Mr Cooper Group Inc (COOP)

[Dmdmd2020]

Educational resources regarding Securitizations of assets within MBS/ABS Trusts

1) Key Players in Securitizaion:

https://www.youtube.com/watch?v=RJAyHBJmBzU

2) Trusts vs corporations in Securitization:

https://www.youtube.com/watch?v=77peDa2w4XA

3) What is a Securitization:

https://www.youtube.com/watch?v=Z8kCQkfblzY

4) Credit Enhancements in Securitization:

https://www.youtube.com/watch?v=Ip0lZ-TjdHI

According to Christopher Culp, MBS Credit Enhancement have Internal and External Categories

I. Internal
A. Subordination/Tranching
B. Overcollateralization
1) Direct Equity Issuance
2) Hold Back (Discount from Originator)
C. Cash Collateral Account (Originator deposits cash)
D. Net Excess Spread

II. External
A. Insurance, Wraps, and Guarantees
B. Letters Of Credit (LOC)
C. Credit Default Swaps (CDS), Equity Tranche is the deductible
D. Put Option on Assets

5)Liquidity Support in a Securitization:

https://www.youtube.com/watch?v=JiKgoUnXGn4

________________________________
First, thanks to all the posters for all their DD!!

FAQ section is going to be in the form of previous posts on Ihub/Boardpost

CBA09 post #498722:

"
CBA09 Tuesday, 12/05/17 07:34:44 AM
Re: hotmeat post# 498530
Post # of 505195



Ref: IMO, WMIIC ""owned/controlled"" these Trusts on behalf of and for the sole benefit of WMI and NOW the WMI Estate/Tracking Markers.

Comments:
SPE/Trust are designed for independent ownership. Not controlled by WMI nor WMIIC.

Yes these SPE's/Trust are the "Crown Jewel" of WMI in it's capacity of being the Parent. Also Facts of great importance:

1) The bankruptcy estate does not have jurisdiction over these SPE's/ Trusts. WMI in its capacity of equity interest does.

2) WMI abandoned it's stock as worthless on record with the Estate. The Estate in turn diverted all future benefits back to WMI. A clever astute move by WMI.

A Turnover action is routine Bankruptcy procedure to bring back to WMI estate what is considered estate assets. And SPE/Trust Income is not part of the estate assets.

We are all good here with the SPE's/Trusts of the Parent - WMI. "

________________________________

CBA09 post #498826

"
CBA09 Tuesday, 12/05/17 04:36:28 PM
Re: hotmeat post# 498724
Post # of 505195



Ref: What do you believe was WMIIC's role, IF ANY, with respect to the SPE's/Trusts.

Comments:

WMIIC's role was two fold:

1) Provide / Solidify assets "MBS" as bankruptcy remote. By way of "WMB" (Originator) to WMIIC (Depositor) to Trust. In effect a TWO TIER protection. Totally taking WMB out of any risk of substantive consolidation.

2) WMIIC being the depositor would also be the provider of credit enhancement. Having what is referred to as residual interest. Holders of subordinate certificates & overcollaterized loans."

________________________________

CBA09 post #498890:

"
CBA09 Tuesday, 12/05/17 11:05:21 PM
Re: goodietime post# 498759
Post # of 505197



Ref: The bankruptcy estate does not have jurisdiction over these SPE's/ Trusts. WMI in its capacity of equity interest does."

Question - 1
So, WHY isn't anything being distributed?

Comment:

The powers to be are surely suppressing the distribution of "Retained Assets" within trusts that have terminated.

Clearly, amounts within each Trusts are known. Monthly, reconciliation is required for each separate bank account. There are many Bank accounts for example:

1) Over-collateralized cash account,
2) Excess spread account,
3) Reserve account,
4) Income account from subordinated certificates owned by the credit enhancer this is generally the depositor, very likely WMIIC,
5) Income from rents of REO until liquidated,
6) Escrow and etc.

Question - 2
Is it usual to wait and get it all at once?

Comment:
No.
As each Trust Terminates a final vouching / reconciliation is performed. Once completed, a full accounts removal takes place. This is generally a clearing of all Trust bank accounts to the Parent. Here, from my experience, no expressed contractual agreement to do so exist. Thus, added protection of being bankruptcy remote. As,to have a written agreement to do so, would show control, and put in jeopardy the "Retained Assets" remaining bankruptcy remote."

