WaMu Alt-A Pool Deteriorates Further

I have been tracking a particular WaMu Alt-A mortgage pool for a couple of months. The pool is known as WMALT 2007-0C1.

In Evidence of "Walking Away" In WaMu Mortgage Pool, I wrote about data January.

About a week ago, by popular request, I did a February update in WaMu Alt-A Pool Revisited. I could have waited. March data is now available. The following screen shot is thanks to "YV".

WMALT 2007-0C1 March Picture



click on chart for sharper image

January Pool Stats

• 19.3% 60 day delinquent or worse
• 13.15% Foreclosure
• 1.83% REO

February Pool Stats

• 22.69% 60 day delinquent or worse
• 11.62% Foreclosure
• 3.56% REO

March Pool Stats

• 25.3% 60 day delinquent or worse
• 13.35% Foreclosure
• 4.44% REO

Note the above progression. This cesspool from May of 2007, was 92.6% originally rated AAA, even though loans had full doc only 11% of the time. In less than one year, the pool was 25.3% 60-day delinquent or worse. Of that 25.3%, 13.35% is in foreclosure and 4.44% is bank owned real estate.

The problem should be clear. In no way shape or form, should any package of liar loans been rated AAA.

Lehman Alt-A Pools Downgraded

MSN Money is reporting Moody's downgrades certain Lehman XS Alt-A deals.

Moody's Investors Service has downgraded the ratings of 279 tranches from 27 Alt-A transactions issued by Lehman XS Trust Series. One hundred sixty two downgraded tranches remain on review for possible further downgrade. Additionally, 97 tranches were placed on review for possible downgrade.

The ratings were downgraded, in general, based on higher than anticipated rates of delinquency, foreclosure, and REO in the underlying collateral relative to credit enhancement levels.

This action is just a start. Expect far more downgrades in Alt-A mortgages. Prime mortgages will follow suit as well.

Comments

[User 168989:]

You have been running negative article on WM everytime it stock goes up. We know you are shorting the stock, and we know your tactic is not going to work. You are only loosing your readers's trust and faith in you. You lost my respect. Let me help you in doing your job much better. This stock in no time will be in mid $20 for various reasons. 1) The financial market is getting better and better everyday. All the bad news are already in all the financial stocks.2) The Fed and USA gov on the market side. They have all the resources to help the financial institutions to survive these challenges.3) WM will have much bigger market after many small businesses had dissapeared. 4) After all the situation might not be as bad as we all think. This will force the shorts to fill their positions very quickly (about 198 Million shares short), etc. I recommend you go back to your drawing board and start telling the truth instead of surfacing constant all the bad news we all have seen and heard. Good luck

2008 Apr 01 12:11 PM

[ballsschweaty:]

Mish has been screaming Deflation for many years now and has been dead wrong. Anybody who follows his advice is probably wiped out by now. He's never right about anything.

That's why he writes blogs for a living.

2008 Apr 01 03:02 PM

[moonscope:]

Richard j Pollak [e-mail] 4541 C.R. 138A
Alvin, TX 77511

Respectfully prompt and current on all first twelve
payments. N.A. Lender transferred new Loan after Nine
months by action of reversing final payment to credit
Loan Principal only {defined by loan manager as
"Principal Curtailment"} Deeds Cover page states
Prepayment requires Signature, Comptroller of the
Currency governs N.A. prohibiting' prior to Transfer,
then Office of Thrift Supervision blindly governs.
Evidenced {B.B.B. supported} Five Year Coveted, Constitutes action was "Curtailment."
Receiving Loan in transfer F.A Lender in attempt to
reverse "Principal Curtailment" in admitted accounting
error reducing Escrow, creating additional shortages
{I call it "Escrow Curtailment"} increasing demand of
nearly $120.00 for 12 Months.

Testimony by F.A Loan manager reported Common
Practice for N.A. Lender to Breach Term commitment.
Testimony by F.A Loan manager reported Common
Practice for Escrow accounting error.
Loan Misapplications through Transition was defined
by Learned Board Certified, as Theft, jeopardizing
robbery prosecutions at midnight 4/5/08 when error
Judge forgave becomes Common Practice defensible,
because Washington Mutual Called Loan.

B.B.B. removed Washington Mutual from chief arbitrator
chair and Membership for Three Years from ignoring
Loan History requested, My Judge famed for largest
Historic Schlumberger Russia Bankruptcy and Second
Judge {Appeal} famed for Enron, refused Excusable Neglect Case reopening.

