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Securitization and the fixed-rate mortgage

Fuster, Andreas; Vickery, James - Federal Reserve Bank of New York - 2013

Fixed-rate mortgages (FRMs) dominate the U.S. mortgage market, with important consequences for household risk … freezes, the share of FRMs is sharply higher among mortgages eligible to be securitized through the still-liquid agency MBS … rate risk embedded in these loans. We highlight policy implications for ongoing reform of the U.S. mortgage finance system. …

Persistent link: https://www.econbiz.de/10010604287

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

MBS ratings and the mortgage credit boom

Ashcraft, Adam; Goldsmith-Pinkham, Paul; Vickery, James - Federal Reserve Bank of New York - 2010

underperformance (high mortgage defaults and losses and large rating downgrades) among deals with observably higher risk mortgages …

Persistent link: https://www.econbiz.de/10008493882

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

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

Housing busts and household mobility

Ferreira, Fernando; Gyourko, Joseph; Tracy, Joseph - Federal Reserve Bank of New York - 2008

Using two decades of American Housing Survey data from 1985 to 2005, we estimate the influence of negative home equity and rising mortgage interest rates on household mobility. We find that both factors lead to lower, not higher, mobility rates over time. The effects are economically large --...

Persistent link: https://www.econbiz.de/10005420603

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

Payment size, negative equity, and mortgage default

Fuster, Andreas; Willen, Paul S. - Federal Reserve Bank of New York - 2012

adjustable-rate mortgages that have experienced large rate reductions over the past years and are largely immune to these …

Persistent link: https://www.econbiz.de/10010598262

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

An introduction to the FRBNY Consumer Credit Panel

Lee, Donghoon; Klaauw, Wilbert van der - Federal Reserve Bank of New York - 2010

In this paper, we introduce the FRBNY Consumer Credit Panel, a new longitudinal database with detailed information on consumer debt and credit. The panel uses a unique sample design and information derived from consumer credit reports to track individuals’ and households’ access to and use...

Persistent link: https://www.econbiz.de/10008764413