________________________________

CBA09 post #499043:

"
CBA09 Thursday, 12/07/17 08:35:12 AM
Re: mattchew post# 499009
Post # of 505197



Ref: Question: doesn’t the FDIC require a “release” before any $ distribution happens?

Comment:
No FDIC can make distributions at any time on claims. FDIC makes a determination based on available funds on what claims to pay. Of course they is a priority order and unfortunately shareholders are last.

Of importance is that final release / closeout of FDIC receivership will not happen if any unresolved litigation exist. Assets not of WMB that were transferred to JPM must be put back or paid for.

So yes the follow is correct-
Answer: The FDIC will be released when they "Make the Final Payment" according to the GSA and POR7"

_________________________________

CBA09 post #499212:

"
CBA09 Friday, 12/08/17 08:04:10 AM
Re: LuckyPanda post# 499154
Post # of 505197



Ref: Is there a time limit for disclosure of what's in safe harbor?

Does FDIC have any fiduciary duty to disclose final accounting of all assets in safe harbor? If so, is there a time limit?

Comment:

We are talking Off-Balance Sheet Assets - FDIC has not seized MBS in SPE's/ Trusts assets. They have no control or standing with such assets. The pooling & service agreements govern the disposition of all "Retained Assets" respectively within each Trust. Here - "WMI" in its sole capacity as Parent will the final recipient. That is why those in the know wanted "IT ALL" for themselves.

Off-Balance Sheet Assets are those sold and the only requirement of WMB was to reflect the following:

As of each Balance Sheet Date. - Monthly

1) Remaining Principal Balance of those sold assets as Off-Balance Sheet.

2) Risk Obligations such as Recourse Liability.

3) Trigger Events that might accelerated / increase obligations.

4) Description of Trigger events, etc.

Also in 8-k of the Risk Section such estimated obligations would be disclosed."

_________________________________

CBA09 post #499260:

"
CBA09 Friday, 12/08/17 01:48:06 PM
Re: hotmeat post# 499160
Post # of 505198



Ref: 1) Could you explain the significance of the fluid Conditional Exchange between the Cayman Pref Securities-Trust Securities and WMI.

Comment:
The funds raised by the offerings were classified as Core Deposits thru the issuance of preferred stock. Thus a obligation within the equity section of the balance sheet - WMB


When the exchange event happened the obligation to the investors of the preferred stock went to WMI. In tandem so did the equitable interest in remaining balance of the initial $ 5.4 Billion HEL."

_________________________________

CBA09 post #499401:

"
CBA09 Saturday, 12/09/17 01:02:46 PM
Re: LuckyPanda post# 499270
Post # of 505199



Ref: Thank you CBA09. That is what I suspected originally. Safe Harbor assets release should have been controlled by the MBS trustee. What I don't understand is how DB as trustee could be discharged from probate without WMI receiving our assets? If DB is gone, who is the current trustee of our assets?

Comment:
Once a Trustee is discharged it signals the complete liquidation of the Trust Assets. No need for a Trustee.

We no longer care about a Trustee. Are assets are protected.

Safe Harbor assets:
The "Retained Assets!" Residual Interest in such assets are represented by A Residual Certificate. Generally the first SPE within a two SPE Tier -MBS.

Like (WMMIC - SPE - Tier # 1 & SPE/Trust - Tier # 2. WMI being Parent reaps the final benefits.

Ref: 1031 Exchange - I do not believe so with Terminated Trust Assets. To be fully terminated means all obligations are satisfied to certificate holders. And, all assets liquidated to cash."

________________________________

CBA09 post #501005:

"
CBA09 Monday, 12/18/17 03:59:51 PM
Re: hotmeat post# 500996
Post # of 505199



Ref: My thoughts were that WMI's substantial Trust interests would not be reflected on the books as "Retained Assets", but rather as some type of "Income Line Item" in their financial filings.

Comment:
Two places:

1) Balance Sheet - Asset ( Debit ) Residual Interest ( Estimated Present Value - Future Cash Flow )

and corresponing - ( Credit )

2) Income Stmt - Income Line Item - (i.e., from Securitization / or Other Income).

Note: Regulations requires At least Quarterly the revaluation of Residual Interest."

________________________________

CBA09 post #501104:

"
CBA09 Tuesday, 12/19/17 04:49:35 PM
Re: BBANBOB post# 501082
Post # of 505199



Ref: Fact or fiction on required or not required to participate and %% please.

