Chapter 11

Dissecting the Risks of a Pool of Securitized Options ARMs

In this chapter we analyze different risks that are specific to a pool of securitized option adjustable rate mortgages (ARMs), with negative amortization. We present a specific pool of option ARMs that was securitized in May 2005. We analyze the risk based on the modeling assumption of the issuer, the prepayment risk, the risks to the borrowers, the subordinated note holders, the servicer, and senior note investors, as well as the credit risk, since the option ARMs was launched in May of 2005.

GREENPOINT MTA TRUST 2005-AR1

Exhibit 11.1 shows all the different classes of Greenpoint MTA Trust 2005-AR1. The notes (from A1 to B6) were issued for a total of $1,500,302,869 and were ...

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