
we have access to the cmo’s and we are looking to sell them,we have several from ginies maes, wells fargo, marm.
we are looking to sell them and are looking for counteparties to trade with feel free to contact at 33 6 13756746 or smt1954@aim.com
2. Sandra Heurtelou says:
September 22nd, 2008 at 3:54 pm e
Dear Mr. Onwuachi
It was a pleasure speaking with you. My company has a client looking to purchase CMOs priced .005 to .01 .
He is scheduled to travel to Austrailia on Wednesday and to go on to Hong Kong from there. He would like to close the transaction before traveling. He can submit a letter of capability from his CPA and show proof of previously closed transaction.
Kind regards,
Sandra Heurtelou
“
September 23rd, 2008 at 11:27 am
Due to the popular demand I am now accepting new clients. I will be your CMO Derivatives Consultant.
For those who are interested please leave your contact information.
No chain brokers please.
I will only deal with legitimate institutions that have a DTC procedure in place.
Udo Onwuachi
CMO Derivatives Consultant.
September 24th, 2008 at 7:55 am
i am seeking a trader/dealer that execute a third party trade for a cmo and with delivery via dtc to the end buyer bank. settlement is t-2,or t-3 as per agreement. the buyers bank has full dtc capabilities, no chains involved at all.
Cash amount of the trade is around 3 m usd .
smt1954@aim.com
September 25th, 2008 at 8:10 am
Udo,
I have a large hedge fund client that purchases distressed CMO’s. They are looking for non-agency, prime, principal and interest, senior tranches.
The hard part is that they do not want CMO’s that are on the Street….will only buy unshopped paper.
No broker chain here. I deal direct with the buyer, will make direct intro for you.
September 28th, 2008 at 2:38 pm
I have an exclusive opportunity to buy CMO’s at a private level at a significant discount. Typically the average price these CMO’s sell at is around 1-1.75% of face value on a cash basis. We have the contract to obtain these CMO’s at approximately .5% for a billion dollar face value bond.
I also have an exit buyer looking forward to receiving proof of ownership on the bonds so that they may add them to their managed asset account and activate a credit line. The exit buyer has contracted to pay 3% for the billion dollar face value bond.
If you are interested, you may contact me at jgarfin@mhdnyc.com
This transmission is for information only and is not to be construed as a solicitation for funds for or the sale of any securities. These transactions are based on private placements and do not come under the governance of the SEC. These programs are not securities under the U.S. Securities Act of 1933, or The Securities Exchange Act of 1934 and Regulations thereto, or The Investment Company Act of 1940 and the Rules & Regulations thereof. We are not registered with the SEC or NASD as financial advisors or dealers in securities per The Investment Advisers Act of 1940. This is merely for the informational and educational purposes and benefit of qualified accredited investors only.
October 2nd, 2008 at 9:45 am
any real sellers of cmo’s that understand the pricing and know how to read a bloomberg print out, and understand the cash flows of the bonds and know how to do a trade.
Our corporation is actively interested in acquiring cmo’s, if you have anything available please fee free to contact me.
I would like to discuss with you.
Steve touma
smt1954@aim.com
skype 20003043
tel 33 6 13756746 fr
Many brokers have contacted us and all they want is fee agreements and say they need to speak to the bank direct.
Lets do some business, surely there is someone that is real and can sell.
October 3rd, 2008 at 7:21 am
With all these bank acquisition going on….M & A bonus will look good this year.
October 6th, 2008 at 8:42 am
Bond CUSIP Offer Level
CWHL 2005-10 B3 12669GYV7 $12-08
CWHL 2005-10 B4 12669GYW5 $6-18
CWHL 2005-10 B5 12669GYX3 $2-02
RFMSI 2007-S1 B1 749581BA1 $9-24
RFMSI 2007-S1 B2 749581BB9 $6-12
RFMSI 2007-S1 B3 749581BC7 $0-24
RFMSI 2006-S12 3B1 74958EBW5 $7-16
RFMSI 2006-S12 3B2 74958EBX3 $4-12
RFMSI 2006-S12 3B3 74958EBY1 $1-16
SASC 2005-5 B5 86359B7C9 $12-16
SASC 2005-10 B5 86359DEU7 $12-16
October 6th, 2008 at 10:26 am
Portfolio Rebalancing:
With LIBOR at 4% and up…
Your IIO, INV and PO value will take a hit.
Your IOs and Floaters should appreciate.
The key here is formula for cash flow distributuion, seasonality, WAC,convexity and eff dura.
For non agencies you have to include the credit analysis..geo, deq rate, loss piece, label and surbordination…wraps.
October 7th, 2008 at 7:57 pm
Hi, I am always be confused by CMO and RMBS. Why Moody’s rates CDO and RMBS but not CMO? Thanks.
October 8th, 2008 at 6:24 am
Hi Mbottle,
Go back find a cusip type it in on your Bloomberg screen look to the right side of the page and tell me what you see.
