Who holds the toxic waste? An investigation of CMO holdings
Abstract“Toxic waste” refers to the riskiest derivative structures arising from collateralized mortgage obligations (CMOs). We use simulations to predict how this risk would manifest itself in various interest rate environments. We also look for evidence on the total dollar value of these securities, who holds them, and how much they hold. Very limited public information is available, but commercial banks are required to report on their holdings, and we investigate the extent to which the risk is concentrated in that sector.
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Bibliographic InfoArticle provided by Federal Reserve Bank of Cleveland in its journal Policy Discussion Papers.
Volume (Year): (2007)
Issue (Month): Jun ()
Other versions of this item:
- Joseph G. Haubrich & Deborah Lucas, 2006. "Who holds the toxic waste? an investigation of CMO holdings," Proceedings 1014, Federal Reserve Bank of Chicago.
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- Kristopher S. Gerardi & Andreas Lehnert & Shane M. Sherlund & Paul S. Willen, 2009.
"Making sense of the subprime crisis,"
Public Policy Discussion Paper
09-1, Federal Reserve Bank of Boston.
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