I say required so as to show good faith ya aint peddling junk

Comment:

While I know of no "regulation requirement" to participate I have never seen a PSA Provision that did not include the SPE # 1 not holding a % of certificates.

Specifically:

1) Residual Interest, vis a via, "Retained Assets."


2) Subordinate Class - Helps with the creditworthiness and alleviate realized losses. ( a so-called good faith offering )

Hope the above helps."

________________________________

CBA09 post #501193:

"
CBA09 Wednesday, 12/20/17 10:14:47 AM
Re: TJ0512 post# 501063
Post # of 505200



Ref:
Do you agree or not agree that WMI (the parent) relinquished ownership of WMB when WMB was seized? The only ownership WMI had in WMB was in the stock of WMB that was abandoned (*worthless stock abandonment") which created the NOL).

Comment:
Trustee abandoned and thereby no longer an asset of the estate. IRS Revenue Code 165 G-3 allowed the capital loss to be classified as an ordinary loss (NOL).

Ref:
From that point on WMI had no control of WMB or WMB subs whatsoever as WMB was sold to JPM as a "Whole Bank Purchase".

Comment:
Whole Bank as in assets - $ 298 Billion vs liabilities 258 Billion.

Ref:
Your comment regarding WMI has control of safe harbor assets.

Do you agree or not agree that Safe Harbor Assets are the actual assets within the various trusts that are protected for the benefit of the actual investors (certificate holders) within each trust?

Comment:
Safe Harbor Assets are those assets that have statutory exemption from the bankruptcy systems. Securitization qualifies for such exemption.

Ref:
Do you agree on not agree that payment (proceeds) for assets sold into the trusts has already been received and the only future benefit (besides servicing fees) relating to these trusts would be the retained interest in the trusts and are recorded as an asset on the balance sheet?

Comment:
Proceeds:

1) $ for the initial transfer of pooled mortgages.
True Sale -
Balance Sheet - Remove assets loan mortgages
Income Stmt - Difference between proceeds received (cash) minus loan mortgages transferred = Net Gain or Net Loss.


2) $ Retained Interest.
Balance Sheet - Residual Interest Receivable (Estimated future benefits)
Income Stmt - Income from Residual Interest

Note: Lions share of the Residual Interest (Retained Assets) remain with SPE # 1 - as a Safe Harbor Asset.

Ref:
On a consolidated basis in each 10Q & 10K the retained interests have been listed (I have gone back as far as 2004) and the total retained interests (not credit card related) were as follows:

in billions

MBS:

2004 - 1.62
2005 - 2.80
2006 - 1.90
2007 - 1.71
2008 - 1.23

Comment:
This reflects only a small % of the overall Residual Interest. Lions share protected within SPE #1 - Based on my experience.

Ref:
It's been said that there was a minimum 25% participation in these trusts which IMO is not the case and the only benefit going forward from 2008 was the retained interests.

Comment:
My experience from 1978 - 2004 - No Regulated Minimum. But, Certificates are issued for the Residual Interest and held by SPE # 1 ( Largest % ) and Originator ( there retained % much smaller )."

_________________________________

CBA09 post #501788:

"
CBA09 Wednesday, 12/27/17 12:36:28 PM
Re: hotmeat post# 501758
Post # of 505200



Ref: . Just what Are' ?, a company's "Retained Earnings" ?, ... and were' the company's, ... "Retained Earnings", ... Bankruptcy Remote

Comment:

Retained Earnings is a permanent "accumulation" account. A given balance is the result of "TOTAL" PAST:

1) Net Income. ( increases Retained Earnings )

2) Net Losses. ( reduces Retained Earnings )

3) Dividends Paid. ( reduces Retained Earnings )

Each fiscal (year end) the net result of temporary accounts (i.e., income and expenses ) from the Income Statement are zeroed out . If Total Income for that year is higher than Total Expenses the net result is an increase to Retained Earnings.

Example: Year end - 2008 Entries to zero out Income Statement Temporary accounts -

Debit Credit
Income $ 1,000

Expenses $ 750

Retained Earnings $ 250 - (Increase as Income greater than Expenses)

Note: a Negative Retained Earnings is a Deficit - meaning:

1) Past Expenses have been greater than Past Income from the Income Statement.


