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The Journal of Fixed Income

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Primary Article

A Study of RASC Subprime Loan Prepayments, Delinquencies, and Losses

Steve Banerjee, Laurent Gauthier, Weisi Tan and Drew Zhu
The Journal of Fixed Income Winter 2000, 10 (3) 47-67; DOI: https://doi.org/10.3905/jfi.2000.319278
Steve Banerjee
A first vice president at Prudential Securities in New York.
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Laurent Gauthier
A vice president at Prudential Securities in New York.
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Weisi Tan
A vice president at Prudential Securities in New York.
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Drew Zhu
A vice president at Prudential Securities in New York.
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Abstract

Subprime first-lien mortgages are securitized through the residential assets securities corporation. While they manifest differences with respect to loan age, credit grade, loan-to-value ratio, and vintage, both fixed-rate and adjustable-rate rasc mortgages exhibit positive convexity similar to that of the rest of the subprime market. There is some flexibility built into the credit underwriting guidelines through compensating factors related to (for example) delinquency versus debt-to-income ratios. This article describes collateral and performance differences in detail.

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The Journal of Fixed Income
Vol. 10, Issue 3
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A Study of RASC Subprime Loan Prepayments, Delinquencies, and Losses
Steve Banerjee, Laurent Gauthier, Weisi Tan, Drew Zhu
The Journal of Fixed Income Dec 2000, 10 (3) 47-67; DOI: 10.3905/jfi.2000.319278

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A Study of RASC Subprime Loan Prepayments, Delinquencies, and Losses
Steve Banerjee, Laurent Gauthier, Weisi Tan, Drew Zhu
The Journal of Fixed Income Dec 2000, 10 (3) 47-67; DOI: 10.3905/jfi.2000.319278
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Show more Primary Article
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