Subprime mortgage credit derivatives:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2008
|
| Series: | The Frank J. Fabozzi series
|
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Physical Description: | 334 S. graph. Darst. |
| ISBN: | 9780470243664 |
Staff View
MARC
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Record in the Search Index
| _version_ | 1804137810606686208 |
|---|---|
| adam_text | Contents
Preface
хШ
About the Authors
xv
PARTO«
Mortgage Credit
1
CHAPTffli
Overview of the Nonagency Mortgage Market
3
Issuance Volumes
5
Roots of the
2007-2008
Subprime
Crisis
5
Defining Characteristics of Nonagency Mortgages
9
Loan Characteristics
9
Risk Layering
18
Agency versus Nonagency Execution
22
Summary
23
CHAPTBtZ
rVstUen Mortgage
Cre*t
27
Concepts and Measurements of Mortgage Credit
28
Collateral Characteristics and Mortgage Credit:
Assault of the Four Cs in
2006
(Credit, Collateral,
Capacity, and Character)
35
The End Game: Foreclosure,
REO
Timeline, and Severity
46
The Role of Unobservable in
2006
Subprime
Mortgage Credit
62
CHAPTERS
SecandUenMortp^eCredt
73
Two Types of Seconds ^
Higher Risks in Seconds
·*
Recent Performance
80
Viii CONTENTS
Why
Higher
Losses?
80
Summary
81
Mortgage Securffizations
87
CHAPTER
4
Features of Excess Spread/Ouercollateralization:
The Principle Subprime Structure
88
Excess Spread-Based Credit Enhancement
90
OC in
Alt-A-Land
97
ОС
Internal Workings
103
Summary
110
CHAPTERS
Subprime
Triggers and Step-Downs 111
The Step-Down and the Trigger 111
BBB Stack
(
on the Knife s Edge)
116
Effect of Triggers and the Loss
Waterline 117
Sampling the
Subprime
Universe
118
2000-2003
Deal Step-Down Summary
118
Step-Down and Credit Effects
119
Summary
122
НШГЇИЩ
Credit Default Swaps on Mortgage Securities
123
chapter
6
introduction
to Credit Default Swap on
ABS CDS 125
Corporate CDS Fundamentals and Terminology
125
Differences Between Corporate CDS and
ABS CDS 128
Difficulties in
ABS CDS 131
ABS CDS
Effect on
ABS CDO
Management
141
Two New Types of
ABS
CDOs
142
Summary
143
Contents
__________________________________________________________________
ЇХ
CHAPTER
7
The ABX and TABX Indices
145
Background
145
How a Deal Gets into the Index
146
Index Mechanics
149
Index Pricing Over Time
152
ABX Tranche Trading
156
TABX Pricing
157
TABX versus CDOs
159
Summary
160
CHAPTER
8
Relationship among Cash, ABCDS, and the ABX
161
Fundamental Contractual Differences
—
Single-Name ABCDS/ABX Index/Cash
162
Supply/Demand Technicals
168
What Keeps the Arbitrage from Going Away?
171
Summary
173
Appendix: Importance of ABCDS to CDO Managers
173
CHAPTER
9
Credit Default Swaps on CDOs
177
CDO CDS Nomenclature
178
CDO Credit Problems and their Consequences
179
Alternative Interest Cap Options
182
Miscellaneous Terms
185
Cash CDO versus CDO CDS
186
Exiting a CDO CDS
187
Rating Agency Concerns on CDOs that
Sell Protection via CDO CDS
188
Summary
189
PART-FOUR
.................-.......................... .
.,..-,.^,,---^,.--,; ,-..-..^
■_--..-.---.-.:■
Loss Projection and Security Valuation
191
chapter
io
Loss Projection for
Subppime,fllt-fl,
and
Secofldüen
Mortgages
193
Two Ways of Projecting Loss
Default Timing 194
CONTENTS
Steps in
Predicting Collatal Losses
195
Pros and Cons of the Default Timing Curve
201
Historical Model Fit versus Actual
201
Default Timing Is Not Equal to Loss Timing
203
An Alternative Specification
203
Alt
-А
and Closed-End Seconds
206
Summary
209
CHAPTER
11
Valuing the
ДВХ
211
Review of Basic Valuation for ABX Indices
211
Review of Valuation Approaches
212
Econometric Approach
214
ABX Valuation
234
The Simple or Do-It-Yourself Approach to ABX Valuation
239
ABX After
Subprime
Shutdown
254
Summary
259
Appendix: Results of Original Base Pricing
(And Number of Bonds Written Down) and the
New Shutdown Estimates
260
CHAPTER
12
ABS
CDO Losses and Valuation
269
The Mortgage Loan-Mortgage Bond-ABS CDO Chain
270
Mortgage Deal Losses
270
Subprime
Mortgage Bond Losses
273
Alt-A, Second Lien, and Prime Mortgage Bond Losses
276
Aggregating Mortgage Bond Losses in
2006-7
Mezzanine
ABS
CDOs
276
Aggregating Mortgage Bond Losses in
2005
Mezzanine
ABS
CDOs
283
Drivers of CDO Losses and the Role of the Manager
284
ABS CDO
Valuation and CDO Structure
288
Summary
291
ContentsXi
Subprime
Meltdown
233
CHAPTER
13
The Great Subppime niteltdown of
2007 205
An Earlier
Subprime
Crisis
296
The Virtuous Cycle
299
Early-Pay Defaults: The First Hint Things Were Changing
301
The
2006
Conundrum
303
Banking Regulators: Not Too Little but Too Late
308
Who Will Rescue the
Subprime
Borrower?
