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Deposit market power, funding stability, and mortgage securitization✰

Alexander Núñez-Torres
Authors registered in the RePEc Author Service: Alexander Nunez Torres ()

Finance Research Letters, 2022, vol. 47, issue PA

Abstract: This paper quantifies the effect of deposit concentration on loan mortgage premiums for securitized mortgages and their subsequent servicing. Banks whose deposit concentration is one standard deviation above average sell loans with rates that are lower by 12.38 basis points. In the period preceding the Great Recession, this effect was almost three times greater; during the crisis the effect proved negligible; and the sample average has remained consistent following the crisis. Securitized loans have sources of risk that are mitigated by funding stability. Tests indicate that banks with a high deposit concentration may service mortgages for longer periods of time.

Keywords: Mortgage interest rates; Bank competition; Agency-securitization; Credit risk; Bank concentration (search for similar items in EconPapers)
JEL-codes: E32 G21 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005511

DOI: 10.1016/j.frl.2021.102613

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