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EVT


Total Posts: 105
Joined: Feb 2005
 
Posted: 2005-11-18 22:53
2 questions

Can anyone tell me the difference between RMBS and MBS and does anyone have a guide on either MBS and RMBS??

chiral3
Founding Member

Total Posts: 4985
Joined: Mar 2004
 
Posted: 2005-11-19 01:38

The two are synonymous.  If someone says MBS it is assumed to be RMBS.  Where there may become a distinction is CMBS or, more generally in the securitized world, CLO, CMO, etc.

There aren't really any guides.  Some may say check Fabozzi, but I think that is a waste of time.  Googling would be good.  Also, Moody's and SnP will have special reports on MBS.  FRM, ARM, CMBS, REIT, IO & PO, different structures (Super Senior, Turbo, OC, etc. + different waterfalls etc)  Banks will have internal guides on pricing, prepayment, default, hedging, tranche arbs, etc.  Solly was really the first, so their original white papers float around and are still relevant.

I am also assuming that you are talking about the US.  If you mean EUR, things are a bit different.  Also, in EUR, I understand the asset classes are mixed, so MBS+CMBS=MBS + other things I don't know.


Nonius is Satoshi Nakamoto. 物の哀れ

Anthis
It's all Greek to me

Total Posts: 1180
Joined: Jul 2004
 
Posted: 2005-11-19 17:30

I have the impression that MBS is a subset of ABS, and MBS=RMBS+CMBS.

Also, in EUR, I understand the asset classes are mixed, so MBS+CMBS=MBS + other things I don't know.

If a structure contains a mix of morgages, some small business loans, a flavour credit card debt, and a dash of car loans, sounds like a soup to me Big Smile


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chiral3
Founding Member

Total Posts: 4985
Joined: Mar 2004
 
Posted: 2005-11-19 18:34
Not soup. That sounds like a CDO sans CDS.  Any mixture of non-synthetic receivable would be CDO/CLO.  In US RMBS and CMBS are not structured together.  The resi market is so huge anyway.  However, from some UK exposure that I have had in terms of default modelling , that seems to happen over there. 

Nonius is Satoshi Nakamoto. 物の哀れ

hammerbacher


Total Posts: 189
Joined: Aug 2005
 
Posted: 2005-11-21 22:20

EVT,

we've got some in-house guides at my bank that are really good because they're dense, but i don't know if they're available online.  most of the information can be found in the tome by hayre (here), but not sure if it's worth the purchase, because as c3 said, google's got most of it.  here's a particularly good paper called "The ABCs of HELs" by some guys at Lehman that looks at every aspect of the HEL market (a subset of MBS where credit matters).  once you get a hang of pass-throughs, PACs, TACs, companion classes, IOs, Z-bonds, VADMs, floaters and inverse floaters (popular CMO structures), then the HEL paper will put it all together nicely in a detailed case-study of a particular (growing) corner of the market.

also, if interested, i've been collecting MBS papers and will be putting together a BiBTeX catalogue in the next few weeks.

jeff

edit: forgot i had this.  some guy's thesis that is basically an introduction to MBS.  haven't read it, but judging from the table of contents, it at least mentions the important stuff.


Martingale
NP House Mouse

Total Posts: 2629
Joined: Jun 2004
 
Posted: 2005-11-21 22:28
in similar fashion, any interesting sheah on CDOs on ABS? 

EVT


Total Posts: 105
Joined: Feb 2005
 
Posted: 2005-11-22 23:18
thanks guys

EVT


Total Posts: 105
Joined: Feb 2005
 
Posted: 2005-12-07 23:22
Does anyone have the ML Guide to International Mortgage Markets and Mortgage Backed Securities??

Tradenator


Total Posts: 1578
Joined: Sep 2006
 
Posted: 2016-05-18 17:26
I have a mortgage fund (UK) that tries to be pretty safe with lending: buy-to-let, 50%LTV, right of first legal charge over properties, interest only, floating rate tied to the BOE base rate, selected areas of UK and Channel Islands. Our auditor has suggested that we need to model the effect of a fire sale of assets on the unit price, as if we sold a chunk of the loan book into a distressed RMBS market because we needed fund liquidity.

Can anyone suggest a simple index to use for this? Any other ideas for a simple approach? Thanks.

