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Credit risk transfer and de facto GSE reform

Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018

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 programs …

Persistent link: https://www.econbiz.de/10011942783

Peas in a pod? Comparing the U.S. and Danish mortgage finance systems

Berg, Jesper; Bækmand Nielsen, Morten; Vickery, James - 2018

covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features … of the Danish mortgage finance system and compare and contrast it to the U.S. system. We also note characteristics of the … Danish model that may be of interest as the United States considers further mortgage finance reform. In particular, the …

Persistent link: https://www.econbiz.de/10012144691

A private lender cooperative model for residential mortgage finance

Dechario, Toni; Mosser, Patricia; Tracy, Joseph; … - 2010

this model are consistent with preserving the 'to-be-announced,' or TBA, market - particularly if the fixed-rate mortgage …

Persistent link: https://www.econbiz.de/10010287061

Fire-sale spillovers and systemic risk

Duarte, Fernando; Eisenbach, Thomas M. - 2013

We construct a new systemic risk measure that quantifies vulnerability to fire-sale spillovers using detailed regulatory balance sheet data for U.S. commercial banks and repo market data for broker-dealers. Even for moderate shocks in normal times, fire-sale externalities can be substantial. For...

Persistent link: https://www.econbiz.de/10010333593

Bank-intermediated arbitrage

Boyarchenko, Nina; Eisenbach, Thomas M.; Gupta, Pooja; … - 2018

We argue that post-crisis bank regulation can explain large, persistent deviations from parity on basis trades requiring leverage. Documenting the financing cost and balance sheet impact on a broad array of basis trades for regulated institutions, we show that the implied return on equity on...

Persistent link: https://www.econbiz.de/10012144701

Financial stability monitoring

Adrian, Tobias; Covitz, Daniel; Liang, Nellie - 2013

While the Dodd-Frank Act (DFA) broadens the regulatory reach to reduce systemic risks to the U.S. financial system, it does not address some important risks that could migrate to or emanate from entities outside the federal safety net. At the same time, it limits the types of interventions by...

Persistent link: https://www.econbiz.de/10010333580

Money market funds intermediation, bank instability, and contagion

Cipriani, Marco; Martin, Antoine; Parigi, Bruno M. - 2013

In recent years, U.S. banks have increasingly relied on deposits from financial intermediaries, especially money market funds (MMFs), which collect funds from large institutional investors and lend them to banks. In this paper, we show that intermediation through MMFs allows investors to limit...

Persistent link: https://www.econbiz.de/10010333619

Gates, fees, and preemptive runs

Cipriani, Marco; Martin, Antoine; McCabe, Patrick; … - 2014

We build a model of a financial intermediary, in the tradition of Diamond and Dybvig (1983), and show that allowing the intermediary to impose redemption fees or gates in a crisis - a form of suspension of convertibility - can lead to preemptive runs. In our model, a fraction of investors...

Persistent link: https://www.econbiz.de/10011340960

The role of technology in mortgage lending

Fuster, Andreas; Plosser, Matthew; Schnabl, Philipp; … - 2018

Technology-based ("FinTech") lenders increased their market share of U.S. mortgage lending from 2 percent to 8 percent … from 2010 to 2016. Using market-wide, loan-level data on U.S. mortgage applications and originations, we show that FinTech … lenders process mortgage applications about 20 percent faster than other lenders, even when controlling for detailed loan …

Persistent link: https://www.econbiz.de/10011942781

Regulation and risk shuffling in bank securities portfolios

Fuster, Andreas; Vickery, James - 2018

Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy change that ties regulatory capital to the market value of the "available-for-sale" investment securities portfolio for some banking organizations. Our analysis is based on...

Persistent link: https://www.econbiz.de/10012144694