Structural Features of Australian Residential Mortgage-backed Securities

Karl Stacey, Ivailo Arsov and In Song Kim
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Karl Stacey: Reserve Bank of Australia
Ivailo Arsov: Reserve Bank of Australia
In Song Kim: Reserve Bank of Australia

RBA Bulletin (Print copy discontinued), 2015, 43-58

Abstract: This article provides a summary of structural features typically found in Australian residential mortgage-backed securities and their evolution over the past decade. Understanding the structural features of the securities is essential to the effective risk management and valuation of the securities because these features determine how the risks of the securitised mortgages are borne by the different investors in the securities.

Keywords: Securitisation; Residential Mortgage Backed Security; Cash Flow Waterfall; Lenders Mortgage Insurance; Credit Enhancement; Tranching; Clean-up Call; Serial Paydown; Liquidity Support; Weighted Average Life (search for similar items in EconPapers)
Date: 2015
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