Mortgage Loan Securitization And Relative Loan Performance
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Mortgage Loan Securitization And Relative Loan Performance
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Author : John Krainer
language : en
Publisher: DIANE Publishing
Release Date : 2010-08
Mortgage Loan Securitization And Relative Loan Performance written by John Krainer and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-08 with categories.
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.
Securitization And Credit Quality
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Author : David Marques-Ibanez
language : en
Publisher: International Monetary Fund
Release Date : 2016-11-15
Securitization And Credit Quality written by David Marques-Ibanez and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-15 with Business & Economics categories.
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.
Understanding The Securitization Of Subprime Mortgage Credit
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Author : Adam B. Ashcraft
language : en
Publisher: DIANE Publishing
Release Date : 2010-03
Understanding The Securitization Of Subprime Mortgage Credit written by Adam B. Ashcraft and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03 with categories.
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.
Mortgage Backed Securities
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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2010-12-30
Mortgage Backed Securities written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-30 with Business & Economics categories.
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.
High Loan To Value Mortgage Lending
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Author : Charles W. Calomiris
language : en
Publisher: Aei Press
Release Date : 1999-01-01
High Loan To Value Mortgage Lending written by Charles W. Calomiris and has been published by Aei Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-01-01 with Business & Economics categories.
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.
Loan Performance And Negative Home Equity In The Non Prime Mortgage Market
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Author : William B. Shear
language : en
Publisher: DIANE Publishing
Release Date : 2010-10
Loan Performance And Negative Home Equity In The Non Prime Mortgage Market written by William B. Shear and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10 with Business & Economics categories.
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.
Subprime Mortgage Credit Derivatives
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Author : Laurie S. Goodman
language : en
Publisher: John Wiley & Sons
Release Date : 2008-06-02
Subprime Mortgage Credit Derivatives written by Laurie S. Goodman and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-06-02 with Business & Economics categories.
Mortgage credit derivatives are a risky business, especially of late. Written by an expert author team of UBS practitioners-Laurie Goodman, Shumin Li, Douglas Lucas, and Thomas Zimmerman-along with Frank Fabozzi of Yale University, Subprime Mortgage Credit Derivatives covers state-of-the-art instruments and strategies for managing a portfolio of mortgage credits in today's volatile climate. Divided into four parts, this book addresses a variety of important topics, including mortgage credit (non-agency, first and second lien), mortgage securitizations (alternate structures and subprime triggers), credit default swaps on mortgage securities (ABX, cash synthetic relationships, CDO credit default swaps), and much more. In addition, the authors outline the origins of the subprime crisis, showing how during the 2004-2006 period, as housing became less affordable, origination standards were stretched-and when home price appreciation then turned to home price depreciation, defaults and delinquencies rose across the board. The recent growth in subprime lending, along with a number of other industry factors, has made the demand for timely knowledge and solutions greater than ever before, and this guide contains the information financial professionals need to succeed in this challenging field.
Securitization And Credit Quality
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Author :
language : en
Publisher:
Release Date : 2017
Securitization And Credit Quality written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
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 non-securitized 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. From our findings it follows that current initiatives on risk retention by the originator, and more detailed loan-by-loan information on loan credit quality would be useful to reap out the benefits of securitization.
Asset Securitization
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Author : Joseph C. Hu
language : en
Publisher: John Wiley & Sons
Release Date : 2011-06-01
Asset Securitization written by Joseph C. Hu and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-01 with Business & Economics categories.
Asset Securitization is intended for beginners and market professionals alike who are interested in learning about asset securitization—its concepts and practices. It is designed so that the readers will come away with a fundamental but comprehensive understanding of the asset securitization market. As such, the book aims to provide a review of the market's development, necessary framework, potential benefits, and detailed descriptions of major asset securitization products. Part I of the book, which consists of four chapters, will discuss the fundamental concepts, the funding efficiency, the market participants, and the potential benefits of asset securitization. An analysis of mortgage finance will be provided in Part II, which consists of six chapters that cover a variety of topics from the description of many different types of residential mortgages to the securitization of different types of residential mortgages, including the now infamous sub-prime mortgages. Also included are important topics, such as prepayments, cash flow structure, maturity and credit tranching, and the trading and relative value of the various mortgage-backed securities. The three chapters in Part III will explain the other major asset securitization products, such as commercial mortgage-backed securities, credit card receivable-backed securities, auto loan-backed securities, and collateralized bond obligations. Part IV has two chapters: one reviews the collapse and the potential recovery of the asset securitization market, and the other describes the asset securitization efforts in Japan, Australia, Taiwan, and China. Extensive tables and charts are presented to help illustrate a concept or describe a product. Neither analytical discussions nor investment strategies of the various asset-backed securities are included as they are not the focus of this book.
The Securitization Markets Handbook
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Author : Charles Austin Stone
language : en
Publisher: John Wiley & Sons
Release Date : 2012-09-25
The Securitization Markets Handbook written by Charles Austin Stone and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-25 with Business & Economics categories.
A comprehensive guide to the continuously evolving world of securitization The Second Edition of The Securitization Markets Handbook is a valuable resource for both experienced money managers trying to put a securitization strategy into place as well as newcomers looking to acquire a broad and strong foundation in this discipline. This edition takes a close look at the pre- and post-crash mortgage market and the mortgage-backed securities based on those mortgages, as well as other asset-backed securities including commercial paper or credit cards. The crash of the subprime market and the failure of the asset-backed markets offer an opportunity to learn about banking finance, specifically off-balance sheet finance, and the many costly mistakes that resulted in one of the most severe downturns in financial markets. With this book, you'll discover why certain mortgage and asset-backed securities imploded and others didn't. This new edition examines why the market failed and how the next crisis can be averted or made less severe. It also explains why securitization remains a primary source of capital for the mortgage market, credit card market, home equity market, auto loan market, and segments of the commercial paper market. Offers an informed overview of how the securitization market works, how to make money in it, and what's next for asset- and mortgage-backed securities after the crisis Contains new chapters on CDOs and SIVs, along with a history of the growth and crash of the subprime market, asset-backed securities, and home equity lines of credit Written by securitization experts Charles Stone and Anne Zissu Updated to reflect the current market environment, the Second Edition of The Securitization Markets Handbook offers clear, comprehensive guidance to these complex markets.