Prepayment Analysis of Residential Mortgage Backed Securities for Indian Securitization Market

24 Pages Posted: 6 Feb 2008

See all articles by Gireesh

Gireesh

IMT Ghaziabad

K. C. Iyer

Indian Institute of Technology (IIT), Delhi

Date Written: February 3, 2008

Abstract

Residential Mortgage Backed Securities are gaining momentum in India, as the same are likely to be listed and traded in public domain. This has prompted the analysis of different aspects of pricing its products. Various risk elements control the prices of these products and prepayment is one of the most critical of them. This paper attempts to identify and analyze two factors i.e seasonality and seasoning, contributing to the prepayment risk associated with the residential mortgage backed securities in Indian market where the underlying asset is based on retail housing loans to the individuals in India. The data collected pertained to existing pools securitized in recent past. Unlike the pattern observed in the developed economies, this study indicates that the prepayment does not significantly change in different months or seasons of a year. However, the ageing of pools (seasoning) has significant impact on prepayments, which is in consonance with the developed economies. The prepayments have shown a declining trend with age.

Keywords: Prepayment, Securitized Instruments, Residential Mortgage Backed Securitization

Suggested Citation

Tripathi, Gireesh Chandra and Iyer, K. Chandrashekhar, Prepayment Analysis of Residential Mortgage Backed Securities for Indian Securitization Market (February 3, 2008). Available at SSRN: https://ssrn.com/abstract=1090013 or http://dx.doi.org/10.2139/ssrn.1090013

Gireesh Chandra Tripathi (Contact Author)

IMT Ghaziabad ( email )

Raj Nagar
Hapur Road
Ghaziabad, Uttar Pradesh 201001
India

K. Chandrashekhar Iyer

Indian Institute of Technology (IIT), Delhi ( email )

Hauz Khas
New Delhi, Delhi 110016
India

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
437
Abstract Views
2,256
rank
68,891
PlumX Metrics