The non agency bonds are rated by Moody’s, S&P and Fitch. Also the non-agencies do come with enhancement in the form of wraps. Rating agencies may not rate the universe of CMO but they still do via the collateral.
When you say RMBS be careful for CMO is stripped out of RMBS e.g.
Loans→MBS/PT→CMO(PAC/SEQ/SUP/IO/IIO/INV/PO/FLOATER/STICKY) Z/IOETTE etc
The CMO is structured out of the rated MBS/PT.
A major difference here is the structure waterfall and for IIO, INV and Floaters is the UST10, UST12, COFI or LIBOR that determines how much the owner will get paid.
October 9th, 2008 at 9:52 am
Udo,
I have an institutional client who is looking to buy 3-4 Billion worth of CMO’s can you help please contact me off board regards.
Winston
October 10th, 2008 at 1:38 pm
Stay the cause…with LIBOR at 4%ish and up.
Buy Floaters that are paged to UST12,10 or prime rate.
Stay within the agency sector for now. Buy all the agency papers you can lay your hands on.
October 13th, 2008 at 11:59 am
can you comment on the current liquidity of both agency and nonagency IO’s and IIO’s?
October 13th, 2008 at 10:14 pm
Hi Brain,
Agency IO/IIO:
There are two types of IO’s; structure and trust. In a CMO structure you can have: IO/PO/PAC/SEQ/SUP/IIO/Z
In a Trust ot STRIP you have IO/PO. Rarely will you see an IIO in a trust.
IOs are a perfect hedge for Pos and raw loan portfolios. Some of the major buyers of IO’s are commercial banks and mortgage companies and companies trying to hedged against interest rates. Some IO’s are fixed some are not viz a viz your OPTION ARMS etc.
IIO cash flow are determined by the mathematical formula such as: LIBOR, UST, CMT of COFI (Lagging) IIO’s are extremely volatile(hedge fund play.)
Here FHA insures the loan, GSE buys it and wraps it up and you get a PT/MBS
Risk: Prepayment no credit risk
Non Agency IO/IIO:
These are your Wells Fargo, Citibank, WAMU and other labels. However, as a result of the credit crisis GSE have bought loans from the private labels.
Private labels issues Alt A, Arms etc. The major difference between the two is risk.
Here credit risk is the main issue while as for Agency IO you deal with prepayment risk.
Now to your question “can you comment on the current liquidity of both agency and nonagency IO’s and IIO’s?”
The main buyers of IOs are commercial banks, Central banks, mutual funds e.g PIMCOs, Northern Trust etc were as IIO are tend to be a good tool to bet on your beliefs of the direction of interest rate.
There are over 43million mortgage loans in the United States of America out of these 43million plus loans 2 million are bad. Hence all the crazy hoopla.
The liquidity will improve now that the GSE’s limits to buy has been up lifted plus the government bailout and the takeover of banks by the treasury. The capital that the treasury will invest in these banks will be used to buy IO and IIO because these CMO tyoes tend to swing the most given interest rate moves.
Liquidity will continue to improve given the government intervention that we are seeing from all over the world. The GSE’s will begin to act as the major buyers of these IO’s and IIO’s the key issue is the relative value. As someone one who has being in the industry for over ten years it can get tricky. I began my career as a CDO modeler.
Buy IIO and Fixed IOs. The LIBOR will come back down. It won’t stay at 4ish %.
October 15th, 2008 at 7:06 pm
CMO trade program must have a minimum of $5 MM USD to enter.
We buy CMO direct from trader. We resell the CMO with an exit buyer already in place in about 3 weeks. But here is the kicker. Not only does the buyer make a great return in 3 weeks, but after 13 months the CMO reverts back to the investor and THEY OWN IT.
Call me now at 720-375-5001.
Thank you
Mark E. Abel
October 15th, 2008 at 8:24 pm
Please report anyone who is not living up to their words. We will report the individual or individuals to the legal authority.
We at CMO Derivatives are here to facilitate and ensure that the United States of America continues to be the nation of choice and innovattion when it comes to the capital markets.
Long live MBS and the rest of the structured products and yes including CDO’s.
udo
October 20th, 2008 at 12:18 pm
I have a client that owns 1.8 b in CMO’s. Very shortly I will have proo of ownership, account statement and screen shots. My client would like a loan of $30m against them as callateral.
contaxct me at chris@rescomfg.com
October 20th, 2008 at 2:59 pm
Selling or buying bonds will be a lot easy if the participants provides the following about their CMO’s.
Cusip, WAM, WALA, CPN, PSA/CPR, Issuer, AGE, Notional Amount and payment cycle.
In this capital market environment, it will be difficult for a bank or any institution to take a depreciating asset as collateral for a loan. Not to speak of liquidity concerns.
By providing more information you create transparency which in turns makes everyone feel safe.
October 22nd, 2008 at 1:24 pm
I know this board/blog is about CMO’s but i have some mortgage back securities, and other bonds available for sale.
