Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Abstract
This article focuses on some of the less discussed flaws in the securitization process. In particular, the authors focus on: 1) the enforcement of representation and warranty violations, 2) defects in the deal closing process, and 3) defective transaction surveillance and reporting. The authors make the case that, even if you knew the prepayment rates, default transition rates and severities, you could not necessarily determine the cash flows and hence the yield on the security. Even if the deal modeling is correct (and, as the authors have shown, there can be issues) and the documents are internally consistent, there is a total lack of transparency in reporting on modifications and liquidations. More irritating, it is very difficult to tie out the cash coming into the deal with what is actually distributed to investors.
TOPICS: MBS and residential mortgage loans, CMBS and commercial mortgage loans
- Copyright © 2010 Amherst Securities Group LP. All rights reserved. Not to be reproduced or redistributed without permission.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600