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Journal Article
The Federal Reserve’s Term Asset-Backed Securities Loan Facility
Ashcraft, Adam B.; Pozsar, Zoltan; Malz, Allan M. (2012-11)
The securitization markets for consumer and business asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS), which supply a substantial share of credit to consumers and small businesses, came to a near-complete halt in the fall of 2008, as investors responded to a drastic decline in funding liquidity by curtailing their participation in these markets. In response, the Federal Reserve introduced the TALF program, which extended term loans collateralized by securities to buyers of certain high-quality ABS and CMBS, as part of a broad array of emergency liquidity measures ...
Economic Policy Review , Volume 18 , Issue Nov , Pages 29-66

Journal Article
Regulation’s role in bank changes
Olson, Peter (2012-07)
This is the first article in a series which explores the changing role of banks in the financial intermediation process. It accompanies a Liberty Street Blog series. Both discuss the complexity of the credit intermediation chain associated with securitization and note the growing participation of nonbank entities within it. These series also discuss implications for monitoring and rulemaking going forward. In the article, the author argues that government involvement has been a significant factor in financial innovation and describes a number of the regulatory, legal, and policy decisions ...
Economic Policy Review , Issue Jul , Pages 13-20

Working Paper
\"Cream-skimming\" in subprime mortgage securitizations : which subprime mortgage loans were sold by depository institutions prior to the crisis of 2007?
Henderson, Christopher; Calem, Paul S.; Liles, Jonathan (2010)
Depository institutions may use information advantages along dimensions not observed or considered by outside parties to "cream-skim," meaning to transfer risk to naive, uninformed, or unconcerned investors through the sale or securitization process. This paper examines whether "cream-skimming" behavior was common practice in the subprime mortgage securitization market prior to its collapse in 2007. Using Home Mortgage Disclosure Act data merged with data on subprime loan delinquency by ZIP code, the authors examine the bank decision to sell (securitize) subprime mortgages originated in ...
Working Papers , Paper 10-8

Working Paper
An analysis of the potential competitive impacts of Basel II capital standards on U.S. mortgage rates and mortgage securitization
Hancock, Diana; Sherlund, Shane M.; Passmore, Wayne; Lehnert, Andreas (2005)
Basel II White Paper , Paper 3

Discussion Paper
Reviving mortgage securitization: lessons from the Brady Plan and duration analysis
Mann, Catherine L.; Gumbau-Brisa, Fabia (2009)
We review the period of the Latin American debt crisis in order to draw policy analogies from that experience for current U.S. credit securitization markets. During the earlier episode the Brady Plan used a zero-coupon U.S. Treasury security to provide a credit enhancement for the troubled assets. This revitalized the market for Latin American debt by: (1) ameliorating the dual solvency problem that affected both creditors and debtors, and (2) revealing asset prices as dominated by risk fundamentals rather than by short-run factors. The cost of the Brady plan was quite small relative to its ...
Public Policy Discussion Paper , Paper 09-3

Journal Article
Large-scale asset purchases by the Federal Reserve: did they work?
Raskin, Matthew; Sack, Brian P.; Remache, Julie; Gagnon, Joseph E. (2011-05)
In this study, authors Joseph Gagnon, Matthew Raskin, Julie Remache and Brian Sack review the Federal Reserve?s experience with implementing the LSAPs between late 2008 and March 2010. They explain that the target fed funds rate was set as low as possible in December 2008. Thus, to further ease the stance of monetary policy as the economic outlook deteriorated, the central bank purchased substantial quantities of assets with medium and long maturities?housing agency debt, agency mortgage-backed securities (MBS) and Treasuries?to drive down private borrowing rates. ; Title of Special Issue: ...
Economic Policy Review , Volume 17 , Issue May , Pages 41-59

Journal Article
Laying the foundation for a mortgage industry in Mexico
Skelton, Edward C. (2006)
Economic Letter , Volume 1

Report
MBS ratings and the mortgage credit boom
Ashcraft, Adam B.; Vickery, James; Goldsmith-Pinkham, Paul (2010)
We study credit ratings on subprime and Alt-A mortgage-backed-securities (MBS) deals issued between 2001 and 2007, the period leading up to the subprime crisis. The fraction of highly rated securities in each deal is decreasing in mortgage credit risk (measured either ex ante or ex post), suggesting that ratings contain useful information for investors. However, we also find evidence of significant time variation in risk-adjusted credit ratings, including a progressive decline in standards around the MBS market peak between the start of 2005 and mid-2007. Conditional on initial ratings, we ...
Staff Reports , Paper 449

Speech
Federal Reserve lending disclosure
Baxter, Thomas C. (2011)
Testimony of Thomas C. Baxter, Jr., and Scott G. Alvarez, General Counsel of the Board of Governors, before the Subcommittee on Domestic Monetary Policy and Technology, Committee on Financial Services, U.S. House of Representatives, Washington, D.C.
Speech , Paper 54

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