The Economics of a Trust, Every Month
Remittance data captures the full cash flow picture from borrower payments through bondholder distributions
Collections
Total principal and interest collected from borrowers. This is the top of the waterfall -- the cash that funds everything else in the structure.
Losses & Recoveries
Gross chargeoffs, net losses, and recovery amounts. Track loss severity trends and see how well servicers are liquidating repossessed vehicles.
Waterfall Distributions
How cash flows through the priority of payments: senior notes, subordinate tranches, servicer fees, and residual. See structural protections in action.
Credit Enhancement
Overcollateralization levels, reserve account balances, and excess spread. These structural cushions protect bondholders -- track whether they are building or eroding.
Sample Fields
Key remittance metrics extracted and normalized from each 10-D filing
| Field | Description | Type |
|---|---|---|
| Pool Factor | Ratio of current pool balance to original pool balance, showing how much of the pool remains | percent |
| Cumulative Loss Rate | Total net losses to date as a percentage of the original pool balance | percent |
| CNL | Cumulative net loss -- the standard benchmark for comparing trust performance across issuers and vintages | percent |
| Prepayment Speed (CPR/ABS) | Conditional prepayment rate or ABS prepayment speed, measuring how fast borrowers pay off loans early | percent |
| Servicer Advances | Amounts advanced by the servicer to cover shortfalls in collections, ensuring timely bondholder payments | currency |
| Excess Spread | Difference between weighted average coupon on the loans and the cost of the bonds, a key source of credit support | percent |
| Overcollateralization | Excess of pool balance over bond balance, providing a first-loss cushion for investors | currency |
| Reserve Account Balance | Cash held in the trust's reserve fund, available to cover losses or liquidity shortfalls | currency |
How Remittance Data Is Used
The building blocks for structured finance analysis, surveillance, and modeling
Waterfall Analysis
Trace how cash flows from collections through the priority of payments. Verify that triggers are met and credit enhancement is building as expected.
Loss Projection
Use historical CNL curves and current loss timing to project where a trust will land at maturity. Compare against rating agency base cases and stress scenarios.
Prepayment Modeling
Measure CPR and ABS speeds over time. Model how refinancing waves, interest rate changes, and seasonal patterns affect trust duration and yield.
Surveillance & Monitoring
Set up monthly tracking for overcollateralization, excess spread, and delinquency triggers. Get early warning when structural protections are thinning.
Relative Value
Compare remittance performance across deals from the same issuer or across issuers. Identify trusts that are outperforming or underperforming their cohort.
Servicer Evaluation
Track recovery rates, advance levels, and loss timing by servicer. Quantify which servicers extract more value from defaulted collateral.
Ready to Work with Remittance Data?
Pool-level cash flows, loss metrics, and structural data across 20+ auto ABS issuers, updated monthly from SEC filings.