Here is some eyeballing statistics that I will use from March-April data:
Remaining Unpaid Balance: 60%
Increase in cumulative loss: 0.40% off the Original Balance.
Paydown Speed as a rate vs. Remaining Unpaid Balance (including default) : 24% CPR
I want to deduce nationwide, for the subprime borrowers accross USA, how many were able to refinance and how many ended up in default.
That is, how much of the 24% Paydown speed that is due to defaulted, liquidated homes?
Well that's easy:
Defaulted balance must have been (Increase in cumulative loss divided by Severity), which is 1% in a MONTH off the Original balance.
Therefore, as a fraction of the current balance it is 1% / 60% = 1.67% per month went default. Or in annualized rate, it is 1.67% x 12 = 20% rate annual of liquidation of Current Unpaid balance.
There you have it, off the 24% Subprime paydown rate that occured in March 2008,
- about 20% of that is involuntary, homes being liquidated and people being kicked out of their homes.
- Only 4% of that rate was able to refinance.
Oh before I go, on the Prime mortgage side, I read that
- Freddie Mac serious delinquency is now 74 bps versus 71 bps a month ago?
- And Fannie Mae is now 110 bps versus 104 bps last month.
One last thing: more GS employee betting the top in their company fortune? Again, you be the judge.
Goldman Mortgage Trading Chief Sparks to Leave, Spokesman Says
2008-04-25 15:08 (New York)
By Christine Harper
April 25 (Bloomberg) -- Dan Sparks, who runs Goldman Sachs
Group Inc.'s mortgage division, is leaving the firm after a
successful bet on the declining value of subprime home-loans
helped the company produce record earnings last year.