RT Journal Article SR Electronic T1 The Multi-Million-Dollar Question JF The Journal of Structured Finance FD Institutional Investor Journals SP 60 OP 61 DO 10.3905/jsf.2007.684868 VO 13 IS 1 A1 Michael J. Wilberton YR 2007 UL https://pm-research.com/content/13/1/60.abstract AB The complexity of net interest margin (NIM) securities, coupled with the fact that they tend to be private placements, keeps this a rather thinly traded market, and frequently the NIMs that come to the secondary market do not trade as efficiently as other types of securities with similar complexity and risk. Risks for holders of NIMs relate to losses on the underlying portfolio, leverage of the transaction, prepayments, collateral performance, movements in the yield curve, and trading efficiency. The holder should question the NIM structure, current and expected over-collateralization levels, the seasoning of the deal, the step-down date, credit profiles of underlying borrowers, the percentage of collateral with fixed and floating rates, the average excess spread amount for fixed-rate collateral, the average reset date for floating-rate collateral, and prepayment, delinquency, recovery and loss rates.TOPICS: Credit risk management, volatility measures