Research Article
Profit and Risk under Subprime Mortgage Securitization
Table 1
Global CDO issuance ($millions); source: [
22].
| | Global CDO issuance ($millions) | | Total issuance | Structured finance | Cash flow and hybrid | Synthetic funded | Arbitrage | Balance sheet |
| | Q1:04 | 24 982.5 | NA | 18 807.8 | 6 174.7 | 23 157.5 | 1 825.0 | | Q2:04 | 42 864.6 | NA | 25 786.7 | 17 074.9 | 39 715.5 | 3 146.1 | | Q3:04 | 42 864.6 | NA | 36 106.9 | 5 329.7 | 38 207.7 | 3 878.8 | | Q4:04 | 47 487.8 | NA | 38 829.9 | 8 657.9 | 45 917.8 | 1 569.9 | | 2004 Tot. | 157 418.5 | NA | 119 531.3 | 37 237.2 | 146 998.5 | 10 419.8 | | % of Tot. | | | 75.9% | 23.7% | 93.4% | 6.6% |
| | Q1:05 | 49 610.2 | 28 171.1 | 40 843.9 | 8 766.3 | 43 758.8 | 5 851.4 | | Q2:05 | 71 450.5 | 46 720.3 | 49 524.6 | 21 695.9 | 62 050.5 | 9 400.0 | | Q3:05 | 52 007.2 | 34 517.5 | 44 253.1 | 7 754.1 | 49 636.7 | 2 370.5 | | Q4:05 | 98 735.4 | 67 224.2 | 71 604.3 | 26 741.1 | 71 957.6 | 26 777.8 | | 2005 Tot. | 271 803.3 | 176 639.1 | 206 225.9 | 64 957.4 | 227 403.6 | 44 399.7 | | % of Tot. | | 65.0% | 75.9% | 23.9% | 83.7% | 16.3% |
| | Q1:06 | 108 012.7 | 66 220.2 | 83 790.1 | 24 222.6 | 101 153.6 | 6 859.1 | | Q2:06 | 124 977.9 | 65 019.6 | 97 260.3 | 24 808.4 | 102 564.6 | 22 413.3 | | Q3:06 | 138 628.7 | 89 190.2 | 102 167.4 | 14 703.8 | 125 945.2 | 12 683.5 | | Q4:06 | 180 090.3 | 93 663.2 | 131 525.1 | 25 307.9 | 142 534.3 | 37 556.0 | | 2006 Tot. | 551 709.6 | 314 093.2 | 414 742.9 | 89 042.7 | 472 197.7 | 79 511.9 | | % of Tot. | | 56.9% | 75.2% | 16.1% | 85.6% | 14.4% |
| | Q1:07 | 186 467.6 | 101 074.9 | 140 319.1 | 27 426.2 | 156 792.0 | 29 675.6 | | Q2:07 | 175 939.4 | 98 744.1 | 135 021.4 | 8 403.0 | 153 385.4 | 22 554.0 | | Q3:07 | 93 063.6 | 40 136.8 | 56 053.3 | 5 198.9 | 86 331.4 | 6 732.2 | | Q4:07 | 47 508.2 | 23 500.1 | 31 257.9 | 5 202.3 | 39 593.7 | 7 914.5 | | 2007 Tot. | 502 978.8 | 263 455.9 | 362 651.7 | 46 230.4 | 436 102.5 | 66 8769.3 | | % of Tot. | | 52.4% | 72.1% | 9.1% | 86.8% | 13.3% |
| | Q1:08 | 12 846.4 | | 12 771.0 | 75.4 | 18 607.1 | 1 294.6 | | Q2:08 | 16 924.9 | | 15 809.7 | 1 115.2 | 15 431.1 | 6 561.4 | | Q3:08 | 11 875.0 | | 11 875.0 | — | 10 078.4 | 4 255.0 | | Q4:08 | 3 290.1 | | 3 140.1 | 150.0 | 3 821.4 | 1 837.8 | | 2008 Tot. | 44 936.4 | | 43 595.8 | 1 340.6 | 47 938.0 | 13 948.8 | | % of Tot. | | 32.4% | 91.2.1% | 1.6% | 89.4% | 10.6% |
| | Q1:09 | 296.3 | | 196.8 | 99.5 | 658.7 | 99.5 | | Q2:09 | 1 345.5 | | 1 345.5 | — | 1 886.4 | — | | Q3:09 | 442.9 | | 337.6 | 105.3 | 208.7 | 363.5 | | Q4:09 | 730.5 | | 681.0 | 49.5 | 689.5 | 429.7 | | 2009 Tot. | 2 815.2 | | 2 560.9 | 254.3 | 3 443.3 | 892.7 | | % of Tot. | | 40.4% | 91.2.1% | 1.6% | 89.4% | 10.6% |
| | Q1:10 | 2 420.8 | | 2 378.5 | 42.3 | — | 2 420.7 | | Q2:10 | 1 655.8 | | 1 655.8 | — | 598.1 | 1 378.9 | | Q3:10 | 2 002.7 | | 2 002.7 | — | 2002.7 | — | | Q4:10 | | | — | — | — | — | | 2010 Tot. | 6 079.3 | | 6 037.0 | 42.3 | 2 600.8 | 3 799.6 | | % of Tot. | | 44.1% | 91.2.1% | 1.6% | 89.4% | 10.6% |
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