Asset Backed Securitization at Frankfurt School of Finance & Management

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Exemplary flashcards for Asset Backed Securitization at the Frankfurt School of Finance & Management on StudySmarter:

Morgage Backed MBS Agency MBS

Exemplary flashcards for Asset Backed Securitization at the Frankfurt School of Finance & Management on StudySmarter:

Verbaler Unterschied Agency MBS vs. Private MBS und grundsätzlicher Aufbau MBS

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Verbriefung MBS
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Exemplary flashcards for Asset Backed Securitization at the Frankfurt School of Finance & Management on StudySmarter:

Fixed Rate Level Payment (MBS)

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Adjustable Rate Mortgage (ARM)

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was ist CPR bei MBS?

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Wie wird die CPR berechnet?
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Exemplary flashcards for Asset Backed Securitization at the Frankfurt School of Finance & Management on StudySmarter:

Cash Flow bei Agency MBS

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Unterscheidung Principal only vs interes only?

Exemplary flashcards for Asset Backed Securitization at the Frankfurt School of Finance & Management on StudySmarter:

Private MBS

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Merkmale Ausfalrisiko
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Collateral für ABS

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Exemplary flashcards for Asset Backed Securitization at the Frankfurt School of Finance & Management on StudySmarter:

Asset Backed Securitization

Morgage Backed MBS Agency MBS
Anleihen deren Zahlungsanspruch auf einem spezifischen Pool von GS beruht Agency MBS zusätzliche Garantie durch eine Agentur Private MBS nur das Recht auf die Zahlugnsströme des Portfolios

Asset Backed Securitization

Verbaler Unterschied Agency MBS vs. Private MBS und grundsätzlicher Aufbau MBS
Gründung einer Zweckgesellschaft (Special Purpose Vehicle (SPV)) Übertragung des Pools durch Verkauf (True Sale) oder dessen Risiken (syntheti-scher ABS) auf das SPV MBS: Zahlungsanspruch beruht auf einem spezifischen Pool von Grundschulden Agency MBS zusätzliche Garantie durch eine Agentur: Government National Mortgage Association (GNMA = Ginnie Mae) Federal National Mortgage Association ( FNMA = Fannie Mae) Federal Home Loan Mortgage Corporation (FHLMC = Freddie Mac) Kernrisiko: vorzeitige Rückzahlung (Wenn tranchiert in Principal Only und Interest Only)

Asset Backed Securitization

Verbriefung MBS
- Zusammenführung eines Portfolios - Gründung SPV - ÜBertragung des Pools durch Verkauf oder der Risiken auf das SPV - Nur Ansprüche des Investors auf den Pool

Asset Backed Securitization

Fixed Rate Level Payment (MBS)
- Fester Kupon - Konstante Periode - Laufzeit zwischen 20-30 jahren - Vorzeitige Tilgung möglich - Kein Kündigungsrecht Kreditgeber - Besicherung nicht klar definiert

Asset Backed Securitization

Adjustable Rate Mortgage (ARM)
- variable KUpon - Bewertung wie bei einem Floater über die Forwards - Problem Basisrisiko: variabler satz nicht euribor

Asset Backed Securitization

was ist CPR bei MBS?
- Conditional Prepayment Rate der Public Securities Association - dient als standard prepayment benchmark - ähnlich der sondertilgung in D

Asset Backed Securitization

Wie wird die CPR berechnet?
im ersten monat 0,2 % dann bis zum 30 Monat um 0,2 % steigend, dann mit 6 % stabil 6 % entspricht 100 % CPR veränderte Rahmenbedingungen werden dann über andere CPR zahlen beschrieben (zb. 200 %)

Asset Backed Securitization

Cash Flow bei Agency MBS
- Zinszahlung auf die aussteheden KReidte - Planmäßige Rückzahlung Kredite - Vorzeitige Rückzahlung der Kredite - Zahlungen Versichert da Agency

Asset Backed Securitization

Unterscheidung Principal only vs interes only?
- Principal bekommt rückzahlung (fallende Zinsen steigern marktwert da niedrigere diskontierungssatz) - Interest only bekommt nur zinsen (fallende Zinsen auswirkung nicht eindeutig)

Asset Backed Securitization

Private MBS
Zusätzliches Ausfallrisiko Besondere Kennzahlen wie u.a LTV und Seasoning (Alter der Immobilie)

Asset Backed Securitization

Merkmale Ausfalrisiko
Ausfälle meist nach zwei jahren nach einigen jahren fällt das ausfallrisiko wieder

Asset Backed Securitization

Collateral für ABS
- KOnsumenten Kredite - Kreditkartenforderungen - Leasing Forderungen

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