Overnight Marc Joffe sent a paper published 8/3/12, written by Pedro Romero at the Universidad San Francisco de Quito, entitled Why Did the US Market for Mortgage Backed Securities Unravel?  Dr. Romero explains the Financial Crisis as an instance of Gresham's Law: "Bad money drives out good if [the] exchange...

Structured credit ratings spectacularly failed AAA and AA investors, and they also hollowed out the market for mezzanine risk. A healthy structured market needs investors willing to sacrifice yield for certainty. It also needs investors willing to sacrifice certainty for yield, without whom risk transfer in structured finance...

SIFMA's decision to exclude mortgages coming from a jurisdiction where the threat of eminent domain being exercised is material was a hot topic on Naked Capitalism on 7/20 (last Friday) where it turned into a wrangle about public policy that, IMHO, missed the point of...

Patrick Klaybor sent me an email, asking: I am trying to determine the value of a video that I shot of Les Paul at a dinner in Madison Wi. Wanna help? Since we finance portfolios using securitization but don't do single-asset valuations, I connected him to...

VSOP consists of long and short positions on 50 tranches from a variety of issuers and servicers. The deals come from a range of vintages going back before 2000 but most from 2006 or 2007. There is a high concentration of Class A tranches for...

Everyone I know is anxious. Those who are employed are worried about how long their jobs will last. My entrepreneur-friends are all anxious that they are not making enough money, not getting enough recognition, not realizing their goals fast enough, etc. Of course those who are neither working nor "entrepreneuring" are also anxious. If we are going to eradicate the root of our economic problem, we must embrace the possibility that these three propositions are true:
  1. Balance sheet realities largely determine economic reality.

In valuing secondary market RMBS over the years, R&R discovered many servicer reporting irregularities on collateral losses. At year-end 2011, we decided to generalize our observations on the total market. We presented our findings on January 25, 2012, in “RMBS Losses in Limbo: As Bad...

Since the financial crisis in 2007, residential mortgage-backed securities have been hit with high levels of borrower defaults, realized losses and credit rating downgrades.  Realized losses declared on private residential mortgage-backed securities (RMBS), already much higher than original rating agency and investor estimates, are projected...