Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem

Harald Uhlig () and Juan Ospina-Tejeiro

No 12852, CEPR Discussion Papers from Centre for Economic Policy Research

Abstract: We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS), issued up to 2008. We have created a new and detailed data set on the universe of non-agency residential mortgage backed securities, per carefully assembling source data from Bloomberg and other sources. We compare these payoffs to their ex-ante ratings as well as other characteristics. We establish seven facts. First, the bulk of these securities was rated AAA. Second, AAA securities did ok: on average, their total cumulated losses up to 2013 are 2.3 percent. Third, the subprime AAA-rated segment did particularly well. Fourth, later vintages did worse than earlier vintages, except for subprime AAA securities. Fifth, the bulk of the losses were concentrated on a small share of all securities. Sixth, the misrating for AAA securities was modest. Seventh, controlling for a home price bust, a home price boom was good for the repayment on these securities. Together, these facts provide challenge the conventional narrative, that improper ratings of RMBS were a major factor in the financial crisis of 2008.

Keywords: Mortgage-backed securities; Mbs; Financial crisis of 2008; Credit ratings (search for similar items in EconPapers)
JEL-codes: G01 G21 G23 G24 (search for similar items in EconPapers)
Date: 2018-04
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (13)

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Working Paper: Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem (2018)
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