KIC000022 - Cash Flow for Nonagency MBS .:. In agency MBS,...

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Cash Flow for Nonagency MBS .:. In agency MBS, the cash flow is not affected by . defaults in the sense that they result in a reduction in the principal to some bond class. );> Rather, defaulted principal is made up by the agency as part of its guarantee . •:. for a non agency MBS, one or more bond classes may be affected by defaults, and therefore, defaults must be taken into aCCDunL in estimating the cash flow. Cash Flow for Nonagency MBS (continued) .:. Measuring Default Rates )- There are two measures used for quantifying default rates for a loan pool: conditional default rate and cumulative default rate. >- The conditional default rate (CDR) is the annualized value of the unpaid principal balance of newly defaulted loans over the course of a month as a percentage of the unpaid balance of the pool (before scheduled principal payment) at the beginning of the month. Cash Flow for Nonagency MBS (continued) .:. Measuring Default Rates r The CDR calculerion
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This note was uploaded on 09/06/2011 for the course FIN 428 taught by Professor Hood during the Fall '11 term at Iowa State.

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KIC000022 - Cash Flow for Nonagency MBS .:. In agency MBS,...

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