Ref: Retained Earnings, pre-petition as of 09/26/2008 = Deficit $16,739,175,191.00

Retained Earnings, pre-petition as of 02/29/2012 = Deficit $20,770,648,942.00

Comment:

Appears $ 4 Billion of the $ 4.04 decrease in Retained Earnings was related to recognizing the exchange event of trusts preferred. The accounting journal entry would be as follows:

1) Retained Earnings deduction - ( Theory here is that past earnings transferred )

2) Preferred Trust increased"

________________________________

CBA09 post #501876:

"
CBA09 Thursday, 12/28/17 02:03:35 PM
Re: sometimes_right post# 501831
Post # of 505200



Ref: Isn't the dramatic change in retained earnings indicative of the transferral of MBS Trusts and WMI's corresponding participatory cash flow into bankruptcy remote safe harbor accounts triggered by the change of ownership event???

Comment:
Reduction ( dramatic change ) to Retained Earnings would not be related to outflow of cash to bankruptcy remote safe harbor assets.

Changes to Retained Earnings are mostly due to the following:

1) + adds to Retained Earnings - when Income exceeds Expenses from Profit & Loss Statement.


2) - reduction to Retained Earnings - when Expenses exceeds Income from Profit & Loss Statement.

3) - reduction to Retained Earnings - when Dividends paid.

4) - Prior period error ( + or - ) to Retained Earnings ( would result in adjustment to previous stated Retained Earnings which did not account for the error ).

5) - Change in accounting principle ( + or - ) would result in restating Retained Earnings as if the change happened retroactively.


Retained Earnings is a nothing more than a collective result of past transactions that would be reflected on the Profit & Loss Statement. WMI investment in WMB was abandoned as worthless so the entry would be as follows:

- Investment in WMB - Credit ( Asset - Balance Sheet )

- Loss on Investment in WMB - Debit ( Expense - Profit & Loss Statement )

The Loss ( Expense ) from the Profit & Loss Statement would transfer to Retained Earnings as a reduction.

Do not be overly concerned with Retained Earnings. While having a positive Retained Earnings is a sign of profitability transferred from the Profit & Loss Statement, Parent Companies generally use up ( reduce ) Retained Earnings via Dividends or Investments.

For us escrow holders - Important assets are those in Safe Harbor."

_________________________________

CBA09 post #503000:

"
CBA09 Saturday, 01/06/18 10:07:23 AM
Re: hotmeat post# 502845
Post # of 505200



Ref: Based on your experience, if applicable, what is your opinion on the following.............


1) Does the GSA govern ALL future distributions of Safe Harbor assets (only) to our "Markers" or will it revert to pre-bankruptcy ownership rights of the different classes ie Preferred and Common???

Comment:
"Safe Harbor" rules within Bankruptcy Code governs the protection of "ALL" distributions of Safe Harbor assets.

Our situation - Retained Assets ( which will be there ) within SPE/Trust are in the form of residual interests via Certificates held by subsidiaries of WMI (Parent). Safe Harbor rules protect these assets to pre-bankruptcy ownership. The Court nor the estate have no avoidance / claw back power. Fact - Court will ensure / protect the transfer of these assets to it's rightful certificate holder.

I contend WMI being the Parent and having a security interest it's subsidiaries which in turn that have a security interest via holders of security certificates of SPE/Trust residual certificates will reap the value of these Safe Harbor assets. Finally, WMI's legacy holders(escrow holders) gets the so-called Retained Assets. And, yes they will be there.


2) Can any party (FDIC, DTC etc) other than the WMILT make cash distributions directly to our "Markers" for any Safe Harbor assets held outside of the bankruptcy process???

Comment:
Yes, very likely to happen. Reason, the Residual Certificates are securities.

3) As the reorganized WMI, does WMIH own or are they entitled to any of the Debtors pre-bankruptcy assets/interests, other than that which was transferred during the reorganization process (ie WMMRC and 100% Equity in WMIIC) and clearly stated in the GSA???

Comment:
Yes, those assets, if any, that were transferred past a Pooling & Service Agreement cut off date. They would not be protected as Safe Harbor Assets.

4) Is the WMILT the sole and rightful "inheritor" and arbiter of the entire Debtors (WMI + WMIIC) estate,..bar none???

Comment:
The Court has the ultimate authority.


Happy New Year CBA and TIA for your response."

