We use the new market for Credit Risk Transfers (CRTs) and the landfall of two major hurricanes to study both how markets price default risk from natural disasters, and how U.S. mortgage rates would change in absence of government-backed guarantees. First, we exploit that CRTs differ in the...

Using a new financial product (Credit Risk Transfers, CRTs) we study how markets would price hurricane risk in U.S. mortgages absent intervention from the government-sponsored enterprises (GSEs). We hand-collect a novel and detailed database to exploit CRTs' heterogeneous exposure to Hurricanes...