Martinghoul


Total Posts: 850
Joined: Oct 2008
 
Posted: 2016-05-18 19:20
I am not an expert by any stretch of the imagination, but if you wanted to do simple historical stress tests, BBG has some Barclays indices which may (or may not) help. There are some for total return and one that I could find for the OAS for UK prime AAA RMBS.

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...

Tradenator


Total Posts: 1578
Joined: Sep 2006
 
Posted: 2016-05-18 20:05
Thanks, I saw that one too but do not have a subscription to their data. I guess I should contact them about it.

Cheng


Total Posts: 2818
Joined: Feb 2005
 
Posted: 2016-05-19 08:57
MarkIt's Totem service might be helpful (gives you pricings for all kinds of structured credit stuff) but you need someone who contributes to get prices.

"He's man, he's a kid / Wanna bang with you / Headbanging man" (Grave Digger, Headbanging Man)

Tradenator


Total Posts: 1578
Joined: Sep 2006
 
Posted: 2016-05-23 15:38
Barclays wanted GBP25k for their index data (50k via Bloomberg). That's a no-go.

I have send a note to Markit (thank you, Cheng) to ask/beg for the data on UK prime RMBS, but am not very hopeful. What we need is a sci-hub.org for data!

Martinghoul, what was the ticker for the OAS data you found?

Martinghoul


Total Posts: 850
Joined: Oct 2008
 
Posted: 2016-05-23 16:18
BFPRLOS Index

Not even sure it makes 100% sense, to be honest, but it's there.

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...

Tradenator


Total Posts: 1578
Joined: Sep 2006
 
Posted: 2016-05-23 17:31
Thanks, but that is one of their subscription products.

Fitch also seems to have some data but it is also restricted unless you pay.

Martinghoul


Total Posts: 850
Joined: Oct 2008
 
Posted: 2016-05-25 17:32
Ah, OK... I have found some other series in JPM's DataQuery, but I think that's really scraping the bottom of the barrel now.

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...

Tradenator


Total Posts: 1578
Joined: Sep 2006
 
Posted: 2016-06-04 10:53
Data received, many thanks! You know who you are... Worship

Rookie_Quant


Total Posts: 732
Joined: Jun 2004
 
Posted: 2016-06-10 04:55
I asked my MarkIt rep about Totem data and either its secret or he's stupid. I tend to favor the latter, but its annoying nontheless.

Why is it so hard to find reference pools for old CDO/CLOs? Head against Wall

"These metaphors and similes aint similar to them, not at all." -Eminem

rowdyroddypiper
NP Wrestling Champion

Total Posts: 1172
Joined: Apr 2004
 
Posted: 2016-06-10 11:04
@rq - for free or in general? WSA, Intex and then a few smaller have pretty extensive libraries. The downside is they aren't free or even approaching cheap. I might be able to pull some specific names if you like.

Revolution to the mean

Rookie_Quant


Total Posts: 732
Joined: Jun 2004
 
Posted: 2016-06-11 20:32
@rrp,

I have no delusions of quality/breadth for free, but I was a but surprised just how much some of the things were. The closest thing I've found thus far is the creditflux data, but it will be quite unruly for what I hope to achieve.

Of course what I really need is not RMBS stuff, but corporate CDO/CLO (cash and/or synthetic) reference pools. I dont really even need any loan-level data as I can get that elsewhere. Without saying too much, I'm looking at some dissertation work in this area, looking at loan pools and heterogeneity in deal structures- something that seems under-covered in the literature. All I've ever read puts 100% of CDO/CLOs in a single, homogeneous group.

I'll drop you an email and if something is workable, great, and if not, no problem of course.

"These metaphors and similes aint similar to them, not at all." -Eminem

CFloon


Total Posts: 78
Joined: Jul 2007
 
Posted: 2016-08-05 16:50
There are some Fabozzi sources that are excellent, however they may be out of print.
"Managing MBS Portfolios," Fabozzi &Yuen
"CMO Portfolio Management" Fabozzi, (there's even one contributing article by Cliff Asness, heh heh)
These books are very helpful.
HTH

"There probably isn't any meaning in life. Perhaps you can find something interesting to do while you are alive. Like how you found that flower. Like how I found you."
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