_________________________________

CBA09 post # 504271:

"
CBA09 Sunday, 01/14/18 03:41:16 PM
Re: LuckyPanda post# 503177
Post # of 505200



Ref: CBA09, if safe harbor rules protect the assets to pre-bankruptcy ownership then its distribution should not apply to POR7. Does that mean escrow markers are moot? Will all Wamu shareholders receive a distribution including the non-releasing ones? Thanks in advance for your input. I have been wondering about this for some time.

Comment:
Liquidation of assets involves two distinct assets:

1) Property of the Bankruptcy Estate - (Por7 applies).

2) Non-Property of the Bankruptcy Estate - Safe Harbor Assets ( regular bankruptcy code procedures / priority apply).

While the above two are distinct in nature "ALL" residual interest will go to Escrow Markers. So, no, not moot. Escrow Markers are the legacy shareholders. Thereby, have final legal standing and in turn sole contractual rights / title in residual interest.

Ownership Chain -
WMI owns the assets of WMI and in turn has legal title to all the assets of it's subsidiaries. Shareholders of WMI have legal title to all the assets of WMI. All assets that end up in WMI thru it's subsidiaries are thereby assets that WMI shareholders have legal contractual rights.

Por7, thru its declarations, have addressed the distribution of liquidated Bankruptcy Estate Assets. All residual interest of estate assets will go to Escrow Markers per the 75 % / 25 % allocation.

Since our Safe Harbor Assets are outside the bankruptcy estate, those captured within SPE/Trusts will follow each respective Pooling & Service Agreement (PSA) provisions. Generally, it's Parent that receives cash flows of residuals. Note, SPE# 1 create the SPE# 2 /Trusts, SPE 1 are many times direct subsidiaries of the Parent. And, SPE # 1's have a great deal of involvement in residual interest of SPE # 2 / Trusts.

In a solvent entity shareholders cannot force a distribution. A Corporation, thru it's board, has to declare a distribution of it's profit before shareholders are to receive any distribution in the form of dividends.

PSA are compelling and indivisible - only one end stop - Escrow Markers."

________________________________

DMDMD2020 post #504195:

"
Dmdmd2020 Saturday, 01/13/18 05:46:09 PM
Re: Dmdmd2020 post# 500806
Post # of 505200



Quote from: CSNY on Today at 10:47:53 AM
I think we've discussed this before, but in case we haven't, 'R' tranches are valued at zero (see the three (3) R tranches on p. 120 of the Senate report (link below)) until some residue actually appears. There was $36B in MBS on the FDIC's balance sheet reflecting the value of these securities as of 6/30/08 so, obviously, they were not 'R' tranches. (See WMB's b/s: http://sidedraught.com/stocks/WashingtonMutual/Washington%20Mutual%20Bank%20TFR%20June%2030%202008.pdf which shows $18,896,245,000 in MBS; maybe someone has a link or PDF for the FDIC's WMBfsb 6/30/08 balance sheet which features $16,877,894,000 in MBS)

Both public and private certificates are assigned value in this diagram which features values associated with the tranches (i.e., 'AAA' down to 'BB', 'C', 'P', 'N-1' - 'N-4'). The $36B figure doesn't make sense unless WMI's enterprise owned tranches senior to Rs.

There's no question that the MBS were on WMI's balance sheet, which means some WMI entity owned them and -- most important -- they were available to satisfy some WMI entity's creditors' claims. It's my opinion that the FDIC would not have sold MBS to JPM, which had plenty of toxicity on its own balance sheet.

Even though the R tranches are invisible on the balance sheet there's no reason to believe they, like the more senior tranches, are part of the LT's assets and will be divided 75/25.

See p. 120 (p. 127 of the PDF file): https://www.hsgac.senate.gov/download/report-psi-staff-report-wall-street-and-the-financial-crisis-anatomy-of-a-financial-collapse

______________________________________________________________

CSNY,

Thank you for bringing up this topic again!!

