I’m wooing a client who has taken a $1.2m loss over two years (2015 and 16).
A lot of the loss is due to the fact that she was overinvested in oil and gas, and took a big bath when that sector melted down.
But part of the loss is due to some weird MBS-type things that I’m having a hard time understanding.
EG - Altermative Loan Trust Series 2006-19CB Class A-15. Security ID #02147QAQ5. This seems to be a mortgage pass thru, but I don’t understand what the 1099-B is telling me, and I can’t find anything to tell me what it is. It seems to have sales proceeds every month–but it “sells” part of the security three or four times per month, often for $0.00. Why would it show $50 of cost basis and $0.00 of proceeds three or four times per month? It’s almost like it’s a “self-amortizing” security.
never saw the 1099 of a pass thru but its possible its showing the securities paydowns/losses/factor changes as sales? no longer have bbg to look up this particular security but all these vintage private MBS’s from pre crash are generally garbage (these CWALTs included) - if you have bbg pull up a PAID screen and look at some months remits - should be able to tie out sales that way. My guess is itll show paydowns with a loss factor of 100%
We packaged up, and pawned off, so much of this stuff back in the day. Someone out there is still holding it, I guess you found one!
It always requires going to the Bloomberg or whatever and scratching your head looking at the transactions for an hour trying to figure out what the heck is going on. Writedowns, chargeups, payments, payoffs, etc…and of course each instrument handles it in its own weird way. It’s almost like someone intentionally made this stuff opaque so nobody would know what was going on behind the curtain!
saw some broker quotes for this tranche on debtwire in the mid to high 80s so its gotta be throwing off some cash still which is surprising. Granted its coupon is 6% but at this point how much worse can it get? This vintage probably saw pretty significant default rates but im sure you would have made a killing on these if you bought in 2008/2009. The bulk of the defaults are in the rear view for this security id imagine.
For constructive and detailed and accurate - not saying that above comments are neither - information, you can contact the issuing bank and ask to talk to the securitization desk or post this question on SumZero and you’ll get some valuable emails regarding the said security.
oh yea IB - not sure why he wouldnt get the remittance statements - they should be easy to get a hold of. bbg generally does a decent job of staying up to date but those are certainly the best
