With prime mortgages, the complexity of the structure is on the bond side: tweaking and fitting hundreds of different bonds from the same bundle of mortgages. But when the underlying collateral is subprime, or the subordinated bonds are supporting several subprime-mortgage deals, then the difficult task is deciding when and if these loans will go under. Default models were the rage. Throw some epsilons and thetas on a paper, hoist a few Ph.D.’s behind your name, and now you’re an expert in divining the future.