Structured Products / Research paper
I'm working on a research paper regarding Structured products and was hoping to know what data points do banks/investors use to purchase ABS and RMBS securities. Also who conducts due diligence on the accuracy of the data ?
From the context provided, it's clear that banks and investors use a variety of data points when considering the purchase of ABS (Asset-Backed Securities) and RMBS (Residential Mortgage-Backed Securities). However, the specific data points aren't mentioned in the context.
As for due diligence, the context mentions that at MBB (McKinsey, BCG, Bain), they focus on commercial due diligence for the PE fund. This includes industry analysis, competitive dynamics, customer analysis, and end-user analysis. They also handle tasks like market sizing estimates and other ad hoc requests.
However, it's important to note that this information is general and may not directly apply to the due diligence process for ABS and RMBS securities. For more specific information, you might want to look into resources that focus on these types of securities.
I hope this helps, and good luck with your research paper!
There are historical loan level details in similar asset class and shelfs that will be used. Collateral characteristics, dq roll rates, prepay speeds, default & recovery curves are examples. Different asset deals are priced in market certain ways (30 cpr, yield to call, ytm). Rmbs is negatively convex, so assumptions significantly differ here. Thats very very very high level
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