Search Results

Showing results 1 to 10 of approximately 21.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:securitization 

Journal Article
The Role of bank credit enhancements in securitization

This article looks at enhancements provided by banks in the securitization market. We start with a set of new facts on the evolution of enhancement volume provided by U.S. bank holding companies (BHCs). We highlight the importance of bank-provided enhancements in the securitization market by comparing their market share with that of financial guaranties sold by insurance companies, one of the main sellers of credit protection in the securitization market. Contrary to the notion that banks were being eclipsed by other institutions in the shadow banking system, we find that banks have held ...
Economic Policy Review , Issue 07 , Pages 35-46

Working Paper
The Mortgage Rate Conundrum

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We uncover this phenomenon by analyzing a large dataset with millions of loan-level observations, which allows us to control for the impact of varying loan, borrower and geographic characteristics. These detailed data also reveal that ...
Working Paper Series , Paper WP-2017-23

Working Paper
Agency Conflicts in Residential Mortgage Securitization: What Does the Empirical Literature Tell Us?

The agency conflicts inherent in securitization are viewed by many as having been a key contributor to the recent financial crisis, despite the presence of various legal and economic constructs to mitigate them. A review of recent empirical research for the U.S. home mortgage market suggests that securitization itself may not have been a problem, but rather the origination and distribution of observably riskier loans. Low-documentation mortgages, for which asymmetric information problems are acute, performed especially poorly during the crisis. Securitized low-documentation mortgages ...
FRB Atlanta Working Paper , Paper 2017-1

Report
COVID Response: The Term Asset-Backed Securities Loan Facility

The COVID-19 pandemic disrupted the asset-backed securities (ABS) market, resulting in higher spreads on ABS and briefly halting the issuance of some ABS. On March 23, 2020, the Federal Reserve established the Term Asset-Backed Securities Loan Facility (TALF) to support the flow of credit to consumers and businesses by re-enabling the issuance of ABS. In this paper, we describe how TALF works, how much it was used, and its effect on the issuance and spreads of TALF-eligible securities relative to those of TALF-ineligible securities. We find that both the introduction of TALF and its ...
Staff Reports , Paper 979

Report
Credit risk transfer and de facto GSE reform

We summarize and evaluate Fannie Mae and Freddie Mac?s credit risk transfer (CRT) programs, which have been used since 2013 to shift a portion of credit risk on more than $1.8 trillion of mortgages to private sector investors. We argue that the CRT programs have been successful in reducing the exposure of the federal government to mortgage credit risk without disrupting the liquidity or stability of mortgage secondary markets. In the process, the programs have created a new financial market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT ...
Staff Reports , Paper 838

Discussion Paper
The Role of Bank Credit Enhancements in Securitization

As Nicola Cetorelli observes in his introductory post, securitization is a key element of the evolution from banking to shadow banking. Recognizing that raises the central question in this series: Does the rise of securitization (and shadow banking) signal the decline of traditional banking? Not necessarily, because banks can play a variety of background (or foreground) roles in the securitization process. In our published contribution to the series, we look at the role of banks in providing credit enhancements. Credit enhancements are protection in the form of financial support against ...
Liberty Street Economics , Paper 20120718

Working Paper
The Effect of Large Investors on Asset Quality: Evidence from Subprime Mortgage Securities

The government-sponsored enterprises (GSEs) Fannie Mae and Freddie Mac?the dominant investors in subprime mortgage-backed securities before the 2008 crisis?substantively affected collateral composition in this market. Mortgages included in securities designed for the GSEs performed better than those backing other securities in the same deals, holding observable risk constant. Consistent with the transmission of private information, these effects are concentrated in low-documentation loans and for issuers that were highly dependent on the GSEs and were corporate affiliates of the mortgage ...
FRB Atlanta Working Paper , Paper 2014-4

Working Paper
Unconventional Monetary Policy and Risk-Taking: Evidence from Agency Mortgage REITs

We study how the Federal Reserve's quantitative easing (QE) influenced the behavior of Agency mortgage real estate investment trusts (REITs)?a set of institutions identified by the Financial Stability Oversight Council as posing systemic risk. We document that Agency mortgage REITs: [i] equity prices reacted to QE announcements and in a manner consistent with their business prospects; [ii] grew markedly during QE2 and receded during QE3 in relation to the Federal Reserve's Agency MBS purchase activity; and [iii] increased their leverage during QE3. Our findings are consistent with ...
FRB Atlanta Working Paper , Paper 2018-8

Report
The mortgage rate conundrum

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve?s expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to significantly and persistently easier mortgage credit conditions. We uncover this phenomenon by analyzing a large data set with millions of loan-level observations, which allows us to control for the impact of varying loan, borrower, and geographic characteristics. These detailed data also reveal that ...
Staff Reports , Paper 829

Working Paper
Large-Scale Buy-to-Rent Investors in the Single-Family Housing Market: The Emergence of a New Asset Class?

In 2012, several large firms began purchasing single-family homes with the stated intention of creating large portfolios of rental property. We present the first systematic evidence on how this new investor activity differs from that of other investors in the housing market. Many aspects of buy-to-rent investor behavior are consistent with holding property for rent rather than reselling quickly. Additionally, the large size of these investors imparts a few important advantages. In the short run, this investment activity appears to have supported house prices in the areas where it is ...
Finance and Economics Discussion Series , Paper 2015-84

FILTER BY year

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

G21 12 items

G23 9 items

G18 7 items

G28 7 items

G01 4 items

G10 3 items

show more (16)

FILTER BY Keywords

securitization 21 items

mortgage 4 items

GSEs 3 items

covered bonds 3 items

credit risk transfer 3 items

ABS market 2 items

show more (54)

PREVIOUS / NEXT