da'zman

Geithner's Plan Ignores Mark-to-Market: Where's the Beef?

I don't know the methodology of the Dutch authorities but much depends on which tranche they own as convexity increases substantial as you go from one slice to another. Another thing not being mentioned much is extension risk. Clearly a security priced at par with an expected maturity of 3 years or so has a different value if it then becomes a 30 year security. In the end, you cannot directly compare a securitization to a standalone mortgage loan.