Excess Spread — Penalty box, KMC comeback, debut deluge


Market Wrap

Excess Spread — Penalty box, KMC comeback, debut deluge

Owen Sanderson's avatar
  1. Owen Sanderson
11 min read

What does it cost to miss a call?

At the beginning of October, the issuer announced that, a mere year after the First Optional Redemption Date (FORD), Cerberus would be finally calling Towd Point Mortgage Funding 2019- Vantage2, and this week, co-arrangers Bank of America and Barclays unveiled the refi transaction, Towd Point Mortgage Funding 2023-Vantage3

The mortgage portfolio in question is an old GE Money non-conforming book, which has a lot of hair on. Sure, average LTV is 54% and at 7.7%, there’s a bit of yield coming off, but only 34.5% of the book is actually performing, and 29% is more than 90-days in arrears. It’s rated as a non-conforming portfolio, but this is halfway to non-performing.

Anyway, there’s a wee bit of structuring we should look at, because it might shed some light on Cerberus’s decision to move ahead with a refi, and the price it has to pay for the missed call (and continued absence of a call for Auburn 13).

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