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Conference Paper
Summary \"how do financial frictions shape the product market? evidence from mortgage originations\"
Vickery, James (2008)
Proceedings , Paper 1076

Conference Paper
Deal complexity, loan performances, and the pricing of commercial mortgage-backed securities
Furfine, Craig H. (2011)
Proceedings , Paper 1124

Journal Article
The Federal Reserve’s Term Asset-Backed Securities Loan Facility
Ashcraft, Adam B.; Pozsar, Zoltan; Malz, Allan M. (2012-11)
The securitization markets for consumer and business asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS), which supply a substantial share of credit to consumers and small businesses, came to a near-complete halt in the fall of 2008, as investors responded to a drastic decline in funding liquidity by curtailing their participation in these markets. In response, the Federal Reserve introduced the TALF program, which extended term loans collateralized by securities to buyers of certain high-quality ABS and CMBS, as part of a broad array of emergency liquidity measures ...
Economic Policy Review , Volume 18 , Issue Nov , Pages 29-66

Working Paper
Foreign exposure to asset-backed securities of U.S. origin
Beltran, Daniel O.; DeMarco, Laurie; Thomas, Charles P. (2008)
The financial turmoil which began in August 2007 originated, in part, because investors reassessed the quality of the assets underlying many asset-backed securities (ABS), particularly U.S. mortgages. The prominence of European banks in the early stages of the turmoil created the perception that foreigners held an outsized share of risky U.S. securities and prompted questions of why Europeans were so exposed. This paper evaluates that perception by quantifying foreign exposure to ABS with U.S. underlying collateral. Using the latest survey data on foreign portfolio holdings of U.S. ...
International Finance Discussion Papers , Paper 939

Conference Paper
Why ABS and CDO rating substantially differ from corporate bond rating
Mason, Joseph R. (2008)
Proceedings , Paper 1073

Working Paper
Differences across originators in CMBS loan underwriting
Cohen, Andrew M.; Nichols, Joseph B.; Chu, Chenghuan Sean; Black, Lamont K. (2011)
Differences in the organizational structure of CMBS loan originators may reflect differences in the incentives they face for underwriting risky loans. We treat an originator's type--that is, commercial bank, investment bank, insurance company, finance company, conduit lender, or foreign-owned entity--as a proxy for incentives related to warehousing risk, balance sheet lending, and regulatory constraints. After controlling for observable credit characteristics of over 30,000 loans securitized into CMBS after 1999, we find considerable differences in loan performance across originator types. ...
Finance and Economics Discussion Series , Paper 2011-05

Journal Article
Coming to America: covered bonds?
Juvenal, Luciana; Fawley, Brett W. (2012)
Ultimately, covered bonds and ABS are complements, not substitutes.
Economic Synopses

Working Paper
The role of the securitization process in the expansion of subprime credit
Nadauld, Taylor D.; Sherlund, Shane M. (2009)
We analyze the structure and attributes of subprime mortgage-backed securitization deals originated between 1997 and 2007. Our data set allows us to link loan-level data for over 6.7 million subprime loans to the securitization deals into which the loans were sold. We show that the securitization process, including the assignment of credit ratings, provided incentives for securitizing banks to purchase loans of poor credit quality in areas with high rates of house price appreciation. Increased demand from the secondary mortgage market for these types of loans appears to have facilitated ...
Finance and Economics Discussion Series , Paper 2009-28

Speech
Lessons at the zero bound: the Japanese and U.S. experience
Dudley, William (2013)
Remarks at the Japan Society, New York City.
Speech , Paper 105

Report
Understanding the securitization of subprime mortgage credit
Ashcraft, Adam B.; Schuermann, Til (2008)
In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete picture of the subprime borrower and the subprime loan, discussing both predatory borrowing and predatory lending. We present the key structural features of a typical subprime securitization, document how rating agencies assign credit ratings to mortgage-backed securities, and outline how these agencies ...
Staff Reports , Paper 318

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