A note on refinancing costs, prepayment assumptions, and the value of mortgage-backed securities

1990 ◽  
Vol 3 (3) ◽  
Author(s):  
TerrenceM. Clauretie ◽  
Mel Jameson ◽  
RonaldC. Rogers
Keyword(s):  
Mortgage Backed Securities ◽  
Refinancing Costs

Portfolio Strategies Using Mortgage-Backed Securities (II)

1985 ◽  
Vol 1985 (1) ◽  
pp. 58-61
Author(s):  
Richard L. Sega
Keyword(s):  
Portfolio Strategies ◽  
Mortgage Backed Securities

Portfolio Strategies Using Mortgage-Backed Securities (I)

1985 ◽  
Vol 1985 (1) ◽  
pp. 53-57
Author(s):  
William H. Gross
Keyword(s):  
Portfolio Strategies ◽  
Mortgage Backed Securities

Characteristics of Mortgage-Backed Securities (II)

1985 ◽  
Vol 1985 (1) ◽  
pp. 26-34
Author(s):  
Richard B. Worley
Keyword(s):  
Mortgage Backed Securities

Valuing Canadian Mortgage-Backed Securities

1989 ◽  
Vol 45 (3) ◽  
pp. 55-60 ◽  
Author(s):  
Phelim P. Boyle
Keyword(s):  
Mortgage Backed Securities

The Reality of Mortgage-Backed Securities and Improvement of MBS Legal System

2018 ◽  
Vol 29 (1) ◽  
pp. 27-57
Author(s):  
Ho-Shin Song
Keyword(s):  
Legal System ◽  
Mortgage Backed Securities

Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension

1997 ◽  
Vol 1 (1) ◽  
pp. 27-46 ◽  
Author(s):  
Russel Caflisch ◽  
William Morokoff ◽  
Art Owen
Keyword(s):  
Effective Dimension ◽  
Brownian Bridges ◽  
Mortgage Backed Securities

Prepayment Analysis of Residential Mortgage Backed Securities for Indian Securitization Market

2008 ◽  
Author(s):  
Gireesh Chandra Tripathi ◽  
K. C. Iyer
Keyword(s):  
Residential Mortgage ◽  
Mortgage Backed Securities

Incentives and Mortgage-Backed Securities Ratings

2009 ◽  
Author(s):  
Adam B. Ashcraft ◽  
Paul Goldsmith-Pinkham ◽  
James I. Vickery
Keyword(s):  
Mortgage Backed Securities

Servicers and Mortgage-Backed Securities Default: Theory and Evidence

2010 ◽  
Author(s):  
Brent W. Ambrose ◽  
Anthony B. Sanders ◽  
Abdullah Yavas
Keyword(s):  
Default Theory ◽  
Mortgage Backed Securities

scholarly journals Do investors value frequent issuers in securitization?

2021 ◽  
Author(s):  
Solomon Y. Deku ◽  
Alper Kara ◽  
Nodirbek Karimov
Keyword(s):  
Financial Crisis ◽  
Foreign Banks ◽  
Yield Spread ◽  
Information Asymmetries ◽  
Crisis Period ◽  
Credit Quality ◽  
Initial Yield ◽  
Mortgage Backed Securities ◽  
Lending Standards ◽  
Credit Cycle

AbstractWe assess the value of frequent issuers to investors in securitization markets by examining the initial yield spread of 6132 European mortgage-backed securities (MBS), covering a 20-year period between 1999 and 2018. We find that frequent issuers have certification value, and it increases as the credit cycle approaches its peak, as lending standards loosen, and information asymmetries in securitization markets increase. Investors value frequent issuers more favourably on riskier, difficult to evaluate MBS. We find that after the great financial crisis (GFC), investors began to attribute more value to frequent issuers, regardless of MBS credit quality. We also find that in the pre-crisis period, investors required higher yields to compensate for perceived rating shopping, which is not observed after the GFC. Finally, we show that investors expect higher yields on deals closed by subsidiaries of foreign banks.

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