RMBS: Assessing Value and Risk (US)

Introduction: A structured four-step approach to security specific analysis: purpose, payback, risks and structure, Applying the approach to prime, alt-a, and subprime RMBS securitizations Risks to Repayment: Key variables which impact the likelihood of default and severity of loss, Understanding RMBS collateral features: comparing prime, alt-a, and subprime, Types of servicers and their roles: primary, master and special, Servicer creditworthiness: challenges for servicers in the current environment Structure: Understanding and evaluating different types of CE, Waterfall structures: protecting priority of payments, valuing excess spread as credit enhancement in subprime RMBS, Assessing available funds caps risk and impact on investors, The state of the housing market and the consumer recession Monitoring Performance: Surveillance: evaluating and predicting collateral performance for prime, alt-a, and subprime transactions, Rating Agency downgrades vs. assessment of loss / recovery