RT Journal Article
SR Electronic
T1 RMBS NIMS
JF The Journal of Structured Finance
FD Institutional Investor Journals
SP 65
OP 68
DO 10.3905/jsf.2007.684871
VO 13
IS 1
A1 Mark Zelmanovich
A1 Quincy Tang
A1 Sharon McGarvey
A1 Bernard Maas
YR 2007
UL https://pm-research.com/content/13/1/65.abstract
AB A net interest margin (NIM) securitization is essentially an interest only (IO) strip, with its cash flow derived from a transaction's net interest proceeds as well as from interest rate caps, corridors, and swaps, and, for most RMBS NIMs, prepayment penalty charges. Several factors can impact the amount of residual cash flow available to service NIM liabilities. These factors include collateral losses, the timing of losses, prepayment speeds, the interest rate environment, and structural features. NIM performance is heavily dependent on collateral performance in the early life of the transaction. Consequently, performance can be particularly vulnerable to sharp downturns in more credit sensitive sectors of the housing market.TOPICS: MBS and residential mortgage loans, CMBS and commercial mortgage loans