Conference Paper
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.
Keywords: Mortgage loans; Mortgages;
Status: Published in Conference on Bank Structure and Competition (2006: 42nd) ; Innovations in real estate markets : risk, rewards, and the role of regulation
Authors
Bibliographic Information
Provider: Federal Reserve Bank of Chicago
Part of Series: Proceedings
Publication Date: 2006
Number: 1014
Pages: 412-430