Mortgage Loan Securitization and Relative Loan Performance

John Krainer and Elizabeth Laderman ()

No 2009-22, Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: We compare the ex ante observable risk characteristics, the default performance, and the pricing of securitized mortgage loans and mortgage loans retained by the original lender. We find that privately securitized fixed and adjustable-rate mortgages are riskier ex ante than lender-retained loans or loans securitized through the government sponsored agencies. We do not find any evidence of differential loan performance for privately securitized fixed-rate mortgages. However, we do find evidence that privately securitized adjustable-rate mortgages performed worse than retained mortgages, even after controlling for a large number of risk factors. Despite the higher measures of ex ante risk, the loan rates on privately securitized adjustable-rate mortgages were lower than for retained mortgages.

Keywords: Mortgage loans; securitization; loan quality; asymmetric information (search for similar items in EconPapers)
JEL-codes: D82 G21 L11 (search for similar items in EconPapers)
Pages: 38
Date: 2009-11-01
New Economics Papers: this item is included in nep-rmg and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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Journal Article: Mortgage Loan Securitization and Relative Loan Performance (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfwp:2009-22

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DOI: 10.24148/wp2009-22

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