PT  - JOURNAL ARTICLE
AU  - Abhinav Kamra
AU  - Lakhbir Hayre
AU  - Sudhir Chiluveru
TI  - Modeling Prepayments and Defaults for U.K. Nonconforming RMBS
AID  - 10.3905/jfi.2012.22.1.061
DP  - 2012 Jun 30
TA  - The Journal of Fixed Income
PG  - 61--78
VI  - 22
IP  - 1
4099  - https://pm-research.com/content/22/1/61.short
4100  - https://pm-research.com/content/22/1/61.full
AB  - Nonconforming Residential Mortgage-Backed Securities (NC RMBSs) in the United Kingdom form one of the larger and more liquid securitized products markets in Europe. In this article, the authors describe an econometric prepayment and default model that Citi has developed for obtaining collateral cash flow projections and loss-adjusted valuation measures for NC RMBSs.They start by providing an overview of the U.K.mortgage market and discuss recent trends in housing and mortgage performance. They then discuss the key drivers of prepayments and defaults and describe the formulation of the model. The last section uses the model to analyze NC RMBSs.TOPICS: MBS and residential mortgage loans, factor-based models, developed markets [UK]