Non-Agency Securitized: ABS, CMBS, Non-Agency MBS¶
One-line definition¶
Securitizations backed by collateral other than agency-guaranteed residential mortgages — auto loans, credit cards, student loans (ABS), commercial mortgages (CMBS), or residential mortgages without a government guarantee (non-agency/private-label MBS).
Key difference from agency MBS¶
No government guarantee means credit risk is real and priced — these structures use tranching (subordination) to redistribute credit risk: senior tranches are protected by junior/subordinate tranches absorbing losses first.
Why PMs care¶
Yield pickup versus agency MBS or Treasuries compensates for credit risk,
structural complexity, and typically worse liquidity — the same
"is this spread paying for real risk or just complexity/illiquidity"
question that applies to corporate credit (credit_curves.md).
Why this isn't implemented in src/pm¶
Tranche waterfall modeling (allocating collateral cash flows and losses
across a capital structure) is genuinely different machinery from the
pool-level pass-through math in mbs.py — this page is the conceptual
placeholder, not a working implementation.