You swap the word structure for bet, i.e, like these are mortgages with versus bad bets that are being called before the “fat yield” bait is dumped on to some idiot that thought the structure was backed by some theoretical AAA rating from some bozo paid off by a shill like you!

Re: Static pool data, if available, is compiled by
taking a discrete period of originations of the originator, such as a
financial quarter, and that pool’s performance is tracked on a monthly
basis as the loans amortize, particularly focusing on loans which have
been outstanding (seasoned) 18-24 months and have been substantially
paid down. This allows a determination of the shape of the loss curve
and project timing of losses to be made. The cumulative net loss on the
less seasoned pools can then be extrapolated from the older pools.
Static pool data is preferred over active pool data, which can mask
losses during periods when the originator’s pool of loans is rapidly
growing.

Keep digging for older issues mate and then go into other layers!

http://www.cdcixis-na.com/abs/collateral/2004-HE3-012507.html

As I indicated, I don’t have access to the underlying research, and I always feel a bit exposed when I rely on third party comments (unless the analysis is pretty straightforward).

Even if you don’t agree with the CreditSights methodology (or more cynically, perhaps they chose to publicize a metric that would lead to more dramatic-sounding findings) does that invalidate their logic?

And right now Persian Gulf countries are putting their cash to work through newly minted sovereign wealth funds (SWFs), which operate much like state owned hedge funds or private equity groups.

In the past six months alone, Middle Eastern SWFs have doled out serious cash for stakes in major international corporations. Just take a look:

Nov. 27: Abu Dhabi pours $7.5 billion into ailing Citigroup Inc. (C), which recently lost its status as largest bank by market capitalization to Bank of America Corp. (BAC).
Nov. 26: Dubai International Capital, a state-owned holding company, acquired an undisclosed stake in Japan’s electronics and media juggernaut Sony Corp. (SNE).
Nov. 16: Abu Dhabi invested $622 million (an 8.1% stake) in California-based microchip-maker Advanced Micro Devices Inc. (AMD).
Oct. 20: Dubai International Capital agreed to invest $1.26 billion in the initial public offering of hedge fund Och-Ziff Capital Management Group LLC (OZM).
Aug. 22: Dubai World, another investment arm of the state, plunked down $5.1 billion for a 9.5% stake in MGM Mirage (MGM).
Aug. 14: Istithmar, part of Dubai World, was cleared to buy Barneys New York Inc. for $942.3 million from Jones Apparel Group Inc. (JNY).
May 21: General Electric (GE) sold its plastics division to Saudi Basic Industries Corp. – the country’s largest public company, though 70% owned by the government – for $11.6 billion.

Legally, a CMO is termed a special purpose entity that is wholly separate from the institution(s) that create it) for the last two and a half years and it may have sold about $100 billion in CMO’s in that period, according to ABAlert.

As such, synthetic derivatives are almost never consolidated on the books and therefore, these bad bets are impacting future value to a degree never imagined in any risk models!