Choice of contract maturity with applications to international and mortgage lending

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

Alternative mortgage instruments /

Mode of access: Internet.

California experience with VRMs /

Remarks presented to the United States Chamber of Commerce Banking, Monetary and Fiscal Affairs Committee on September 29, 1976.

Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS). The latter allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS), which allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Is there Descriminatory Mortgage Pricing against Immigrants in the Spanish Lending Market?

In this paper, we investigate whether evidence of discriminatory treatment against immigrants in the Spanish mortgage market exists. More specifically, we test whether, ceteris paribus, immigrant borrowers tend to be charged with higher interest rates on their mortgages than their Spanish born counterparts. To do so, we use a unique dataset on granted mortgages that contains information not only regarding the conditions of the loan but also the socio-economic characteristics of the mortgagors. We observe that immigrants are systematically charged with higher interest rates. We apply the well known Oaxaca-Blinder decomposition to measure the extent to which this disparate treatment of lenders in mortgage pricing against immigrants is due to discrimination. Our results indicate that approximately two thirds of the gap in the interest rate between Spanish born and immigrant borrowers can be attributed to discriminatory treatment. Key words: Immigration, discrimination, mortgage pricing, housing market. JEL codes: R21, G21, J14

The impact of interest-rate subsidies on long-term household debt: Evidence from a large program

The responsiveness of long-term household debt to the interest rate is acrucial parameter for assessing the effectiveness of public policies aimedat promoting specific types of saving. This paper estimates the effect ofa reform of Credito Bonificado, a large program in Portugal that subsidizedmortgage interest rates, on long-term household debt. The reform establisheda ceiling in the price of the house that could be financed through theprogram, and provides plausibly exogenous variation in incentives. Usinga unique dataset of matched household survey data and administrative recordsof debt, we document a large decrease in the probability of signing a newloan after the removal of the subsidy.

An evaluation of the transmission of the policy interest rate to the financial system’s interest rates in Colombia

This paper studies monetary policy transmission using several statistical tools -- We find that the relationships between the policy interest rate and the financial system’s interest rates are positive and statistically significant, and transmission is complete eight months after policy shocks occur -- The speed of transmission varies according to the type of interest rates -- Transmission is faster for interest rates on loans provided to households, and is particularly rapid and complete for rates on preferential commercial loans -- Transmission is slower for credit card and mortgage rates, due to regulatory issues (interest rate ceilings)

2015 Mortgage Log Analysis Report

The South Carolina Department of Consumer Affairs publishes an annual mortgage log report as a requirement of the South Carolina Mortgage Lending Act, which became effective on January 1, 2010. The mortgage log report analyzes the following data, concerning all mortgage loan applications taken: the borrower’s credit score, term of the loan, annual percentage rate, type of rate, and appraised value of the property. The mortgage log report also analyzes data required by the Home Mortgage Disclosure Act, including the following information: the loan type, property type, purpose of the loan, owner/occupancy status, loan amount, action taken, reason for denial, property location, gross annual income, purchaser of the loan, rate spread, HOEPA status, and lien status as well as the applicant and co-applicant’s race, ethnicity, and gender.

Developmental Rate Of Immatures Of Two Fly Species Of Forensic Importance: Sarcophaga (liopygia) Ruficornis And Microcerella Halli (diptera: Sarcophagidae).

Since insect species are poikilothermic organisms, they generally exhibit different growth patterns depending on the temperature at which they develop. This factor is important in forensic entomology, especially for estimating postmortem interval (PMI) when it is based on the developmental time of the insects reared in decomposing bodies. This study aimed to estimate the rates of development, viability, and survival of immatures of Sarcophaga (Liopygia) ruficornis (Fabricius 1794) and Microcerella halli (Engel 1931) (Diptera: Sarcophagidae) reared in different temperatures: 10, 15, 20, 25, 30, and 35 ± 1 °C. Bovine raw ground meat was offered as food for all experimental groups, each consisting of four replicates, in the proportion of 2 g/larva. To measure the evolution of growth, ten specimens of each group were randomly chosen and weighed every 12 h, from initial feeding larva to pupae, and then discarded. Considering the records of weight gain, survival rates, and stability of growth rates, the range of optimum temperature for the development of S. (L.) ruficornis is between 20 and 35 °C, and that of M. halli is between 20 and 25 °C. For both species, the longest times of development were in the lowest temperatures. The survival rate at extreme temperatures (10 and 35 °C) was lower in both species. Biological data such as the ones obtained in this study are of great importance to achieve a more accurate estimate of the PMI.

Electrocardiogram, Heart Movement And Heart Rate In The Awake Gecko (hemidactylus Mabouia).

The electrocardiogram (ECG) is the simplest and most effective non-invasive method to assess the electrical activity of the heart and to obtain information on the heart rate (HR) and rhythm. Because information on the HR of very small reptiles (body mass <10 g) is still scarce in the literature, in the present work we describe a procedure for recording the ECG in non-anesthetized geckos (Hemidactylus mabouia, Moreau de Jonnès, 1818) under different conditions, namely manual restraint (MR), spontaneous tonic immobility (TI), and in the non-restrained condition (NR). In the gecko ECG, the P, QRS and T waves were clearly distinguishable. The HR was 2.83 ± 0.02 Hz under MR, which was significantly greater (p < 0.001) than the HR under the TI (1.65 ± 0.09 Hz) and NR (1.60 ± 0.10 Hz) conditions. Spontaneously beating isolated gecko hearts contracted at 0.84 ± 0.03 Hz. The in vitro beating rate was affected in a concentration-dependent fashion by adrenoceptor stimulation with noradrenaline, as well as by the muscarinic cholinergic agonist carbachol, which produced significant positive and negative chronotropic effects, respectively (p < 0.001). To our knowledge, this is the first report on the ECG morphology and HR values in geckos, particularly under TI. The methodology and instrumentation developed here are useful for non-invasive in vivo physiological and pharmacological studies in small reptiles without the need of physical restraint or anesthesia.

Experimental determination of benzene uptake rate in Tenax TA diffusive samplers

This paper proposes a methodology to predict benzene uptake rate in ambient air, using passive samplers with Tenax TA. Variations in the uptake rate were found to occur as a function of the sampling time; and were greater at the beginning of sampling. An empirical model was obtained and values for uptake rate agree with literature. Concentration prediction errors can be minimized by using sampling times of 4 to 14 days, thus avoiding the influence of excessive uptake rates in the initial days and the influence of back diffusion at the end of the sampling period.

Variabilidade da frequência cardíaca após treinamento concorrente : comparação entre homens e mulheres de meia-idade = Heart rate variability after concurrent training : comparison between middle-aged men and women

Universidade Estadual de Campinas . Faculdade de Educação Física

Efeito das sessões de familiarização sobre o pico de torque e taxa de desenvolvimento de torque : comparações entre jovens, meia idade e idosos = Effect of familiarization sessions on peak torque and rate of torque development : comparisons among young, middle age and elderly

Universidade Estadual de Campinas, Faculdade de Educação Física