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Newsletter
Banking in the 1990s: challenge and change
Quinn, Carl; Schulz, Dylan (1992-10)
Chicago Fed Letter , Issue Oct

Journal Article
Getting secure
Katz, Jane (1997-07)
Regional Review , Issue Sum , Pages 13-17

Conference Paper
The law and economics of remedies of predatory lending
McCoy, Patricia A.; Engel, Kathleen C. (2001)
Proceedings , Paper 790

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

Journal Article
Taxpayer risk in mortgage policy
Martin, Deborah L.; Pozdena, Randall (1991)
FRBSF Economic Letter

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
The opening of new markets for bank assets
Pennacchi, George; Gorton, Gary (1992)
Proceedings

Journal Article
Innovations and recent developments in mortgage-backed securities
Kwan, Simon H. (1996)
FRBSF Economic Letter

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
An empirical test of a two-factor mortgage valuation model: how much do house prices matter?
Wallace, Nancy; Stanton, Richard; Downing, Chris (2003)
Mortgage-backed securities, with their relative structural simplicity and their lack of recovery rate uncertainty if default occurs, are particularly suitable for developing and testing risky debt valuation models. In this paper, we develop a two-factor structural mortgage pricing model in which rational mortgage-holders endogenously choose when to prepay and default subject to i. explicit frictions (transaction costs) payable when terminating their mortgages, ii. exogenous background terminations, and iii. a credit-related impact of the loan-to-value ratio (LTV) on prepayment. We estimate ...
Finance and Economics Discussion Series , Paper 2003-42

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