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Prepayment and delinquency in the mortgage crisis period

Krainer, John; Laderman, Elizabeth - Federal Reserve Bank of San Francisco - 2011

We study the interaction of borrower mortgage prepayment and mortgage delinquency during the period between 2001 and 2010. We show that when house prices flattened and began their subsequent decline, borrowers had increasingly slow prepayments and that this decline in prepayment rates roughly...

Persistent link: https://www.econbiz.de/10009366925

Mortgage loan securitization and relative loan performance

Krainer, John; Laderman, Elizabeth - Federal Reserve Bank of San Francisco - 2009

We compare the ex ante observable risk characteristics and the default rates of securitized mortgage loans and mortgage … loans retained by the original lender. We find that privately securitized loans tend to be riskier and to default at a … faster rate than loans securitized with the GSEs and lender-retained loans. However, the differences in default rates across …

Persistent link: https://www.econbiz.de/10008489224

Subprime mortgage delinquency rates

Doms, Mark; Furlong, Fred; Krainer, John - Federal Reserve Bank of San Francisco - 2007

We evaluate the importance of three different channels for explaining the recent performance of subprime mortgages. First, the riskiness of the subprime borrowing pool may have increased. Second, pockets of regional economic weakness may have helped push a larger proportion of subprime borrowers...

Persistent link: https://www.econbiz.de/10005498377

Mortgage default and mortgage valuation

Krainer, John; LeRoy, Stephen F.; O, Munpyung - Federal Reserve Bank of San Francisco - 2009

We study optimal exercise by mortgage borrowers of the option to default. Also, we use an equilibrium valuation model incorporating default to show how mortgage yields and lender recovery rates on defaulted mortgages depend on initial loan-to-value ratios when borrowers default optimally. The...

Persistent link: https://www.econbiz.de/10008603776

Who receives a mortgage modification? Race and income differentials in loan workouts

Collins, J. Michael; Reid, Carolina - Federal Reserve Bank of San Francisco - 2010

the modification. This paper uses data from a sample of subprime loans made in 2005 to examine the incidence of loan … modification or less aggressive modification than white borrowers. Most modifications involve reductions in the loan’s interest …

Persistent link: https://www.econbiz.de/10008784288

Mortgages as recursive contracts

Krainer, John; Marquis, Milton H. - Federal Reserve Bank of San Francisco - 2003

Mortgages are one-sided contracts under which the borrower may terminate the contract at any time, while the lender must commit to honoring the terms of the contract throughout its life. There are two aspects to this feature of the contract that are modeled in this paper. The first is that the...

Persistent link: https://www.econbiz.de/10005401602

Homeownership at high cost : foreclosure risk and high cost loans in California

Lanzerotti, Laura - Federal Reserve Bank of San Francisco - 2006

Californians have high-cost home loans that they cannot afford. High cost loans are particularly common in low-income and minority …

Persistent link: https://www.econbiz.de/10005402293

Mortgages as recursive contracts

Krainer, John; Marquis, Milton H. - Federal Reserve Bank of San Francisco - 2003

Persistent link: https://www.econbiz.de/10010702204

The untold costs of subprime lending: examining the links among higher-priced lending, foreclosures and race in California

Reid, Carolina; Laderman, Elizabeth - Federal Reserve Bank of San Francisco - 2009

This paper explores the relationship between race, subprime lending, and foreclosure in California in an effort to understand what happened during the subprime lending boom. The paper finds that communities of color have been disproportionately affected by the foreclosure crisis, and that these...

Persistent link: https://www.econbiz.de/10008486547

Fixed-premium deposit insurance and international credit crunches

Spiegel, Mark M. - Federal Reserve Bank of San Francisco - 1994

We introduce a monopolistically-competitive model of foreign lending in which both explicit and implicit fixed-premium deposit insurance increase the degree to which bank participation in relending to problem debtors falls below its globally optimal level. This provides a channel for...

Persistent link: https://www.econbiz.de/10005078299