Borrowed at 6.5% for 15 Years, no second, from Bank
One N.A. {"C.C." Comptroller of the Currency.} April,
2001. No Hope now here, Land with outbuildings alone values larger than Original Loan, everyone accounts best interest is dismiss without arbitration, refinance excuses Lender damages.

Loan was Transferred to Homeside Lending F.A.
{"O.T.S." Office of Thrift Supervision} November,
2001, later Washington Mutual acquired Homeside
Lending and actual Loan Manager Supervisor's employ, Defendant Loan Supervisor Manager.

Sued Washington Mutual, for simplification Judge changed Defendant to former entity Homeside Lending under Seal, allowing Washington Mutual to Witness employee, Loan Supervisor, Homeside Lending, Curtailment Manager.
Defendant reverted back to Washington Mutual for Judgment Payment, but Attorneys Certified Mail ignored RESPA request, became inadmissible.

For Five Years regulator "C.C." forwards all My
inquiries to "O.T.S." that fails to govern or reply,
"O.T.S." never responds, A.G. never responds, D.O.J.
never respond. Regulation by the C.C. instead of O.T.S
will force Lender accountability eliminating stuck
between, but Lender C.E.O.s are destroying homesteads,
helped by Stock Market & Future Trading. C.C.
regulation transferred with Loan to O.T.S. regulation
failures, altered DEED Contractually.

Bankruptcy arrears paid-off in full Years ago, if
Foreclosed 4/5/08, Presidents equates Judge allowed $1,500.00 "Curtailment" to transition into theft by "Common Practice" defense, liken-to Bank robber claiming "Common Practice" Defense and will be Case Law exploited!

100 days following Trial Judge Signed awarding {$1,000.00} RESPA Damages 4 of 10 day allowed appeal time-frame was spent before U.S. Mail delivered. {Bankruptcy RULE "RULE 2005"} extends in President 5 days all Judgment appeals, Appellate Attorney argued Excusable Neglect for spending 12 day's from Signed day to Appeal's filing day.

Washington Mutual recently returned $7,500.00 Core Bankruptcy Arrears skirting damages and overriding Judgment by default admittance, without rendering the Lawsuit's substance of arbitrated day rate damage, allowing Precedent that Theft ignored if defended as
Common Practice!

2008 Apr 01 08:28 PM

[dcxavier:]

This securitization probably isn't as bad as you might believe. I'm guessing that this is a pool of primary Alt-A Option ARM's. As primary loans, they were mostly issued at 70-80% LTV.

Now about 25% is NPA, so they are collecting about 75% of the possible interest. That should be enough to cover through the A4 and probably through the A5 and into the first mezzanines. Now as far as principal coverage goes, you need to get over 100% LTV on a loan before that becomes a risk. Then, it's on a loan by loan basis. A1 through A4 should be golden, A5 is on the bubble.

So where's the big problem? It is at WM. I suspect a vast majority of these loans have seconds behind them. WM didn't generally securitize the seconds. Each of these defaulting loans, you're probably looking at close to 100% wipeout of the seconds. If you figure $100M in seconds behind these primaries, that could turn into $20-30M loss or even more. Ouch!

Tranche A1 is still AAA in my book, that's half the package. But when you get to M-1 and below, that's not investment grade.

2008 Apr 01 10:52 PM

[dlaw:]

dcxavier, are you mental?

A5 was rated AAA. A4 was rated AAA. There is no conceivable way that any AAA buyer expects that kind of default rate to develop in similarly-graded tranches in less than a year. The **probability** of a AAA defaulting should be less than half a percent. Here you already have a AAA tranche on the brink of default and A-rated tranches already in default.

And since when are A-rated securities NOT investment grade?

Well, I mean, since when are they not supposed to be investment grade. These days I guess the ratings don't mean a thing.

Moreover, that 70-80% LTV gives, like, ZERO cushion in this housing market. California foreclosures are already forcing 30% haircuts on equity. These ratings are supposed to indicate probabilities of default, not certainties of default.

You don't actually think anyone could sell a single tranche of this offering at anything like AAA spreads, do you? No, of course not. The whole thing is B-rated garbage with a miniscule coupon that you'd have to unload at a huge discount. Its default rate is multiples of the expected default rate.

2008 Apr 02 07:00 PM

[dcxavier:]

Hi dlaw!

Do you really how these securitizations work?

Tranche A1 is 50% of the securitization. For a buyer of the A1 to lose on principal, 50% of the houses would have to be a 100% loss, totally worthless. Or 100% of the houses would have to be a 50% loss. Or something in between. Not even the most bearish here-we-go-to-depressi... individual has stated things will get that bad. Already over 5% of these loans are off the books, all the principal from them has gone to the A1 holders.

2008 Apr 06 05:28 PM