Subprime Mortgage Credit Derivatives
by LAURIE S. GOODMAN, SHUMIN LI, DOUGLAS J. LUCAS, THOMAS A. ZIMMERMAN, FRANK J. FABOZZI
Contents
Overview of the Nonagency Mortgage Market
Roots of the 2007–2008 Subprime Crisis
Defining Characteristics of Nonagency Mortgages
Agency versus Nonagency Execution
Concepts and Measurements of Mortgage Credit
The End Game: Foreclosure, REO Timeline, and Severity
The Role of Unobservable in 2006 Subprime Mortgage Credit
Features of Excess Spread/Overcollateralization:
The Principle Subprime Structure
Excess Spread-Based Credit Enhancement
Subprime Triggers and Step-Downs
BBB Stack (on the Knife's Edge)
Effect of Triggers and the Loss Waterline
Sampling the Subprime Universe
2000–2003 Deal Step-Down Summary
Credit Default Swaps on Mortgage Securities
Introduction to Credit Default Swap on ABS CDS
Corporate CDS Fundamentals and Terminology
Differences Between Corporate CDS and ABS CDS