Mortgage-Backed Securities and the Financial Crisis of 2008: a Post Mortem / Juan Ospina, Harald Uhlig.

Format:

Book

Author/Creator:

Ospina, Juan.

Contributor:

National Bureau of Economic Research.

Uhlig, Harald.

Series:

Working Paper Series (National Bureau of Economic Research) no. w24509.

NBER working paper series no. w24509

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Mortgage-Backed Securities and the Financial Crisis of 2008

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2018.

Summary:

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.

Notes:

Print version record

April 2018.