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Report
The capital structure and governance of a mortgage securitization utility
We explore the capital structure and governance of a mortgage-insuring securitization utility operating with government reinsurance for systemic or ?tail? risk. The structure we propose for the replacement of the GSEs focuses on aligning incentives for appropriate pricing and transfer of mortgage risks across the private sector and between the private sector and the government. We present the justification and mechanics of a vintage-based capital structure, and assess the components of the mortgage guarantee fee, whose size we find is most sensitive to the required capital ratio and the ...