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【正文】 y) and FHMC (Freddie Mac) have been issuing Mortgage backed securities since the 1980s. ? The mortgage backed securities created with pools of subprime loans are thought to be the culprits in the current financial crisis and these were issued starting in the mid1990s. ? Source: “Credit Crunch of 2020,” by Paul Mizen in Federal Reserve Bank of St. Louis Review, September/October 2020, 90(5), pp. 531567. Mortgages Conventional Vs. Jumbo, AltA, and Subprime ? Conventional Mortgages adhered to certain standards. ?Borrowers must have good credit rating ?Ine documentation required ?Down payment required (typically 20%) ?Principal balance could not be higher than a certain amount ($729,750 in 2020) ? Jumbo Loans ?Made to borrowers with good credit (., prime borrowers) but the principal balance is larger than the Agency (Fannie and Freddie) limits (729,750 in 2020). ? AltA Loans ?Made to prime borrowers but lax on other standards such as ine documentation or down payment requirements ? Subprime Loans ?Made to borrowers with bad credit ratings. Other standards may also be relaxed. Source: “Understanding the Securitization of Subprime Mortgage Credit’” Ashcraft and Schuermann, Federal Reserve Bank of New York Staff Report 318, March 2020. Subprime loans increased dramatically… Source: “Money for Nothing and Checks for Free” by John Kiff and Paul Mills, IMF Working Paper, July 2020. But were still a small part of all mortages.. Source: “Money for Nothing and Checks for Free” by John Kiff and Paul Mills, IMF Working Paper, July 2020. The Subprime Mortgage Securitization Process Mortgagor (Borrower) Bank/Financial Institution (Originator) Requests loan Provides loan Arranger/ Issuer Loan sold Investors issues securities Warehouse Lender (makes short term loans to Issuer for purchase of mortgages) Credit Rating Agency SPV (Trust) Loans pooled and sold to Trust Servicer (is employed by Trust to collect loan payments etc.) Makes loan payments Remits loan payments to Trust and advances unpaid interest payments. Provides customer service to borrower Adapted from: “Understanding the Securitization of Subprime Mortgage Credit’” Ashcraft and Schuermann, Federal Reserve Bank of New York Staff Report 318, March 2020. Source: “Understanding the Securitization of Subprime Mortgage Credit’” Ashcraft and Schuermann, Federal Reserve Bank of New York Staff Report 318, March 2020. Source: “Understanding the Securitization of Subprime Mortgage Credit’” Ashcraft and Schuermann, Federal Reserve Bank of New York Staff Report 318, March 2020. Source: “Money for Nothing and Checks for Free” by John Kiff and Paul Mills, IMF Working Paper, July 2020. Creation of the A Highly Simplified illustration.. ? Originator makes, lets say, a 100 loans adding up to, say, $80 million. The expected payback is $80 million (Principal) plus the interest payments of, say, $5million (assuming no def
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