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TBA trading and liquidity in the agency MBS market

Vickery, James; Wright, Joshua - Federal Reserve Bank of New York - 2010

Most mortgages in the United States are securitized through the agency mortgage-backed-securities (MBS) market. These … liquidity, leading to lower borrowing costs for households. Evaluation of potential reforms to the U.S. housing finance system …

Persistent link: https://www.econbiz.de/10008643781

The capital structure and governance of a mortgage securitization utility

Mosser, Patricia C.; Tracy, Joseph; Wright, Joshua - Federal Reserve Bank of New York - 2013

We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government reinsurance for systemic or “tail” risk. The structure we propose for the replacement of the GSEs focuses on aligning incentives for appropriate pricing and transfer of...

Persistent link: https://www.econbiz.de/10011027203

Payment changes and default risk: theimpact of refinancing on expected credit losses

Tracy, Joseph; Wright, Joshua - Federal Reserve Bank of New York - 2012

' monthly mortgage payments for a large sample of prime adjustable-rate mortgages. Applying a 26 percent average monthly payment … conforming adjustable-rate mortgages with loan-to-value ratios above 80 percent declines by 3.8 percentage points. If we assume … per dollar of balance for mortgages that refinance under HARP. …

Persistent link: https://www.econbiz.de/10010552107

Structural change in the mortgage market and the propensity to refinance

Bennett, Paul; Peach, Richard; Peristiani, Stavros - Federal Reserve Bank of New York - 1998

We hypothesize that the intrinsic benefit required to trigger a refinancing has become smaller due to a combination of technological, regulatory, and structural changes that have made mortgage origination more competitive and more efficient. To test this hypothesis, we estimate an empirical...

Persistent link: https://www.econbiz.de/10005526276

A private lender cooperative model for residential mortgage finance

Dechario, Toni; Mosser, Patricia; Tracy, Joseph; … - Federal Reserve Bank of New York - 2010

We describe a set of six design principles for the reorganization of the U.S. housing finance system and apply them to …

Persistent link: https://www.econbiz.de/10008461966

Implied mortgage refinancing thresholds

Bennett, Paul; Peach, Richard; Peristiani, Stavros - Federal Reserve Bank of New York - 1998

The optimal prepayment model asserts that rational homeowners would refinance if they can reduce the current value of their liabilities by an amount greater than the refinancing threshold, defined as the cost of carrying the transaction plus the time value of the embedded call option. To compute...

Persistent link: https://www.econbiz.de/10005420539

Option-implied term structures

Vogt, Erik - Federal Reserve Bank of New York - 2014

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...

Persistent link: https://www.econbiz.de/10011103532