B*M
发帖数: 1340 | |
P*****s
发帖数: 758 | |
h****n
发帖数: 336 | 3 I think structure wise, cashflow waterfall should be the same. Maybe there's
difference in credit enhancement?
So far I've seem different treatment of Agency and non-Agency in applying
risk capital haircut. |
B*M
发帖数: 1340 | 4 不是，是我自己想的，
【在 P*****s 的大作中提到】
: 面试题？
|
B*M
发帖数: 1340 | 5 这里就数您老最懂mbs了，
credit enhancement和risk capital haircut是啥？
's
【在 h****n 的大作中提到】
: I think structure wise, cashflow waterfall should be the same. Maybe there's
: difference in credit enhancement?
: So far I've seem different treatment of Agency and non-Agency in applying
: risk capital haircut.
|
h****n
发帖数: 336 | 6 人家打酱油路过顺便答题的，不带这样笑话人家的。
回正题：我不是专攻MBS的。risk capital haircut should be the upfront fee
charge based on credit profile of issuer. So that's why I suspect non-agency
would take more credit enhancement in structuring.
【在 B*M 的大作中提到】
: 这里就数您老最懂mbs了，
: credit enhancement和risk capital haircut是啥？
:
: 's
|
q*****g
发帖数: 72 | 7 agency mbs has no default risk.
agency
【在 h****n 的大作中提到】
: 人家打酱油路过顺便答题的，不带这样笑话人家的。
: 回正题：我不是专攻MBS的。risk capital haircut should be the upfront fee
: charge based on credit profile of issuer. So that's why I suspect non-agency
: would take more credit enhancement in structuring.
|
t******t
发帖数: 40 | 8 Credit enhancement is obviously an standard definition in fixed income.
There are 2 types, internal, which mainly is about super/sub or shift-
interest structures in the deal, and external, which is mainly about getting
insurance from other firms, say, AIG or MBIA.
I am not sure of Risk capital haircut you mentioned. If you mean the risk
retention for insurer, then I get your point. The new reform bill requires
explicitly 5% of risk must be taken by insurers, but how to implement this
requirement is in high debate and not clear yet.
There are a bunch of differences between Agency and Non-agency. Of those the
most important one is how to handle default risk. If you really want to
know something about RMBS, you'd better read reference books. Here is not a
good place to discuss.
【在 B*M 的大作中提到】
: 这里就数您老最懂mbs了，
: credit enhancement和risk capital haircut是啥？
:
: 's
|
k*****a
发帖数: 7389 | 9 wrong
【在 q*****g 的大作中提到】
: agency mbs has no default risk.
:
: agency
|
q*****g
发帖数: 72 | 10 please advise
【在 k*****a 的大作中提到】
: wrong
|
