We estimate holdings of highly-rated tranches of mortgage securitizations of American deposit-taking banks ahead of the …-rated tranches. We find, however, that banks active in securitization held more highly-rated tranches. Such a result can be …

mortgage and the lender's subsequent choice whether to renegotiate or "modify" the loan. The theoretical model and econometric … analysis illustrate that "unaffordable" loans, defined as those with high mortgage payments relative to income at origination … explanation for the low number of modifications to date than contract frictions related to securitization agreements between …

delays using the residential mortgage market as a laboratory. We find a strong relationship between mortgage performance and … information, and in cases where the originator and the issuer of mortgage-backed securities are not affiliated …

the mortgage secondary market fostered by securitization has reduced the impact of local funding shocks on credit supply …This paper shows that securitization reduces the influence of bank financial condition on loan supply. Low-cost funding …. By extension, securitization has weakened the link from bank funding conditions to credit supply in aggregate, thereby …

We assess the credit market impact of allowing mortgage "strip-down"--that is, reducing the principal of underwater … provided by a series of U.S. Circuit Court of Appeals decisions in the early 1990's that introduced mortgage strip-down in … Court decision led to a short-term reduction of 3% in mortgage interest rates and a short-term increase of 1% in mortgage …

to be affected by securitization, and to different definitions of delinquency. Our results are strongest in subsamples in …

We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS …), issued up to 2008. We have created a new and detailed data set on the universe of non-agency residential mortgage backed …

This paper quantifies the scale and scope of the commercial real estate mortgage bond market in the period surrounding … the 1920s in an attempt to better understand the role of retail mortgage debt in early urban development. In particular … utilizes a unique data set to construct a commercial mortgage price index over the period 1926-1935.A substantial retail …

Using the government-sponsored enterprises’ sharp securitization rules, this paper provides evidence that, in the … disasters increase bunching, suggesting an increased option value of securitization. The increase is lower where flood insurance … is required. A model identified using indirect inference simulates increasing disaster risk without GSEs. Mortgage credit …

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 …