Per my post on December 25, 2017:


https://www.boardpost.net/forum/index.php?topic=12020.msg204458#msg204458



Per the link, PDF page 4 of 44:

http://www.globic.com/wamurmbssettlement/pdfs/DB%20WaMu%20TIP%20Notice%20to%20Holders%20re%20Distribution%20Timing%2012.11.17.pdf

"
001
Coast Federal 1992-1
002
GSAMP Trust 2005-S2
003
GSAMP Trust 2006-S1
004
Long Beach Home Equity Loan Trust 2000-LB1
005
Long Beach Mortgage Loan Trust 2000-1
006
Long Beach Mortgage Loan Trust 2001-1
007
Long Beach Mortgage Loan Trust 2001-2
008
Long Beach Mortgage Loan Trust 2001-3
009
Long Beach Mortgage Loan Trust 2001-4
010
Long Beach Mortgage Loan Trust 2002-1
011
Long Beach Mortgage Loan Trust 2002-2
012
Long Beach Mortgage Loan Trust 2002-5
013
Long Beach Mortgage Loan Trust 2003-1
014
Long Beach Mortgage Loan Trust 2003-2
015
Long Beach Mortgage Loan Trust 2003-3
016
Long Beach Mortgage Loan Trust 2003-4
017
Long Beach Mortgage Loan Trust 2004-1
018
Long Beach Mortgage Loan Trust 2004-2
019
Long Beach Mortgage Loan Trust 2004-3
020
Long Beach Mortgage Loan Trust 2004-4
021
Long Beach Mortgage Loan Trust 2004-5
022
Long Beach Mortgage Loan Trust 2004-6
023
Long Beach Mortgage Loan Trust 2005-1
024
Long Beach Mortgage Loan Trust 2005-2
025
Long Beach Mortgage Loan Trust 2005-3
026
Long Beach Mortgage Loan Trust 2005-WL1
027
Long Beach Mortgage Loan Trust 2005-WL2
028
Long Beach Mortgage Loan Trust 2005-WL3
029
Long Beach Mortgage Loan Trust 2006-1
030
Long Beach Mortgage Loan Trust 2006-2
031
Long Beach Mortgage Loan Trust 2006-3
032
Long Beach Mortgage Loan Trust 2006-4
033
Long Beach Mortgage Loan Trust 2006-5
034
Long Beach Mortgage Loan Trust 2006-6
035
Long Beach Mortgage Loan Trust 2006-7
036
Long Beach Mortgage Loan Trust 2006-8
037
Long Beach Mortgage Loan Trust 2006-9
038
Long Beach Mortgage Loan Trust 2006-10
039
Long Beach Mortgage Loan Trust 2006-11
040
Long Beach Mortgage Loan Trust 2006-A
041
Long Beach Mortgage Loan Trust 2006-WL1
042
Long Beach Mortgage Loan Trust 2006-WL2
043
Long Beach Mortgage Loan Trust 2006-WL3"


___________________

IMO...conclusions:

1) there were 40 Long Beach Mortgage MBS/ABS Trusts under DB Trustee prior to the date of the letter (December 11, 2017). Per the letter distributions will not be paid prior to January 2018, but will be paid according to monthly payment schedules.

2) by searching the State of Delaware site, there only 6 Long Beach Mortgage Trusts left. Thus 36 of those Trusts were liquidated to cash, where all MBS investors will be paid (including the residual Equity Tranche/ Interests which are rightfully owned by the WMI Equity Marker Holders).

https://icis.corp.delaware.gov/Ecorp/EntitySearch/

__________________

Per CBA09 post #499401:

https://investorshub.advfn.com/boards/read_msg.aspx?message_id=136770430

"Once a Trustee is discharged it signals the complete liquidation of the Trust Assets. No need for a Trustee."

Here is the full post:

"Ref: Thank you CBA09. That is what I suspected originally. Safe Harbor assets release should have been controlled by the MBS trustee. What I don't understand is how DB as trustee could be discharged from probate without WMI receiving our assets? If DB is gone, who is the current trustee of our assets?

Comment:
Once a Trustee is discharged it signals the complete liquidation of the Trust Assets. No need for a Trustee.

We no longer care about a Trustee. Are assets are protected.

Safe Harbor assets:
The "Retained Assets!" Residual Interest in such assets are represented by A Residual Certificate. Generally the first SPE within a two SPE Tier -MBS.

Like (WMMIC - SPE - Tier # 1 & SPE/Trust - Tier # 2. WMI being Parent reaps the final benefits.

Ref: 1031 Exchange - I do not believe so with Terminated Trust Assets. To be fully terminated means all obligations are satisfied to certificate holders. And, all assets liquidated to cash. "

__________________

IMO...overall conclusions:

1) DB Trustee has discharged all the 99 MBS/ABS Trusts under its responsibility

2) by just taking the example of all Long Beach Mortgage Trusts under DB, 34 out of 40 Trusts were liquidated.

