"What is the TBA deliverable?" Lehman Brothers asked this question in a commentary last week, and the bank said that the answer is none too apparent as there may not be enough balance outstanding in the worst to deliver pools (WTD). WTD is usually what one would normally receive through TBA. In other words, it is not a given that WTD pools be delivered into TBA if the amount outstanding in these pools is insignificant.

As an example, analysts cited the fact that 2000 originations are the worst pools to be delivered in 7.0s. However, the amount outstanding is much less in the 2000 vintage compared to the 2001/2002 vintages.

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