Publications

Publications

Filter Results: (41) Arrow Down

Show Results For

Page 1 of 41 Results →
  • January 1987 (Revised March 1989)
  • Background Note

Note on the Pricing of Mortgage-Backed Securities

By: Jay O. Light and Jeremy C. Stein
An introduction to mortgage-backed securities, prepayment risk, and their market pricing. View Details
Keywords: Price; Debt Securities; Mortgages; Financial Services Industry
Related
  • July 2020
  • Case

Mortgage Backed Securities and the Covid-19 Pandemic

By: Emil N. Siriwardane, Luis M. Viceira and Dean Xu
In April 2020, global financial markets were still reeling as the COVID-19 pandemic spread rapidly across the world. Global equity markets had initially fallen by 30% in response to the pandemic, and high-yield credit markets had dropped by nearly 20%. In contrast,... View Details
Keywords: COVID-19; Mortgage-backed Securities; Health Pandemics; Financial Markets; Assets; Resource Allocation; Financial Instruments; Decision Making
Related
  • February 1986 (Revised September 1994)
  • Case

Travelers Mortgage Securities CMO

Describes a series of collateralized mortgage obligations offered by Travelers Insurance. Provides a general description of the life insurance business and the role of life insurance in the capital markets. Also describes a variety of mortgage related instruments,... View Details
Keywords: Insurance; Capital Markets; Mortgages; Insurance Industry; United States
Related
  • July 2017
  • Case

Centerbridge Partners and Great Wolf Resorts: Buying from a Highly Regarded Competitor

By: Josh Lerner, John D. Dionne and Amram Migdal
The case examines the March 2015 Centerbridge Partners investment decision regarding whether to acquire Great Wolf Resorts, a North American family-oriented indoor water parks and hotel operator, from a private equity (PE) competitor, Apollo Global Management. The case... View Details
Keywords: Private Equity Financing; Commercial Mortgage Backed Securities; CMBS; Secondary Buyouts; Business Ventures; Acquisition; Finance; Borrowing and Debt; Cost; Cost of Capital; Equity; Private Equity; Financial Instruments; Debt Securities; Accommodations Industry; Entertainment and Recreation Industry; Financial Services Industry; North and Central America; United States
Related
  • February 1997
  • Background Note

Savings and Loans and the Mortgage Markets

By: Robert C. Merton and Alberto Moel
Provides a brief overview of the history of the savings and loans, the savings and loans crisis of the 1980s and 1990s, and the creation of the mortgage markets in the United States. Also explains briefly the most common types of mortgage-backed securities available. View Details
Keywords: History; Debt Securities; Markets; Mortgages; United States
Related
  • 03 May 2010
  • News

Leaders and Fiduciaries

  • 12 Nov 2012
  • News

The SEC vs. J.P. Morgan

  • 28 Oct 2010
  • News

The Fall Of Corporate Leadership

  • May 2005 (Revised January 2006)
  • Case

Mortgage Backs at Ticonderoga

Ticonderoga is a small hedge fund that trades in mortgage-backed securities--securities created from pooled mortgage loans. They often appear as straightforward so-called "pass-throughs," but can also be pooled again to create collateral for a mortgage security known... View Details
Keywords: Debt Securities; Mortgages; Investment Funds
Related

    How Quantitative Easing Works: Evidence on the Refinancing Channel

    When LSAPs are needed the most, simply bending the yield curve through purchasing government debt is not effective for stimulating the mortgage market (a key sector of the economy for the transmission of monetary policy). Purchasing mortgage-backed... View Details

    • 2014
    • Working Paper

    The Rise and Fall of Demand for Securitizations

    By: Sergey Chernenko, Samuel G. Hanson and Adi Sunderam
    Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these... View Details
    Keywords: Debt Securities; Financial Markets; Financial Crisis
    Related
    • 2015
    • Mimeo

    Market Power in Mortgage Lending and the Transmission of Monetary Policy

    By: David S. Scharfstein and Adi Sunderam
    We present evidence that high concentration in mortgage lending reduces the sensitivity of mortgage rates and refinancing activity to mortgage-backed security (MBS) yields. We isolate the direct effect of concentration and rule out alternative explanations in two ways.... View Details
    Keywords: Mortgage Lending; Market Power; Monetary Policy Transmission; Mortgages; Banking Industry; United States
    Related
    • August 2014
    • Article

    Mortgage Convexity

    By: Samuel G. Hanson
    Most home mortgages in the United States are fixed-rate loans with an embedded prepayment option. When long-term rates decline, the effective duration of mortgage-backed securities (MBS) falls due to heightened refinancing expectations. I show that these changes in MBS... View Details
    Keywords: Mortgages; Interest Rates; Volatility
    Related
    • 26 Jan 2015
    • Working Paper Summaries

    The Rise and Fall of Demand for Securitizations

    Keywords: by Sergey Chernenko, Samuel G. Hanson & Adi Sunderam
    • February 1997 (Revised April 1997)
    • Case

    Harrington Financial Group

    By: Robert C. Merton and Alberto Moel
    In early 1997, Harrington Bank, a small Indiana savings and loan (thrift) wondered what its next move should be. Harrington was acquired in 1988 by the principals of Smith Breeden Associates, a money-management and consulting firm specializing in the application of... View Details
    Keywords: Banks and Banking; Mergers and Acquisitions; Price; Risk Management; Mortgages; Contracts; Asset Management; Investment; Financial Services Industry
    Related

      Market Power in Mortgage Lending and the Transmission of Monetary Policy

      We present evidence that high concentration in mortgage lending reduces the sensitivity of mortgage rates and refinancing activity to mortgage-backed security (MBS) yields. We isolate the direct effect of concentration and rule out alternative explanations in two ways.... View Details
      • 2011
      • Chapter

      The Economics of Housing Finance Reform

      By: David S. Scharfstein and Adi Sunderam
      This paper analyzes the two leading types of proposals for reform of the housing finance system: (i) broad-based, explicit, priced government guarantees of mortgage-backed securities (MBS) and (ii) privatization. Both proposals have drawbacks. Properly-priced... View Details
      Keywords: Economics; Housing; Governing Rules, Regulations, and Reforms; Policy; Government and Politics
      Related
      • 09 Apr 2009
      • Working Paper Summaries

      The Economics of Structured Finance

      Keywords: by Joshua D. Coval, Jakub Jurek & Erik Stafford
      • 24 Feb 2011
      • Research & Ideas

      What’s Government’s Role in Regulating Home Purchase Financing?

      private mortgage credit dries up. "In that case, a government-owned corporation could guarantee newly issued, high-quality mortgage-backed securities to keep credit flowing," says Scharfstein. "This entity... View Details
      Keywords: by Sean Silverthorne; Financial Services
      • 20 Jan 2009
      • Research & Ideas

      Risky Business with Structured Finance

      absorbing losses in excess of 12 percent. The scholars also run a simulation that constructs a "CDO²" by further dividing the mezzanine tranches, noting that due to the practice of subdividing large pools of residential mortgages, many CDOs of View Details
      Keywords: by Julia Hanna; Banking; Financial Services