Questions tagged [securitization]
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11 questions
2 votes
0 answers
92 views
Does the lowest tranche in a collateralized loan obligation have duration? If so, what it is?
In a Collateralized Loan Obligation, the lowest tranche ("equity CLO") bears most of the risk as it covers for any losses first and gets paid last -- it however has the highest upside since ...
- 21
2 votes
2 answers
339 views
MBS benchmarking
I am trying to find some resources online on how to perform mbs benchmarking, but I was unable to find anything. Could someone explain how to perform mbs benchmarking and provide some resources?
- 105
1 vote
1 answer
116 views
SOFR Transition for Future Flow Transactions [duplicate]
I’m looking for some papers/articles for the transition from LIBOR to SOFR for future flow transactions/securitizations (such as Diversified Payment Rights). Would be happy if you could share some as ...
0 votes
0 answers
104 views
Roll rate model building for a loan portfolio
I've a portfolio of a set of loans to analyse and I need to find the roll rate, Can someone explain the process of roll rate model building ? Thanks
- 696
0 votes
0 answers
70 views
Why isn't prepayment modelling done on actual prepaid amounts?
When modelling prepayments in Securitized products, why is it that the standard model involves a transition matrix (Markov Chain) framework, where the probabilities of transitioning between different ...
- 865
0 votes
1 answer
105 views
T- bond cash flows [closed]
a) without a frequency and T note start date how do I find the coupon dates and cash flows? b) is that calculated semi- annually? c) how do I find the number of days for the current period? Thanks
0 votes
1 answer
502 views
what is the difference between Interest-only/Principal-only securities and CMO strips?
In the definition available here It seems that both Interest-only/principal-only securities. Collateralized Mortgage Obligation Strips. are types of Stripped Mortgage-Backed Securities (SMBS). ...
- 111
0 votes
3 answers
327 views
Why are there no securitized cash dividends?
Some bond coupons are securitized and sold as strip bonds. Why can't stocks be similarly "stripped" to produce securitized dividend strips? Is it merely because there is no demand for such a ...
- 551
0 votes
0 answers
257 views
Any books on systematic investing in credit securitized products (RMBS, CLO)?
I'm looking for books/research papers that would have information on systematic strategies used in the Credit Securitized products space (specifically RMBS, CLO, etc.), if there are any? I've been ...
- 865
0 votes
0 answers
83 views
Can a bond be denominated in another security?
Could a bond be issued that's denominated in securities like ETF shares or stock shares? Of course most people would not want to buy it, but is it possible? I know it's possible to short a security, ...
- 111
1 vote
0 answers
115 views
What is a quick way to estimate the haircut on a collateral that is actively traded
If I have an traded asset like a bond with face value of 1 million, but currently trading at 0.9 million, can I simply say that the haircut, if I use this asset as a collateral for repo, is 1 - 0.9=0....
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