IDEAS home Printed from https://ideas.repec.org/a/fip/fedcpd/y2007ijunn20.html
   My bibliography  Save this article

Who holds the toxic waste? An investigation of CMO holdings

Author

Listed:
  • Joseph G. Haubrich
  • Deborah J. Lucas

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.

Suggested Citation

  • Joseph G. Haubrich & Deborah J. Lucas, 2007. "Who holds the toxic waste? An investigation of CMO holdings," Policy Discussion Papers, Federal Reserve Bank of Cleveland, issue Jun.
  • Handle: RePEc:fip:fedcpd:y:2007:i:jun:n:20
    as

    Download full text from publisher

    File URL: https://fraser.stlouisfed.org/scribd/?item_id=495653&filepath=/docs/historical/frbclev/pdp/frbclv_pdp_200706_020.pdf
    Download Restriction: no

    File URL: http://www.clevelandfed.org/research/PolicyDis/pdp20.pdf
    Download Restriction: no

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kristopher Gerardi & Andreas Lehnert & Shane M. Sherlund & Paul Willen, 2008. "Making Sense of the Subprime Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 39(2 (Fall)), pages 69-159.

    More about this item

    Keywords

    Derivative securities; Mortgages;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedcpd:y:2007:i:jun:n:20. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/frbclus.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.