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Subprime Mortgage Credit Derivatives
book

Subprime Mortgage Credit Derivatives

by LAURIE S. GOODMAN, SHUMIN LI, DOUGLAS J. LUCAS, THOMAS A. ZIMMERMAN, FRANK J. FABOZZI
June 2008
Beginner content levelBeginner
350 pages
8h 17m
English
Wiley
Content preview from Subprime Mortgage Credit Derivatives

Contents

Preface

About the Authors

PART ONE

Mortgage Credit

CHAPTER 1

Overview of the Nonagency Mortgage Market

Issuance Volumes

Roots of the 2007–2008 Subprime Crisis

Defining Characteristics of Nonagency Mortgages

Loan Characteristics

Risk Layering

Agency versus Nonagency Execution

Summary

CHAPTER 2

First Lien Mortgage Credit

Concepts and Measurements of Mortgage Credit

Collateral Characteristics and Mortgage Credit: Assault of the Four Cs in 2006 (Credit, Collateral, Capacity, and Character)

The End Game: Foreclosure, REO Timeline, and Severity

The Role of Unobservable in 2006 Subprime Mortgage Credit

CHAPTER 3

Second Lien Mortgage Credit

Two Types of Seconds

Higher Risks in Seconds

Recent Performance

Why Higher Losses?

Summary

PART TWO

Mortgage Securitizations

CHAPTER 4

Features of Excess Spread/Overcollateralization:

The Principle Subprime Structure

Excess Spread-Based Credit Enhancement

OC in Alt-A-Land

OC Internal Workings

Summary

CHAPTER 5

Subprime Triggers and Step-Downs

The Step-Down and the Trigger

BBB Stack (on the Knife's Edge)

Effect of Triggers and the Loss Waterline

Sampling the Subprime Universe

2000–2003 Deal Step-Down Summary

Step-Down and Credit Effects

Summary

PART THREE

Credit Default Swaps on Mortgage Securities

CHAPTER 6

Introduction to Credit Default Swap on ABS CDS

Corporate CDS Fundamentals and Terminology

Differences Between Corporate CDS and ABS CDS

Difficulties in ABS CDS

ABS CDS Effect on ABS CDO Management

Two New Types of ABS CDOs

Summary

CHAPTER ...

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Publisher Resources

ISBN: 9780470243664Purchase book