Buyer must be able to post up a buy ticket, bonds to be delivered normal t plus 3.Dtc settlement.Matching tickets.
Bonds are available below market.
Feel free to contact :
smt1954@aim.com
October 28th, 2008 at 8:26 am
Udo,
We are looking for CMO’s whose holders do not share your cautious optimism (as we do) and are interested in selling at a significant discount.
In todays market, Cash is King and our group is currently liquid. If you know any CMO owners that would prefer to sell in this uncertain market, contact me off board or on board with the Cusip Nos and asking price.
We will not waste your time and get back to you promptly.
Jim
October 29th, 2008 at 1:15 pm
Udo,
We are looking to purchase CMO’s please respond off the board so we can discuss.
October 31st, 2008 at 6:11 am
Collaterized Mortgage Obligations
Spread of CMO yields above U.S. Treasury securities of comparable maturity,
in basis points (100 basis points=1 percentage point of interest)
Maturity Spread Change From
Previous Day
SEQUENTIALS
2-year 285 …
5-year 265 …
7-year 265 …
10-year 250 …
20-year 190 …
PACS
2-year 250 …
5-year 225 …
7-year 225 …
10-year 215 …
20-year 150 …
Source: WSJ October 31, 2008
October 31st, 2008 at 6:14 am
Collaterized Mortgage Obligations
Spread of CMO yields above U.S. Treasury securities of comparable maturity,
in basis points (100 basis points=1 percentage point of interest)
Maturity Spread
SEQUENTIALS
2-year 285 …
5-year 265 …
7-year 265 …
10-year 250 …
20-year 190 …
PACS
2-year 250 …
5-year 225 …
7-year 225 …
10-year 215 …
20-year 150 …
Source: WSJ October 31, 2008
October 31st, 2008 at 3:25 pm
Greetings, Can you tell me what these bonds are worth? for CUSIP 74958AAM6
October 31st, 2008 at 5:40 pm
RFMS Series 2006-S7 Trust
2006-S7 A-V AAA
Prime Jumbo RMBS
Value Range: $88.00 to $92.00
October 31st, 2008 at 5:41 pm
Hi Paul,
RFMS Series 2006-S7 Trust
2006-S7 A-V AAA
Prime Jumbo RMBS
Value Range: $88.00 to $92.00
Cusip 74958AAM6
November 2nd, 2008 at 7:46 am
Asset Allocation for an income fund given the current cost of capital environment:AAA
Senior Tranhces
40%
MBS dwafs
Agency Debs 15 year
20%
MBS 30 year
Agency Bullet
20%
PAC
20%
Equity Options(Strangles)
Delta Hedge…share/delta=shares needed
November 2nd, 2008 at 7:47 am
Asset Allocation given the current cost of capital environment:
Senior Tranhces
40%
INV
IIO
PO
20%
PAC
SEQ
20%
IO
FLOATERS
20%
Equity Options(Strangles)
November 4th, 2008 at 10:33 am
Bond: RAMP 2006-RZ4 A2
Cusip: 75156XAB7
Offer: 67-0
November 4th, 2008 at 11:23 am
Hmmm…everytime I post to this forum Udo deletes me. Not sure why.
CMo’s, MTN’s. Email me privately if you have needs to buy either.
Save my email as Udo will surely delete this message without any notice or reason.
Thank you.
Louie Frias
GlobalFunds@cox.net
November 4th, 2008 at 6:19 pm
Udo,
Reference to responses 48. & 64., how would we go about negotiating a purchase?
November 4th, 2008 at 7:05 pm
Mr. James,
I only deal with direct buyers. I don’t deal with middle dealers.
udo
November 5th, 2008 at 2:51 pm
Hi Udo, is that per 1000 face?
Hi Paul,
RFMS Series 2006-S7 Trust
2006-S7 A-V AAA
Prime Jumbo RMBS
Value Range: $88.00 to $92.00
Cusip 74958AAM6
November 5th, 2008 at 3:30 pm
Udo,
If you care to send me your contact information, I will have the principle contact you and disclose the name of his firm. You will know his firm very well.
November 13th, 2008 at 5:31 pm
Looking for seller’s of CMO’s that will free deliver. Need min 150m. Please reply to wa352ne@excite.com.
November 15th, 2008 at 3:45 pm
WANTED
Fannie Mae CMO’s, 25B $500M
Tranches, 1 cent , Free Delivery,
T-2, Can show POF, DTC Delivery
ToddsDocuments@Gmail.com
November 17th, 2008 at 10:58 pm
Structured Asset Portfolio Rebalancing for 2009:
Group 1
IO
FLOATERS
Equity Options
Currency Options
Commodity Options
Group 2
PO
IIO
INV
Equity Options
Currency Options
Commodity Options
November 18th, 2008 at 9:29 am
CUSIP 19075DAG6 CWCapital Cobalt
1billion available now