Arbeitspapier
The capital structure and governance of a mortgage securitization utility
We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government reinsurance for systemic or 'tail' risk. The structure we propose for the replacement of the GSEs focuses on aligning incentives for appropriate pricing and transfer of mortgage risks across the private sector and between the private sector and the government. We present the justification and mechanics of a vintage-based capital structure, and assess the components of the mortgage guarantee fee, whose size we find is most sensitive to the required capital ratio and the expected return on that capital. We discuss the implications of selling off some of the utility's mortgage credit risk to the capital markets and how the informational value of such transactions may vary with the level of risk transfer. Finally, we explore how mutualization could address incentive misalignments arising out of securitization and government insurance, as well as how the governance structure for such a financial market utility could be designed.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 644
- Klassifikation
-
Wirtschaft
Institutions and the Macroeconomy
Financial Crises
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
GSE
MBS
mortgage finance
cooperatives
financial market utility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mosser, Patricia C.
Tracy, Joseph
Wright, Joshua
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mosser, Patricia C.
- Tracy, Joseph
- Wright, Joshua
- Federal Reserve Bank of New York
Entstanden
- 2013
Ähnliche Objekte (12)
Securitization and the fixed-rate mortgage
The role of securitization in mortgage renegotiation
Understanding the securitization of subprime mortgage credit
Securitization of mortgage debt, asset prices and international risk sharing
Reviving mortgage securitization: Lessons from the Brady plan and duration analysis
Agency conflicts in residential mortgage securitization: What does the empirical literature tell us?
Feasibility of Mortgage-Backed Securitization for the Underserved Housing Market in the Philippines
How smart are investors after the subprime mortgage crisis? Evidence from the securitization market
Capital requirements, risk shifting and the mortgage market
The impact of the mortgage interest and capital deduction scheme on the Belgian mortgage market
Transparency through financial claims with fingerprints: a free market mechanism for preventing mortgage securitization induced financial crises
Competition and bank risk: the effect of securitization and bank capital
Securitization and the fixed-rate mortgage
The role of securitization in mortgage renegotiation
Understanding the securitization of subprime mortgage credit
Securitization of mortgage debt, asset prices and international risk sharing
Reviving mortgage securitization: Lessons from the Brady plan and duration analysis
Agency conflicts in residential mortgage securitization: What does the empirical literature tell us?
Feasibility of Mortgage-Backed Securitization for the Underserved Housing Market in the Philippines
How smart are investors after the subprime mortgage crisis? Evidence from the securitization market
Capital requirements, risk shifting and the mortgage market
The impact of the mortgage interest and capital deduction scheme on the Belgian mortgage market
Transparency through financial claims with fingerprints: a free market mechanism for preventing mortgage securitization induced financial crises
Competition and bank risk: the effect of securitization and bank capital
Securitization and the fixed-rate mortgage
The role of securitization in mortgage renegotiation
Understanding the securitization of subprime mortgage credit
Securitization of mortgage debt, asset prices and international risk sharing
Reviving mortgage securitization: Lessons from the Brady plan and duration analysis
Agency conflicts in residential mortgage securitization: What does the empirical literature tell us?
Feasibility of Mortgage-Backed Securitization for the Underserved Housing Market in the Philippines
How smart are investors after the subprime mortgage crisis? Evidence from the securitization market
Capital requirements, risk shifting and the mortgage market
The impact of the mortgage interest and capital deduction scheme on the Belgian mortgage market
Transparency through financial claims with fingerprints: a free market mechanism for preventing mortgage securitization induced financial crises