Crisis 2008 not about real toxic derivatives but rather spooked markets

"We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS), issued up to 2008. For our analysis, we have created a new and detailed data set on the universe of non-agency residential mortgage backed securities, per carefully assembling source data from Bloomberg and other sources. We compare these payoffs to their ex-ante ratings as well as other characteristics. We establish five facts. First, the bulk of these securities was rated AAA. Second, AAA securities did ok: on average, their total cumulated losses up to 2013 are under six percent. Third, the subprime AAA-rated RMBS did particularly well. Fourth, the bulk of the losses were concentrated on a small share of all securities. Fifth, later vintages did worse than earlier vintages. Together, these facts call into question the conventional narrative, that improper ratings of RMBS were a major factor in the financial crisis of 2008."