SASC 2005-WMC1: Distressed Subprime/Second-lien deal, Called early at 100:00! - and other truths
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lyniebell
Join date : 2009-05-04 Posts : 151 Location : Pittsboro/Silk Hope Age : 70
Subject: SASC 2005-WMC1: Distressed Subprime/Second-lien deal, Called early at 100:00! - and other truths Thu Jun 11, 2009 3:47 pm
SASC 2005-WMC1: Distressed Subprime/Second-lien deal, Called early at 100:00! - by Victor Hong May 6th, 2009 · No Comments It was a play by folks who had oversold huge amounts of synthetic default protection, and then convinced the servicer (Aurora) to call the deal at 100:00. Gains from the deep-in-the-money default protection going suddenly worthless exceeded the losses from liquidating the ugly remnant loan collateral. It resembles a short squeeze of the protection owners, using single-name ABS CDS. Investors who are long protection on seasoned subprime ABS deals have become very nervous about this gaming risk.