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Discussion Paper
Subprime facts: what (we think) we know about the subprime crisis and what we don’t
Willen, Paul S.; Goette, Lorenz; Gerardi, Kristopher S.; Foote, Christopher L. (2008)
Using a variety of datasets, we document some basic facts about the current subprime crisis. Many of these facts are applicable to the crisis at a national level, while some illustrate problems relevant only to Massachusetts and New England. We conclude by discussing some outstanding questions about which the data, we believe, are not yet conclusive.
Public Policy Discussion Paper , Paper 08-2

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

Journal Article
Spotlight: Texas subprime mortgages: metros vary on risky loans--and delinquencies
Kumar, Anil; Di, Wenhua (2009-01)
The current financial crisis has brought a severe decline in subprime mortgage lending. Like the nation, Texas and its metros still have exposure to existing loans. Housing prices, unemployment and overall economic activity will play a significant part in determining how many of them run into trouble.
Southwest Economy , Issue Q1 , Pages 7

Working Paper
Where's the smoking gun? a study of underwriting standards for US subprime mortgages
Bhardwaj, Geetesh; Sengupta, Rajdeep (2008)
The dominant explanation for the meltdown in the US subprime mortgage market is that lending standards dramatically weakened after 2004. Using loan-level data, we examine underwriting standards on the subprime mortgage originations from 1998 to 2007. Contrary to popular belief, we find no evidence of a dramatic weakening of lending standards within the subprime market. We show that while underwriting may have weakened along some dimensions, it certainly strengthened along others. Our results indicate that (average) observable risk characteristics on mortgages underwritten post-2004 would have ...
Working Papers , Paper 2008-036

Report
MBS ratings and the mortgage credit boom
Ashcraft, Adam B.; Vickery, James; Goldsmith-Pinkham, Paul (2010)
We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post), suggesting that ratings contain useful information for investors. However, we also find evidence of significant time variation in risk-adjusted credit ratings, including a progressive decline in standards around the MBS market peak between the start of 2005 and mid-2007. Conditional on initial ratings, we ...
Staff Reports , Paper 449

Speech
Risk is a many splendored thing: lessons learned
Fisher, Richard W. (2007)
Remarks to the Austin Mortgage Bankers Association, Austin, Texas, April 4, 2007 ; "The elimination of risk can never be the goal of any type of policymaker in a capitalist system. Risk becomes a problem only when it is excessive or when it is abused--a proposition that is especially true in today's environment, where financial markets are increasingly globally integrated and information moves with the click of a mouse."
Speeches and Essays , Paper 51

Working Paper
The depth of negative equity and mortgage default decisions
Shan, Hui; Bhutta, Neil; Dokko, Jane K. (2010)
A central question in the literature on mortgage default is at what point underwater homeowners walk away from their homes even if they can afford to pay. We study borrowers from Arizona, California, Florida, and Nevada who purchased homes in 2006 using non-prime mortgages with 100 percent financing. Almost 80 percent of these borrowers default by the end of the observation period in September 2009. After distinguishing between defaults induced by job losses and other income shocks from those induced purely by negative equity, we find that the median borrower does not strategically default ...
Finance and Economics Discussion Series , Paper 2010-35

Working Paper
The untold costs of subprime lending: examining the links among higher-priced lending, foreclosures and race in California
Reid, Carolina; Laderman, Elizabeth (2009)
This paper explores the relationship between race, subprime lending, and foreclosure in California in an effort to understand what happened during the subprime lending boom. The paper finds that communities of color have been disproportionately affected by the foreclosure crisis, and that these disparities stem from a series of complicated and interrelated factors, including borrower credit profiles, the ?boom and bust? housing market, and rising unemployment. However, the paper also shows that Blacks and Hispanics in California had access to very different mortgage markets, and that mortgage ...
Community Development Working Paper , Paper 2009-09

Journal Article
Federal Reserve : The CRA and the subprime crisis
Haltom, Renee Courtois (2010-10)
Related links: https://www.richmondfed.org/-/media/richmondfedorg/publications/research/econ_focus/2010/q4/federal_reserve_weblinks.cfm
Econ Focus , Volume 14 , Issue 4Q , Pages 6-9

Journal Article
Atlanta Fed economist examines the subprime crisis
anonymous (2009)
An Atlanta Fed economist said that given available data, market participants should have been able to understand that a significant fall in housing prices would cause a large increase in foreclosures.
Financial Update , Volume 22 , Issue 1

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