Liquidation percentage = 34 / 40 = 85% liquidated in cash

Assumptions:

$692 billion mortgages were securitized by WMI subsidiaries from 2000-2008.

25% retention of MBS/ABS Trusts by virtue of residual Equity Tranches/Interests beneficially owned by WMI Escrow Marker Holders

Extrapolate 85% liquidation percentage across all MBS/ABS Trusts created by WMI subsidiaries

Calculations:

$692 billion x 25% = $173 billion

$173 billion x 85% = $147 billion liquidated in cash which belongs to WMI Escrow Marker Holders

Per the following link which illustrates the ABS-15G filing as of 7-31-2017, EX-99.1:

https://www.sec.gov/Archives/edgar/data/1119605/000092963817000687/0000929638-17-000687-index.htm



Total value of MBS/ABS Trusts as of 7-31-2017 = $70,185,164,496


The remaining MBS/ABS Trusts (illiquid assets):

Long Beach Mortgage Loan Trust 2006-6 = $1,696,308,794

Long Beach Mortgage Loan Trust 2006-7 = $1,632,830,233

Long Beach Mortgage Loan Trust 2006-8 = $1,418,910,068

Long Beach Mortgage Loan Trust 2006-9 = $1,563,345,085

Long Beach Mortgage Loan Trust 2006-10 = $1,033,338,946

Long Beach Mortgage Loan Trust 2006-11 = $1,532,272,816



Total unliquidated = $8,877,005,942

Liquidated amount = $70,185,164,496 - $8,877,005,942 = $61,308,158,554

Liquidated percentage = $61,308,158,554 / $70,185,164,496 = 87.35% liquidated

_____________

IMO...Conclusions:

If total MBS/ABS Trusts value under DB Trustee =$166 billion

If we assume 87.35% liquidated

Calculations:

$166 billion x 87.35% = $154 billion liquidated in cash

DB settlement funds will finally be distributed to investors of the MBS/ABS Trusts ..."not prior to January 2018"

IMO...all Tranches will be paid along with the Equity Tranches/Interests.

I cannot find exact documentation as to the retained Equity Tranches/Interests that need to be retained by WMI subsidiaries...but whatever that amount, IMO, the rightful beneficial owner is the parent WMI (Escrow Marker Holders)

______________

IMO.... My current conclusions:

1) As of the seizure (September 25, 2008), WMI had a total of $35,774,139,000 by virtue of total assets from MBS Trusts Assets (which only include assets from tranches senior to "Residual" tranches)

WMB = $18,896,245,000

WMB FSB = $16,877,894,000

Total = $35,774,139,000

2) https://bpinvestigativeagency.com/why-jpmorgan-chase-did-not-purchase-ownership-of-615b-worth-of-wamu-loans-in-three-simple-steps/

Pg. 116 –

From 2000 to 2007, Washington Mutual and Long Beach securitized at least $77 billion in subprime and home equity loans. WaMu also sold or securitized at least $115 billion in Option ARM loans. Between 2000 and 2008, Washington Mutual sold over $500 billion in loans to Fannie Mae and Freddie Mac, accounting for more than a quarter of every dollar in loans WaMu originated."


Total of $692 billion from all MBS Trusts created by WMI subsidiaries

Participation of WMI in MBS Trusts:

$35,774,139,000 / $692,000,000,000 = 0.0516 or 5.16%

3) Assume 3% compounded annually for nine years

$35,774,139,000 x 3% annually for nine years = $46,677,137,241.78

4) obviously these calculations were based off of September 25, 2008, which means that none of the MBS Trusts did not meet maturity/termination/liquidation, therefore "Residual" tranches are valued at zero. As of now (January 13, 2018), there are MBS Trusts that have reached maturity/termination/liquidation . Thus we can finally add more value to recoveries for WMI/WMILT/Escrow Marker Holders.

Recoveries from MBS Trusts = $46,677,137,241.78 + unknown value of Residual Equity Tranches

5) WMi retained not only *Residual" Equity Tranches but they also retained tranches senior to them.


Therefore, WNI has more than a 5.16% participation in all of the MBS Trusts created by WMI subsidiaries."

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DMDMD2020 post #504443:

"
Dmdmd2020 Tuesday, 01/16/18 10:51:22 AM
Re: Dmdmd2020 post# 504195
Post # of 505200



Good morning All

The following is my attempt to :

1) narrow down the exact participation percentage of all MBS Trusts (which WMI subsidiaries sponsored from 2000-2008), and I'm going to use many assumptions which will be backed up by some DD accumulated throughout this Wamu saga.

