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Working Paper
Market-based loss mitigation practices for troubled mortgages following the financial crisis
Agarwal, Sumit; Ben-David, Itzhak; Chomsisengphet, Souphala; Evanoff, Douglas D.; Amromin, Gene
(2011)
The meltdown in residential real-estate prices that commenced in 2006 resulted in unprecedented mortgage delinquency rates. Until mid-2009, lenders and servicers pursued their own individual loss mitigation practices without being significantly influenced by government intervention. Using a unique dataset that precisely identifies loss mitigation actions, we study these methods?liquidation, repayment plans, loan modification, and refinancing?and analyze their effectiveness. We show that the majority of delinquent mortgages do not enter any loss mitigation program or become a part of ...
Working Paper Series
, Paper WP-2011-03
Conference Paper
The valuation cost approach to the theory of financial intermediation
Campbell, Tim S.
(1987)
Proceedings
, Paper 169
Journal Article
Asset securitization: a supervisory perspective
Boemio, Thomas R.; Edwards, Gerald A.
(1989-10)
Federal Reserve Bulletin
, Issue Oct
, Pages 659-669
Journal Article
TALF: Jump-starting the securitization markets
Robinson, Kenneth J.
(2009)
In the financial crisis that began in August 2007, securitization activity virtually dried up. When the housing bubble burst, the value of the collateral backing much of the asset-backed securities (ABS) declined sharply, and so did the value of the securities themselves. The Federal Reserve responded by creating the term asset-backed securities loan facility, or TALF. Its purpose is to boost securitization by providing loans to people holding certain highly rated ABS. These loans will then support new ABS issues and help thaw out the securitization markets. Judging from both new issues and ...
Economic Letter
, Volume 4
Journal Article
The economics of securitization
Cumming, Christine M.
(1987-10)
Quarterly Review
, Volume 12
, Issue Aut
, Pages 11-23
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 securitization in mortgage renegotiation
Agarwal, Sumit; Ben-David, Itzhak; Chomsisengphet, Souphala; Evanoff, Douglas D.; Amromin, Gene
(2011)
We study the effects of securitization on renegotiation of distressed residential mortgages over the current financial crisis. Unlike prior studies, we employ unique data that directly observe lender renegotiation actions and cover more than 60% of the U.S. mortgage market. Exploiting within-servicer variation in these data, we find that bank-held loans are 26% to 36% more likely to be renegotiated than comparable securitized mortgages (4.2 to 5.7% in absolute terms). Also, modifications of bank-held loans are more efficient: conditional on a modification, bank-held loans have lower ...
Working Paper Series
, Paper WP-2011-02
Newsletter
Rescuing asset-backed securities markets
Agarwal, Sumit; Cun, Crystal; De Nardi, Mariacristina
(2010-01)
On November 25, 2008, the Federal Reserve unveiled a loan facility to revive the market for asset-backed securities, which had essentially stopped functioning due to the global financial crisis. What are these securities and why is it important for these markets to continue to operate?
Chicago Fed Letter
, Issue Jan
Journal Article
Securitization and the efficacy of monetary policy
Estrella, Arturo
(2002-05)
Paper for a conference sponsored by the Federal Reserve Bank of New York entitled Financial Innovation and Monetary Transmission
Economic Policy Review
, Volume 8
, Issue May
, Pages 243-255
Journal Article
Loan sales have little effect on bank risk
Pavel, Christine A.
(1988-03)
Economic Perspectives
, Volume 12
, Issue Mar
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