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Essays in Mortgage Funding and Risk Management.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays in Mortgage Funding and Risk Management./
Author:	Bellicha, Aya.
Description:	1 online resource (154 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.
Contained By:	Dissertation Abstracts International78-10A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9781369842395

Essays in Mortgage Funding and Risk Management.
Bellicha, Aya.

Essays in Mortgage Funding and Risk Management. - 1 online resource (154 pages)

Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

This dissertation consists of three chapters on mortgage funding and risk management. The U.S mortgage market is very concentrated. In 2006, the top 40 lenders were responsible for the origination of 96 percent of all mortgages (Stanton et al. (2014)). These large lenders originated about 60 percent of the mortgages through the wholesale channel, delegating parts of the origination process to third party agents such as mortgage brokers and correspondent lenders. I show that the type of agent selected by the wholesale lender could crowd out local banks, who often act as correspondents and rely on these wholesale lenders for funding. I also show that this crowding out has spillover eects. As local banks decreased their presence in the county, they have also reduced other types of lending. As a result, their local communities showed less growth in small businesses.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781369842395Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays in Mortgage Funding and Risk Management.
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100 1 $a Bellicha, Aya. $3 1180578
245 1 0 $a Essays in Mortgage Funding and Risk Management.
264 0 $c 2016
300 $a 1 online resource (154 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 78-10(E), Section: A.
500 $a Adviser: Nancy Wallace.
502 $a Thesis (Ph.D.) $c University of California, Berkeley $d 2016.
504 $a Includes bibliographical references
520 $a This dissertation consists of three chapters on mortgage funding and risk management. The U.S mortgage market is very concentrated. In 2006, the top 40 lenders were responsible for the origination of 96 percent of all mortgages (Stanton et al. (2014)). These large lenders originated about 60 percent of the mortgages through the wholesale channel, delegating parts of the origination process to third party agents such as mortgage brokers and correspondent lenders. I show that the type of agent selected by the wholesale lender could crowd out local banks, who often act as correspondents and rely on these wholesale lenders for funding. I also show that this crowding out has spillover eects. As local banks decreased their presence in the county, they have also reduced other types of lending. As a result, their local communities showed less growth in small businesses.
520 $a The second chapter discusses the perils of warehouse lending. Warehouse lending is an important part of the U.S. mortgage market because a large fraction of mortgage origination, both pre-crisis and currently, is carried out by non-depositories who are reliant on warehouse facilities to fund their mortgage origination activity. After the passage of The Bankruptcy Abuse Prevention Act (BAPCPA), in April 2005, most warehouse facilities were structured as Master Repurchase Agreements (MRAs). BAPCPA re-dened the mortgage loans held as collateral on the warehouse lines (the newly originated mortgages) as repo thus exempting them from automatic stay upon the bankruptcy of the mortgage originator (the repo seller). We consider the eect of the growth of MRAs for funding mortgage originations on the performance of the mortgage originators (repo sellers) and warehouse lenders (repo buyers). We nd that mortgage originators (repo sellers), that used MRAs to fund their loans, originated mortgages of lower quality and that these originators were more likely to declare bankruptcy. Symmetrically, we nd that the warehouse lenders (repo buyers) experienced a sharper increase in mortgage charge-os and non-performing mortgages than non-warehouse lenders, even though the quality of the retail and wholesale mortgages that they originated were comparable to the quality of mortgages originated by non warehouse lenders. This negative outcome for warehouse lenders arose from the exemption of the mortgage repo collateral from automatic stay, since under BAPCPA the poor quality assets of bankrupt counter parties, the mortgage originators, became consolidated on the warehouse lender balance sheets. Thus, the consolidated loans from the bankrupt counter parties generated an important component of the deterioration in the warehouse lenders' mortgage.
520 $a In the third chapter, we propose an empirical duration measure for the stock of U.S. Agency MBS that appears to be less prone to model risk than measures such as the Barclays Eective Duration measure. We nd that this measure does not appear to have a strong eect on the 12-month excess returns of ten-year Treasuries as would be expected if shocks to MBS duration lead to commensurate shocks to the quantity of interest rate risk borne by professional bond investors (see, Hanson, 2014; Malkhozov et al., 2016). Given this negative reduced form result, we then explore the mortgage and treasury hedging activities of the primary MBS investors such as commercial banks, insurance companies, the agencies, the Federal Reserve Bank, Mutual Funds, and foreign investors. We nd that the only investors that may follow the models of Hanson (2014) and Malkhozov et al. (2016) are foreign investors in Switzerland and the United Kingdom and life insurance rms. Life insurance rm market share has declined over the period, dropping below 10% since 1996 and reaching 4% in 2016. Furthermore, Switzerland and the United Kingdom are not major participants in the US Treasury market. Of the investors we are not able to study, hedge funds and pensions/retirement funds are the two investor groups that may trade along the Hanson (2014) and Malkhozov et al. (2016) models. However, although these two investor groups held almost 25% of the Agency MBS market (including households and non prot organizations) in the late 1990s, post crisis their share has fallen below 10%.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of California, Berkeley. $b Business Administration, Ph.D. Program. $3 1180579
773 0 $t Dissertation Abstracts International $g 78-10A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10251411 $z click for full text (PQDT)