312
Is Securitization the Villain?
312
Lack of Transparency
316
Spillover
317
Future for
Subprime
317
Index
319
|
| adam_txt |
Contents
Preface
хШ
About the Authors
xv
PARTO«
Mortgage Credit
1
CHAPTffli
Overview of the Nonagency Mortgage Market
3
Issuance Volumes
5
Roots of the
2007-2008
Subprime
Crisis
5
Defining Characteristics of Nonagency Mortgages
9
Loan Characteristics
9
Risk Layering
18
Agency versus Nonagency Execution
22
Summary
23
CHAPTBtZ
rVstUen Mortgage
Cre*t
27
Concepts and Measurements of Mortgage Credit
28
Collateral Characteristics and Mortgage Credit:
Assault of the Four Cs in
2006
(Credit, Collateral,
Capacity, and Character)
35
The End Game: Foreclosure,
REO
Timeline, and Severity
46
The Role of Unobservable in
2006
Subprime
Mortgage Credit
62
CHAPTERS
SecandUenMortp^eCredt
73
Two Types of Seconds '^
Higher Risks in Seconds
'·*
Recent Performance
80
Viii CONTENTS
Why
Higher
Losses?
80
Summary
81
Mortgage Securffizations
87
CHAPTER
4
Features of Excess Spread/Ouercollateralization:
The Principle Subprime Structure
88
Excess Spread-Based Credit Enhancement
90
OC in
Alt-A-Land
97
ОС
Internal Workings
103
Summary
110
CHAPTERS
Subprime
Triggers and Step-Downs 111
The Step-Down and the Trigger 111
BBB Stack
(
on the Knife's Edge)
116
Effect of Triggers and the Loss
Waterline 117
Sampling the
Subprime
Universe
118
2000-2003
Deal Step-Down Summary
118
Step-Down and Credit Effects
119
Summary
122
НШГЇИЩ
Credit Default Swaps on Mortgage Securities
123
chapter
6
introduction
to Credit Default Swap on
ABS CDS 125
Corporate CDS Fundamentals and Terminology
125
Differences Between Corporate CDS and
ABS CDS 128
Difficulties in
ABS CDS 131
ABS CDS
Effect on
ABS CDO
Management
141
Two New Types of
ABS
CDOs
142
Summary
143
Contents
_
ЇХ
CHAPTER
7
The ABX and TABX Indices
145
Background
145
How a Deal Gets into the Index
146
Index Mechanics
149
Index Pricing Over Time
152
ABX Tranche Trading
156
TABX Pricing
157
TABX versus CDOs
159
Summary
160
CHAPTER
8
Relationship among Cash, ABCDS, and the ABX
161
Fundamental Contractual Differences
—
Single-Name ABCDS/ABX Index/Cash
162
Supply/Demand Technicals
168
What Keeps the Arbitrage from Going Away?
171
Summary
173
Appendix: Importance of ABCDS to CDO Managers
173
CHAPTER
9
Credit Default Swaps on CDOs
177
CDO CDS Nomenclature
178
CDO Credit Problems and their Consequences
179
Alternative Interest Cap Options
182
Miscellaneous Terms
185
Cash CDO versus CDO CDS
186
Exiting a CDO CDS
187
Rating Agency Concerns on CDOs that
Sell Protection via CDO CDS
188
Summary
189
PART-FOUR
.-. .