2) determine amount owed to Escrow Marker Holders (rightful beneficial owners of interests in residual Equity Tranches as well as Tranches senior to Residual Tranches)

________________________________

Per post #498320

"For those that want full details of how to value MBS the following lecture by the Yale professor is very enlightening:

https://m.youtube.com/watch?v=qbEsK92KpQI

Starting at:

13:47-- Historical percentage of Prepayment between 1986-1999 peaked at about 60%. Per JPM 2013 & 2014 annual reports, the percentage of Prepayment/liquidation was more than 76%. IMO...the $165 billion in MBS is probably a lot more than 76% liquidated by now! Which means that liquidated funds are all in cash!


24:27--Model of Prepayment

51:00--What happens to mortgage value as interest rates decrease?

Mortgage value increases as interest rates decrease.

56:06-- Hedging

If you have 75 minutes to spare...it's a great video to watch.

IMO...this is an example of how financial instruments like MBS can make people rich beyond their wildest dreams if you knew that interest rates were going to be at all time lows (I think Bonderman et al. knew exactly where the interest rates were going...and they knew how much profit they can garner)! "

______________

IMO...Conclusion:

1) Historically, September 1993 had a maximum of 60% prepayment of loans, which means that mortgages under MBS Trusts would be liquidated if prepaid.

2) Historical 30 year fixed mortgage rates

https://www.hsh.com/monthly-mortgage-rates.html

September 1993 = 6.919%

September 2008 = 6.646%

The interest rates are very similiar so I'm going to assume that 60% of all MBS Trusts were liquidated.

Therefore:

WMI subsidiaries securitized $692 billion into MBS Trusts from 2000-2008

Liquidation in cash = $692 billion x 60% (estimate liquidated across all MBS Trusts) = $415.2 billion

From post #504195:

"1) As of the seizure (September 25, 2008), WMI had a total of $35,774,139,000 by virtue of total assets from MBS Trusts Assets (which only include assets from tranches senior to "Residual" tranches) "

$35,774,139,000 / $415,200,000,000 = 0.08616 or 8.616% participation in all MBS Trusts

IMO....ultimate conclusions:

1) WMI participating interests in all MBS is between 5.16% to 8.61% (estimated for numbers in September 2008)

If 100% of all MBS Trusts were liquidated on September 2008:

$692 billion x 5.16% = $35.7072 billion (no compounded interest included)

If 60% of all MBS Trusts were liquidated on September 2008:

$692 billion x 8.61% = $59.5812 billion (no compounded interest included)


The residual amount might be bigger than expected because losses were probably mitigated by the trustees of each MBS Trust by virtue of CDS (Credit Default Swaps).

Watch the movie : "The Big Short" which illustrates how DB made money off of Credit Default Swaps.

The residual amount would also increase due to Interest Rate Swaps

https://m.youtube.com/watch?v=uVq384nqWqg

and NIMS (Net Interest Margin Securities).



"DEFINITION of 'Net Interest Margin Securities - NIMS'
A security that allows holders to access excess cash flows from securitized mortgage loan pools. In a typical net interest margin securities (NIMS) transaction, excess cash flows from the securitized mortgage loan pools are transferred to a trust account. Investors in NIMS receive interest payments from this trust account.

BREAKING DOWN 'Net Interest Margin Securities - NIMS'
The creation of NIMS is facilitated by the fact that numerous securitized mortgage pools contain subprime mortgages with interest rates that are much higher than the typical rates offered to mortgage-backed security (MBS) investors. The bigger the difference in these interest rates, the more the excess cash flows generated by the MBS and consequently the higher the value of the NIMS. Of course, the value of the NIMS can decline rapidly if there is a significant increase in the default rate of the mortgages held in the MBS, and a subsequent decrease in excess cash flows."


Keep in mind that interest rates went to all time lows:

January 2008 = 6.244%

September 2008 = 6.646%

August 2016 = 3.552%"

_________________________________________________________________

January 18, 2018: WMIIC was dissolved.

IMO...MBS Trusts under DB ($166 billion) will hopefully start to pay cash flows to MBS Trust investors (Senior tranches and residual equity tranches [WMI Escrow Marker Holders])from MBS Trusts that have already been liquidated in cash.