subprime mortigage credit derivatives

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1、ContentsPrefacexiiiAbouttheAuthorsxvPARTONEMortgageCredit1CHAPTER1OverviewoftheNonagencyMortgageMarket3IssuanceVolumes5Rootsofthe20072008SubprimeCrisis5DefiningCharacteristicsofNonagencyMortgages9LoanCharacteristics9RiskLayering18AgencyversusNonagencyExecution22Summary

2、23CHAPTER2FirstLienMortgageCredit27ConceptsandMeasurementsofMortgageCredit28CollateralCharacteristicsandMortgageCredit:AssaultoftheFourCsin2006(Credit,Collateral,Capacity,andCharacter)35TheEndGame:Foreclosure,REOTimeline,andSeverity46TheRoleofUnobservablein2006Subprim

3、eMortgageCredit62CHAPTER3SecondLienMortgageCredit73TwoTypesofSeconds73HigherRisksinSeconds75RecentPerformance80viiftoc.inddvii5/7/0812:14:00AMviiiCONTENTSWhyHigherLosses?80Summary81PARTTWOMortgageSecuritizations87CHAPTER4FeaturesofExcessSpread/Overcollateralization:Th

4、ePrincipleSubprimeStructure89ExcessSpread-BasedCreditEnhancement90OCinAlt-A-Land97OCInternalWorkings103Summary110CHAPTER5SubprimeTriggersandStep-Downs111TheStep-DownandtheTrigger111BBBStack(ontheKnifesEdge)116EffectofTriggersandtheLossWaterline117SamplingtheSubprimeUn

5、iverse11820002003DealStep-DownSummary118Step-DownandCreditEffects119Summary122PARTTHREECreditDefaultSwapsonMortgageSecurities123CHAPTER6IntroductiontoCreditDefaultSwaponABSCDS125CorporateCDSFundamentalsandTerminology125DifferencesBetweenCorporateCDSandABSCDS128Difficul

6、tiesinABSCDS131ABSCDSEffectonABSCDOManagement141TwoNewTypesofABSCDOs142Summary143ftoc.inddviii5/7/0812:14:01AMContentsixCHAPTER7TheABXandTABXIndices145Background145HowaDealGetsintotheIndex146IndexMechanics149IndexPricingOverTime152ABXTrancheTrading156TABXPricing157TAB

7、XversusCDOs159Summary160CHAPTER8RelationshipamongCash,ABCDS,andtheABX161FundamentalContractualDifferencesSingle-NameABCDS/ABXIndex/Cash162Supply/DemandTechnicals168WhatKeepstheArbitragefromGoingAway?171Summary173Appendix:ImportanceofABCDStoCDOManagers173CHAPTER9Credit

8、DefaultSwapsonCDOs177CDOCDSNomenclature178CDOCreditProblemsandtheirConsequences179AlternativeInterestCapOptions182Miscellane