Questions tagged [securitization]

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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
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19 views

What type of analysis to perform on loan originator?

I'm new to structured credit, I'm looking for the process or type of analysis we can perform on a loan originator before buying an ABS ? What are the most important informations to look at ? thanks
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27 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 ...
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58 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
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61 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). ...
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106 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 ...
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69 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 ...
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49 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, ...
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43 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....