RT Journal Article SR Electronic T1 Market-Implied Losses and Non-Agency Subordinated MBS JF The Journal of Fixed Income FD Institutional Investor Journals SP 49 OP 74 DO 10.3905/jfi.2003.319346 VO 13 IS 1 A1 Laurent Gauthier YR 2003 UL https://pm-research.com/content/13/1/49.abstract AB Market participants usually price new issue subordinated MBS in an ad hoc way that requires a lot of guessing and is subject to inconsistencies. An innovative method to value these securities uses market-implied loss distributions based on an analogy between derivatives products and non-agency subordinated bonds. Options are valued with implied volatilities, and subordinated MBS are valued with implied losses. This novel approach al-lows relative value analysis across the non-agency credit markets, and provides insight into some questions about the impact on fair value of subordination structural changes.