collateralized mortgage obligations are derivatives securities based on mortgage loans which issued in different maturities, interest rates and credit ratings. in iran attention to decision authorities for the first time allowed iran melli bank and maskan bank to issue this kind of securities. one of the main questions in issuing this kind of securities is maximizing the issuer profit by choosi...

retained by banks in their portfolios until they matured or were paid off. Securitization is a process by which mortgages (typically a large pool of mortgages) are used as collateral to issue securities, also known as mortgage-backed securities (MBS). Some mortgage securities are backed implicitly or explicitly by the U.S. government and are commonly called agency MBS. Such origination of mortg...

We describe a rational expectations model in which speculative bubbles in house prices can emerge. Within this model both speculators and their lenders use interestonly mortgages (IOs) rather than traditional mortgages when there is a bubble. Absent a bubble, there is no tendency for IOs to be used. These insights are used to assess the extent to which house prices in US cities were driven by s...

This paper studies the determinants and behavior of outstanding mortgage loan to value (LTV) ratios for a panel data set of 8867 Dutch households over the period 1992-2005. We find that outstanding LTVs are driven by household characteristics, life-cycle effects and mortgage type characteristics. LTV declines with the time elapsed since mortgage commencement, but this decline is faster for soca...

This paper presents a quantitative analysis of prepayment data based on the historical prepayment experience of two banks in Hong Kong. One of the most distinctive features of mortgages as an asset class is the existence of prepayment risk. Research in prepayment has matured into a coherent body of work that has a sound theoretical framework and consistent empirical validation. Previous researc...

At the end of 2012, almost one-fifth of owner-occupier mortgages were in arrears. A further five per cent not in arrears were classified as “restructured” loans. This Economic Letter looks at the impact of financial distress on household expenditure patterns by comparing the behaviour of households in mortgage distress with similar households in the general population. It finds that, controllin...

Many of the origins of the recent financial crisis were in the United States, beginning with subprime mortgages and mortgage securities. As the crisis spread globally, few market participants or regulatory authorities saw it coming, and all underestimated its severity. In the United States, the crisis has sparked many proposals to address its perceived causes and prevent a recurrence. Proposals...

In the view of many analysts, the best way to assist “underwater” homeowners—those who owe more on their mortgages than their houses are worth—is to reduce the principal on their home loans. Yet in the case of privately securitized mortgages, such write-downs are almost impossible to carry out, since loan modifications on the scale necessitated by the housing market crash would require collecti...

This paper looks at the problem of endowment assurances which do not meet their targets to repay residential mortgages. Through the analysis of the present value of payments under different inflation and interest-rate regimes, we conclude that the perceived problems with endowment policies may simply be a manifestation of "money illusion". Nevertheless, there could frictional problems and other...