Systematic and liquidity risk in sub-prime mortgage-backed assets

The mis-evaluation of risk in securitized financial products is central to understanding the global financial crisis. This paper characterizes the evolution of risk factors affecting collateralized debt obligations (CDOs) based on subprime mortgages. A key feature of subprime mortgage-backed indices is that they are distinct in their vintage of issuance. Using a latent factor framework that incorporates this vintage effect, we show the increasing importance of common factors on more senior tranches during the crisis. An innovation of the paper is that we use the unbalanced panel structure of the data to identify the vintage, credit, common and idiosyncratic effects from a state-space specification.

The impact of large-scale mortgage backed security purchases

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Reverse Mortgage em Portugal: uma abordagem actuarial

Reverse Mortgage é um tipo de produto financeiro já comercializado em vários países (EUA, Reino Unido, Austrália, Espanha, etc.) mas que não teve ainda visibilidade em Portugal. Destina-se a pessoas com mais de 65 anos, com habitação própria e livres de encargos com a mesma, que pretendam obter um rendimento extra, dando a sua casa como garantia. Na contratação de uma Reverse Mortgage, os proprietários podem receber um montante inicial e/ou uma renda até ao final das suas vidas, mantendo o usufruto da habitação. No momento da morte, o valor da venda do imóvel é utilizado para pagar o empréstimo contraído. Assim, Reverse Mortgage permite reestabelecer ou reforçar a autonomia financeira de pessoas que, durante a sua vida activa, constituíram património mas que, por algum motivo, perderam poder económico ou se encontram actualmente com dificuldades financeiras e que não estão, no entanto, dispostas a desfazer-se da sua habitação para fazer face aos seus compromissos. Nesta dissertação pretende estudar-se a possibilidade de implementação em Portugal desta solução de hipoteca e analisar do ponto de vista actuarial as diferentes variáveis associadas a este produto, nomeadamente os montantes a receber pelo mutuário.

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

Consumer Advisory Bulletin, Mounting Mortgage Payments? Call the Iowa Mortgage Help Hotline!, December 2010

The Attorney General’s Consumer Protection Division receives hundreds of calls and consumer complaints every year. Follow these tips to avoid unexpected expense and disappointments. This record is about: Mounting Mortgage Payments? Call the Iowa Mortgage Help Hotline!

Consumer Behavior in Mortgage Market: Evidence from Russia

The purpose of this master thesis is to identify behavioral patterns of potential borrower in mortgage market in crisis conditions and to link mortgage products available on Russian market with potential borrowers segments in dependence of detected patterns. Empirical results achieved through 172 answers of potential borrowers allowed to classify them in four groups in dependence of respondent perceptions about mortgage and future. On the basis of literature review and currently state of Russian mortgage market particular mortgage products were suggested to each of four clusters of potential borrowers. Then, recommendations for Russian banks how to apply received results were developed. Current master thesis has strong both academic and managerial contributions. It it adds significant value to existing consumer behavior studies; and provides practical recommendations for Russian banks how to understand mortgage borrower behavior in order to increase trust to mortgage among population.

Application for Loan, Mortgage Loan Envelope, and Abstract of Title

Atkins, Sarah A. and Carlisle A. Gardner includes: Application for Loan, July 26, 1884; Mortgage Loan Envelope no. 255 for July 1, 1884 – July 1, 1889 and Abstract of Title, August 28, 1884.

Cogswell, Maria, includes: Application for loan on Real Estate, Insurance Policy, Mortgage Loan Envelope

Cogswell, Maria, includes: Application for loan on Real Estate, Feb. 20, 1882; Insurance Policy no. 2199780 from the Royal Insurance Company of Liverpool, March 17, 1887 and Mortgage Loan Envelope for mortgage no. 1535 from March 1, 1882 – March 1, 1887.

Crew, Isaac M., includes: Application for Loan, Mortgage Loan Envelope, and Abstract of Title

Crew, Isaac M., includes: Application for Loan, March 10, 1885; Mortgage Loan Envelope no. 679 for Jan. 1, 1885 – Jan. 1, 1890 and Abstract of Title, April 13, 1885.

Crick, Henry A., includes Application for Loan, and Mortgage Loan Envelope

Crick, Henry A., includes Application for Loan, Jan. 8, 1885 and Mortgage Loan Envelope no. 637 for Jan. 1, 1885 – Jan. 1, 1890.

Mank, Isaac, Mortgage Loan Envelope no. 640

Mank, Isaac, Mortgage Loan Envelope no. 640 for Jan. 1, 1885 – Jan. 1, 1890

Schmidt, John, includes: Application for Loan, and Mortgage Loan Envelope, and Abstract of Title

Schmidt, John, includes: Application for Loan, Aug. 8, 1884 and Mortgage Loan Envelope no. 302 for July 1, 1884 – July 1, 1889 and Abstract of Title, Sept. 6, 1884.

Form letter: a printed, 2 1/2 page copy of Jarvis Conklin and Co. Mortgage, Loans and Municipal Bonds letter to S.D. Woodruff, signed by James Conklin

Form letter: a printed, 2 1/2 page copy of Jarvis Conklin and Co. Mortgage, Loans and Municipal Bonds letter to S.D. Woodruff, signed by James Conklin, n.d.