Mortgage-Backed Securities

Fuster, Andreas; Lucca, David O.; Vickery, James

doi:10.2139/ssrn.4026234

Cited by 3 publications

(3 citation statements)

References 69 publications

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“…He concluded that securitization had no direct impact on the supply of new SME loans and there was strong evidence that securitization had a stabilizing effect on banks' balance sheets in terms of the risks posed during the 2010-2014 period. In their study, Fuster et al, (2022) investigated the economic effects of MBS risks and asset pricing and mortgage securitization by examining factors such as market size and growth of the mortgage-backed securities market. Based on the findings, they found that the mortgage-backed securities market was expanding and growing day by day.…”

Section: Literaturementioning

confidence: 99%

Securitization based on reverse mortgage in financial markets

Yüzbaşıoğlu

2024

Business Economics and Management Research Journal

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This study examines whether returns can be obtained when the securitization process is applied to the reverse mortgage system. To simulate future interest rate forecasts for reverse mortgages in the United States, data for the period 2012-2022 was obtained from "investing.com," Moody's, the Federal Reserve Bank (FED), and the World Bank databases. Using the Matlab software package, various combinations of input variables affecting the asset pool of reverse mortgages were simulated using the Monte Carlo Simulation method. This allowed for the estimation of the minimum and maximum values of future returns, total interest expenses, and total interest amounts to be distributed. The findings of the study suggest that returns are obtained when securitization is applied to the reverse mortgage system. Additionally, the Monte Carlo Simulation method is deemed useful for evaluating the asset pool of reverse mortgages, and it is believed that securitization can significantly contribute to the economy by converting the assets involved in the implementation of reverse mortgages into liquid assets.

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Section: Literaturementioning

confidence: 99%

Securitization based on reverse mortgage in financial markets

Yüzbaşıoğlu

2024

Business Economics and Management Research Journal

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“…In no time, when the US housing market and associated assets were starting to show indications of concern, Goldman, Sachs & Co. was founded by Paulson & Co. to assemble a synthetic collateralized debt obligation("CDO") [2] called ABACUS 2007-AC1, in exchange for $15 million fee. This synthetic CDO [3] constructed and issued by Goldman refers to a reference portfolio consisting of subprime residential mortgage-backed securities ("RMBS") [4] obligations and was linked to the performance of RMBS. According to the Securities and Exchange Commission's (SEC) complaint, Paulson intended to short the risky mortgage bonds, which were effectively repackaged subprime mortgages using derivatives.…”

Section: Introductionmentioning

confidence: 99%

SWOT Analysis of ABACUS Transaction on Goldman, Sachs & Co.

2023

AEMPS

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The ABACUS deal involving Goldman Sachs was a significant event with profound consequences for Goldman Sachs and far-reaching implications for the financial industry. This paper will primarily analyze the impact of the ABACUS deal on Goldman Sachs and demonstrate the application of SWOT analysis in case studies. The entire paper will be divided into three sections according to the subheadings, with each section progressively building upon the previous to substantiate the viewpoints mentioned in the following paper. In the introduction section, the paper provides readers with a transaction overview, including the background, key players, and regulatory responses of the ABACUS Scandal, giving them a preliminary understanding of the research subject. Following that, the paper presents the process of demonstrating the internal and external impacts of the ABACUS Scandal on Goldman Sachs using the SWOT analysis, including considering the strengths, weaknesses, opportunities, and threats of the event. Lastly, the paper will summarize the findings regarding the aforementioned issues in the conclusion section, along with reviewing some shortcomings and limitations concerning research approaches, logical coherence, and other aspects. At the end of the paper, you will see both positive and negative effects on Goldman Sachs throughout the ABACUS deal from four aspects: strengths, weaknesses, opportunities, and threats.

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“…The U.S. MBS market is one of the largest and most liquid fixed-income markets in the world, with more than $11 trillion of securities outstanding and an average daily trading volume of nearly $300 billion. Issuance of MBS securities grew at an average annual rate of 43.7% from 1990 to the end of 2003 [1].…”

Section: Introduction To Rmbs Marketmentioning

confidence: 99%

A Study on Prepayment Risk of Residential Mortgage-backed Securitization in ChinaA Case of "JIAMEI 2018-1 MBS Program"

Jiang,

Yin,

Lin

et al. 2023

AEMPS

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The Residential Mortgage-Backed Securities market (RMBS) has played a large role in enhancing the liquidity of mortgages, and in relieving the pressure of capital constraints on commercial banks. There are three main risks associated with residential mortgage-backed securitization: prepayment risk, interest rate risk, and default risk. This paper analyzes the prepayment risk in the "JIAMEI 2018-1"RMBS, the largest single RMBS product of the Postal Saving Bank of China (About 14 billion RMB). We introduce the JIAMEI 2 018-1 and study the factors that affect its prepayment risk. Using data, we conclude that the products involved in this case have comparatively low prepayment risk, even under the double influence of the housing finance policy tightening and the impact of the COVID-19 Pandemic.

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Mortgage-Backed Securities

Cited by 3 publications

References 69 publications

Securitization based on reverse mortgage in financial markets

Securitization based on reverse mortgage in financial markets

SWOT Analysis of ABACUS Transaction on Goldman, Sachs & Co.

A Study on Prepayment Risk of Residential Mortgage-backed Securitization in ChinaA Case of "JIAMEI 2018-1 MBS Program"

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