.,.-,.^,,---^,.--,; ,-.-.^
■_--.-.---.-.:■
Loss Projection and Security Valuation
191
chapter
io
Loss Projection for
Subppime,fllt-fl,
and
Secofldüen
Mortgages
193
Two Ways of Projecting Loss
Default Timing 194
CONTENTS
Steps in
Predicting Collatal Losses
195
Pros and Cons of the Default Timing Curve
201
Historical Model Fit versus Actual
201
Default Timing Is Not Equal to Loss Timing
203
An Alternative Specification
203
Alt
-А
and Closed-End Seconds
206
Summary
209
CHAPTER
11
Valuing the
ДВХ
211
Review of Basic Valuation for ABX Indices
211
Review of Valuation Approaches
212
Econometric Approach
214
ABX Valuation
234
The "Simple" or Do-It-Yourself Approach to ABX Valuation
239
ABX After
Subprime
Shutdown
254
Summary
259
Appendix: Results of Original "Base" Pricing
(And Number of Bonds Written Down) and the
New "Shutdown" Estimates
260
CHAPTER
12
ABS
CDO Losses and Valuation
269
The Mortgage Loan-Mortgage Bond-ABS CDO Chain
270
Mortgage Deal Losses
270
Subprime
Mortgage Bond Losses
273
Alt-A, Second Lien, and Prime Mortgage Bond Losses
276
Aggregating Mortgage Bond Losses in
2006-7
Mezzanine
ABS
CDOs
276
Aggregating Mortgage Bond Losses in
2005
Mezzanine
ABS
CDOs
283
Drivers of CDO Losses and the Role of the Manager
284
ABS CDO
Valuation and CDO Structure
288
Summary
291
ContentsXi
Subprime
Meltdown
233
CHAPTER
13
The Great Subppime niteltdown of
2007 205
An Earlier
Subprime
Crisis
296
The Virtuous Cycle
299
Early-Pay Defaults: The First Hint Things Were Changing
301
The
2006
Conundrum
303
Banking Regulators: Not Too Little but Too Late
308
Who Will Rescue the
Subprime
Borrower?
312
Is Securitization the Villain?
312
Lack of Transparency
316
Spillover
317
Future for
Subprime
317
Index
319 |
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| geographic | USA USA (DE-588)4078704-7 gnd |
| geographic_facet | USA |
| id | DE-604.BV023418854 |
| illustrated | Illustrated |
| index_date | 2024-07-02T21:30:24Z |
| indexdate | 2024-07-09T21:18:13Z |
| institution | BVB |
| isbn | 9780470243664 |
| language | English |
| lccn | 2008014507 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016601326 |
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| owner_facet | DE-92 DE-Aug4 DE-355 DE-BY-UBR DE-945 DE-20 DE-11 |
| physical | 334 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | Subprime mortgage credit derivatives Laurie S. Goodman ... Hoboken, NJ Wiley 2008 334 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Statistik Mortgage loans United States Mortgage loans United States Statistics Secondary mortgage market United States Mortgage-Backed Security (DE-588)4593741-2 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Hypothekarkredit (DE-588)4161146-9 gnd rswk-swf USA USA (DE-588)4078704-7 gnd rswk-swf USA (DE-588)4078704-7 g Kreditmarkt (DE-588)4073788-3 s Hypothekarkredit (DE-588)4161146-9 s DE-604 Kreditderivat (DE-588)7660453-6 s 1\p DE-604 Mortgage-Backed Security (DE-588)4593741-2 s 2\p DE-604 Goodman, Laurie S. Sonstige oth http://www.loc.gov/catdir/enhancements/fy0829/2008014507-d.html Publisher description Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016601326&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Subprime mortgage credit derivatives Statistik Mortgage loans United States Mortgage loans United States Statistics Secondary mortgage market United States Mortgage-Backed Security (DE-588)4593741-2 gnd Kreditmarkt (DE-588)4073788-3 gnd Kreditderivat (DE-588)7660453-6 gnd Hypothekarkredit (DE-588)4161146-9 gnd |
| subject_GND | (DE-588)4593741-2 (DE-588)4073788-3 (DE-588)7660453-6 (DE-588)4161146-9 (DE-588)4078704-7 |
| title | Subprime mortgage credit derivatives |
| title_auth | Subprime mortgage credit derivatives |
| title_exact_search | Subprime mortgage credit derivatives |
| title_exact_search_txtP | Subprime mortgage credit derivatives |
| title_full | Subprime mortgage credit derivatives Laurie S. Goodman ... |
| title_fullStr | Subprime mortgage credit derivatives Laurie S. Goodman ... |
| title_full_unstemmed | Subprime mortgage credit derivatives Laurie S. Goodman ... |
| title_short | Subprime mortgage credit derivatives |
| title_sort | subprime mortgage credit derivatives |
| topic | Statistik Mortgage loans United States Mortgage loans United States Statistics Secondary mortgage market United States Mortgage-Backed Security (DE-588)4593741-2 gnd Kreditmarkt (DE-588)4073788-3 gnd Kreditderivat (DE-588)7660453-6 gnd Hypothekarkredit (DE-588)4161146-9 gnd |
| topic_facet | Statistik Mortgage loans United States Mortgage loans United States Statistics Secondary mortgage market United States Mortgage-Backed Security Kreditmarkt Kreditderivat Hypothekarkredit USA |
| url | http://www.loc.gov/catdir/enhancements/fy0829/2008014507-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016601326&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT goodmanlauries subprimemortgagecreditderivatives |