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Defaults and losses on commercial real estate bonds

Wiggers, Tyler; Ashcraft, Adam B. - 2012

-32) to determine their frequency of default and total loss given default. Default rates on these bonds far exceeded those … higher loan-to-value ratios results in higher rates of default and loss. They also support the business cycle's significance … is a rapid recovery around the corner. -- Great Depression ; CMBS market ; default and loss study ; commercial real …

Persistent link: https://www.econbiz.de/10009521614

Beyond thirty : treasury issuance of long-term bonds from 1953 to 1965

Garbade, Kenneth D. - 2017

Ever since the emergence of regular and predictable issuance of coupon-bearing Treasury debt in the 1970s, thirty years has marked the outer boundary of Treasury bond maturities. However, longer-term bonds were not unknown in earlier years. Seven such bonds, including one with a forty-year term,...

Persistent link: https://www.econbiz.de/10011586602

MBS ratings and the mortgage credit boom

Ashcraft, Adam B.; Goldsmith-Pinkham, Paul; Vickery, James - 2010

We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post),...

Persistent link: https://www.econbiz.de/10008657284

Climate regulatory risks and corporate bonds

Seltzer, Lee; Starks, Laura T.; Zhu, Qifei - 2022

Investor concerns about climate and other environmental regulatory risks suggest that these risks should affect corporate bond risk assessment and pricing. We test this hypothesis and find that firms with poor environmental profiles or high carbon footprints tend to have lower credit ratings and...

Persistent link: https://www.econbiz.de/10013193337

Exorbitant privilege? : quantitative easing and the bond market subsidy of prospective fallen angels

Acharya, Viral V.; Banerjee, Ryan; Crosignani, Matteo; … - 2022

We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative easing (QE). Prospective fallen angels - risky firms just above the IG rating cutoff-enjoyed subsidized bond financing since 2009, especially when the scale of QE purchases peaked...

Persistent link: https://www.econbiz.de/10013161890

The shifting drivers of global liquidity

Avdjiev, Stefan; Gambacorta, Leonardo; Goldberg, Linda S.; … - 2017

The post-crisis period has seen a considerable shift in the composition and drivers of international bank lending and international bond issuance, the two main components of global liquidity. The sensitivity of both types of flows to U.S. monetary policy rose substantially in the immediate...

Persistent link: https://www.econbiz.de/10011671045

Local banks, credit supply, and house prices

Blickle, Kristian - 2018

I study the effects of an increase in the supply of local mortgage credit on local house prices and employment by exploiting a natural experiment from Switzerland. In mid-2008, losses in U.S. security holdings triggered a migration of dissatisfied retail customers from a large, universal bank,...

Persistent link: https://www.econbiz.de/10011943458

Understanding the securitization of subprime mortgage credit

Ashcraft, Adam B. (contributor); Schuermann, Til (contributor) - 2008

In this paper, we provide an overview of the subprime mortgage securitization process and the seven key informational frictions that arise. We discuss the ways that market participants work to minimize these frictions and speculate on how this process broke down. We continue with a complete...

Persistent link: https://www.econbiz.de/10003781458

Juvenile delinquent mortgages : bad credit or bad economy?

Haughwout, Andrew (contributor); … - 2008

We study early default, defined as serious delinquency or foreclosure in the first year, among nonprime mortgages from … environment. We find that while credit standards were important in determining the probability of an early default, changes in the … default rates. A notable additional result is that despite our rich set of covariates, much of the increase remains …

Persistent link: https://www.econbiz.de/10003781681

Second chances : subprime mortgage modification and re-default

Haughwout, Andrew; Okah, Ebiere; Tracy, Joseph S. - 2009

reduced as part of the modification. The data indicate that the re-default rate declines with the magnitude of the reduction … in the monthly payment, but also that the re-default rate declines relatively more when the payment reduction is achieved …

Persistent link: https://www.econbiz.de/10003948209