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Re-REMICs: New and Improved

Laurie S Goodman, Roger Ashworth, Brian Landy and Ke Yin
The Journal of Fixed Income Winter 2010, 19 (3) 5-12; DOI: https://doi.org/10.3905/JFI.2010.19.3.005
Laurie S Goodman
is a senior managing director in MBS Strategy at Amherst Securities Group, LP in New York, NY.
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  • For correspondence: lgoodman@asglp.com
Roger Ashworth
is an analyst in MBS Strategy at Amherst Securities Group, LP in New York, NY.
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  • For correspondence: rashworth@asglp.com
Brian Landy
is a senior vice president in MBS Strategy at Amherst Securities Group, LP in New York, NY.
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  • For correspondence: blandy@asglp.com
Ke Yin
is a vice president in MBS Strategy at Amherst Securities Group, LP in New York, NY.
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  • For correspondence: kyin@asglp.com
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Abstract

Most of the RMBS securities originally purchased with an AAA rating and thought to have little or no credit risk have either been downgraded or are likely to be downgraded and will eventually take credit losses. These instruments no longer fit the needs of regulated institutions or of total return money managers and are mandated to manage only highly rated assets. By providing more credit support to the senior tranche through a re-REMIC structure, properly enhanced AAA securities that better meet the needs of investors can be created. These securities are priced very attractively as alternative investment opportunities.

TOPICS: MBS and residential mortgage loans, information providers/credit ratings, portfolio construction

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The Journal of Fixed Income
Vol. 19, Issue 3
Winter 2010
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Re-REMICs: New and Improved
Laurie S Goodman, Roger Ashworth, Brian Landy, Ke Yin
The Journal of Fixed Income Dec 2009, 19 (3) 5-12; DOI: 10.3905/JFI.2010.19.3.005

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Re-REMICs: New and Improved
Laurie S Goodman, Roger Ashworth, Brian Landy, Ke Yin
The Journal of Fixed Income Dec 2009, 19 (3) 5-12; DOI: 10.3905/JFI.2010.19.3.005
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  • Article
    • Abstract
    • THE VALUE OF A RE-REMIC
    • AN EXAMPLE
    • BULLETPROOF?
    • LIQUIDITY CONCERNS
    • WHY THIS RE-REMIC OPPORTUNITY?
    • FLEXIBILITY
    • WARNING: ALL RE-REMICs ARE NOT CREATED EQUAL
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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