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Abstract
Nonconforming Residential Mortgage-Backed Securities (NC RMBSs) in the United Kingdom form one of the larger and more liquid securitized products markets in Europe. In this article, the authors describe an econometric prepayment and default model that Citi has developed for obtaining collateral cash flow projections and loss-adjusted valuation measures for NC RMBSs.
They start by providing an overview of the U.K.mortgage market and discuss recent trends in housing and mortgage performance. They then discuss the key drivers of prepayments and defaults and describe the formulation of the model. The last section uses the model to analyze NC RMBSs.
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