No Loan Default – Understanding Monthly Certificateholder Statements/MBS Investor Reporting
By Daniel Edstrom
DTC Systems, Inc.
Every month public and private securitized trusts provide statements reporting aggregate financial information to investors, ratings agencies, consultants, and any other interested party. These statements provide financial accounting information for the MBS pool including each tranche and in many cases details down to the loan level.
While these statements vary among the different transaction parties, there are many similarities. Typically these statements are issued by entities such as Wells Fargo Bank, Deutsche Bank, The Bank of New York Mellon, OneWest Bank, and many others.
The first page usually names the deal and the contact information for the party providing the statement, as well as various deal dates (Cut-Off Date, Close Date, First Distribution Date, etc.). In this case the External Parties are listed as follows:
- Seller: Goldman Sachs Mortgage Securities
- Servicer(s): BAC Home Loans Servicing LP
- Underwriter(s): Goldman Sachs & Co.
- Swap Counterparty: Goldman Sachs Capital Markets LP
Before we get into Servicer advances of principal and interest we will look at the class tranches, payments of principal and interest on the certificates, and the allocation of realized losses.