Mortgage Loan Securitization and Relative Loan Performance PDF Download
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Author: John Krainer
Publisher: DIANE Publishing
ISBN: 1437931189
Category :
Languages : en
Pages : 34
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Book Description
Compares the ex ante observable risk characteristics and the default rates of securitized mortgage loans and mortgage loans retained by the original lender. Privately securitized loans tend to be riskier and to default at a faster rate than loans securitized with the GSEs and lender-retained loans. The differences in default rates across investor types are of secondary importance for explaining mortgage defaults compared to more conventional predictors, such as original loan-to-value ratios and the path for house prices. Privately securitized home mortgages have conditionally higher expected returns than retained loans, suggesting the presence of risk factors that are unobservable but nonetheless at least partially acknowledged by the market. Illus.
Author: John Krainer
Publisher: DIANE Publishing
ISBN: 1437931189
Category :
Languages : en
Pages : 34
Get Book
Book Description
Compares the ex ante observable risk characteristics and the default rates of securitized mortgage loans and mortgage loans retained by the original lender. Privately securitized loans tend to be riskier and to default at a faster rate than loans securitized with the GSEs and lender-retained loans. The differences in default rates across investor types are of secondary importance for explaining mortgage defaults compared to more conventional predictors, such as original loan-to-value ratios and the path for house prices. Privately securitized home mortgages have conditionally higher expected returns than retained loans, suggesting the presence of risk factors that are unobservable but nonetheless at least partially acknowledged by the market. Illus.
Author: Adam B. Ashcraft
Publisher: DIANE Publishing
ISBN: 1437925146
Category :
Languages : en
Pages : 76
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Book Description
Provides an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. Discusses the ways that market participants work to minimize these frictions and speculate on how this process broke down. Continues with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. Presents the key structural features of a typical subprime securitization, documents how rating agencies assign credit ratings to mortgage-backed securities, and outlines how these agencies monitor the performance of mortgage pools over time. The authors draw upon the example of a mortgage pool securitized by New Century Financial during 2006. Illustrations.
Author: David Marques-Ibanez
Publisher: International Monetary Fund
ISBN: 1475553765
Category : Business & Economics
Languages : en
Pages : 41
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Book Description
Banks are usually better informed on the loans they originate than other financial intermediaries. As a result, securitized loans might be of lower credit quality than otherwise similar nonsecuritized loans. We assess the effect of securitization activity on loans’ relative credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not seem to select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks’ reduced monitoring incentives.
Author: Charles W. Calomiris
Publisher: Aei Press
ISBN: 9780844771250
Category : Business & Economics
Languages : en
Pages : 75
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Book Description
The authors weigh the functions of this industry, its practices and policies, and the changing nature of the consumer finance marketplace to determine whether limiting such lending would serve the public interest.
Author: William B. Shear
Publisher: DIANE Publishing
ISBN: 143792770X
Category : Business & Economics
Languages : en
Pages : 64
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Book Description
The number of nonprime mortgage originations grew rapidly from 2000 through 2006, a period during which average house prices appreciated dramatically. The nonprime share of mortgage originations rose from 12% in 2000 to 34% in 2006. As house prices subsequently fell, the subprime and Alt-A market segments contracted sharply. Borrowers who had obtained nonprime mortgages earlier in the decade increasingly fell behind on their mortgage payments. This report: (1) provides info. on the performance of these nonprime loans as of 6/30/09, and describes forecasts made by others of future loan performance; and (2) examines the extent of negative home equity among nonprime borrowers in selected metro. areas and nationwide.
Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 1118044711
Category : Business & Economics
Languages : en
Pages : 302
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Book Description
An in-depth look at the latest innovations in mortgage-backed securities The largest sector of the fixed-income market is the mortgage market. Understanding this market is critical for portfolio managers, as well as issuers who must be familiar with how these securities are structured. Mortgage-Backed Securities is a timely guide to the investment characteristics, creation, and analysis of residential real estate-backed securities. Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads and other analytical concepts used to assess relative value.
Author:
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 38
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Book Description
Author: Jay Surti
Publisher: International Monetary Fund
ISBN: 1455210846
Category : Business & Economics
Languages : en
Pages : 52
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Book Description
This paper considers the case for mortgage covered bonds as an alternative to the originate-to-distribute mortgage funding model. It argues that the economic incentives provided to market participants under the covered bonds model are less susceptible to moral hazard even while retaining the key benefits of securitization such as capital market funding and flexibility in risk allocation. Notwithstanding these advantages, however, limited market size and the greater pro-cyclicality of mortgage loan quality in the United States - potentially reflecting borrower incentives under the personal bankruptcy framework - impose limits on the benefits ensuing from this model. The analysis underscores the need for a comprehensive legal-regulatory framework to underpin market development and discusses a number of ways in which the current draft legislation may be further strengthened. A potential strategy to hasten market development within the current institutional framework is identified.
Author: Frank J. Fabozzi
Publisher: Irwin Professional Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 340
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Book Description
The definitive book on one of the fastest growing segments of the collateralized mortgage obligations market. Unlike traditional CMOs which are backed by government agencies, whole loan CMOs are backed by private entities. As a result, whole loan CMOs expose investors to credit risk, in addition to the traditional prepayment risk. Containing contributions from the top people in the field, Whole Loan CMOs expose investors to credit risk, in addition to the traditional prepayment risk. Containing contributions from the top people in the field, Whole Loan CMOs provides investors with the analytical tools they need to capitalize in this exciting, new market. Specific topics include: introduction to whole-loan CMOs; investment characteristics of whole-loan CMOs; evaluating the credit risk of whole-loan CMOs; prepayment analysis of whole-loan CMOs.
Author: U.s. Government Accountability Office
Publisher:
ISBN: 9781974549849
Category :
Languages : en
Pages : 74
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Book Description
"The surge in mortgage foreclosures that began in late 2006 and continues today was initially driven by deterioration in the performance of nonprime (subprime and Alt-A) loans. Nonprime mortgage originations increased dramatically from 2000 through 2006, rising from about 12 percent ($125 billion) of all mortgage originations to about 34 percent ($1 trillion). The nonprime market contracted sharply in mid-2007, partly in response to increasing defaults and foreclosures for these loans.This report (1) provides information on the performance of nonprime loans through December 31, 2009; (2) examines how loan and borrower characteristics and economic conditions influenced the likelihood of default (including foreclosure) of nonprime loans; and (3) describes the features and limitations of primary sources of data on nonprime loan performance and borrower characteristics, and discusses federal government efforts to improve the availability or use of such data. To do this work, GAO analyzed a proprietary database of securitized nonprime loans and Home Mortgage Disclosure Act data, and reviewed information on mortgage data sources maintained by private firms and the federal government. "
