[{"data":1,"prerenderedAt":-1},["ShallowReactive",2],{"doc-seo-203208-105":3,"detail-sidebar-cat-0-en-105":81,"doc-detail-203208-en":131},{"code":4,"msg":5,"data":6},0,"ok",{"site_id":7,"language":8,"slug":9,"title":10,"keywords":11,"description":12,"schema_data":13,"social_meta":74,"head_meta":76,"extra_data":78,"updated_unix":80},105,"en","securitization-and-the-fixed-rate-mortgage-session-9","Securitization and the Fixed-Rate Mortgage - Session 9","","A presentation on how securitization influences the U.S. fixed-rate mortgage (FRM) market, especially FRM share in mortgage finance. It frames FRMs as risky to lenders due to interest-rate and prepayment risk, and treats securitization as a key channel for diversifying these risks across investors. The talk disentangles demand versus supply using funding-type variation, natural experiments, conforming loan limits, and liquidity shocks, then applies difference-in-differences and regression discontinuity with loan-level data from LPS to test effects near the conforming threshold.",{"@graph":14,"@context":73},[15,34,56],{"@type":16,"itemListElement":17},"BreadcrumbList",[18,23,27,31],{"item":19,"name":20,"@type":21,"position":22},"https://docshare.wps.com","Home","ListItem",1,{"item":24,"name":25,"@type":21,"position":26},"https://docshare.wps.com/document/","Document",2,{"item":28,"name":29,"@type":21,"position":30},"https://docshare.wps.com/document/research-report/","Research & Report",3,{"item":32,"name":10,"@type":21,"position":33},"https://docshare.wps.com/document/securitization-and-the-fixed-rate-mortgage-session-9/203208/",4,{"url":32,"name":10,"@type":35,"image":36,"author":41,"headline":10,"publisher":44,"fileFormat":47,"inLanguage":8,"description":12,"dateModified":48,"datePublished":49,"encodingFormat":47,"isAccessibleForFree":50,"interactionStatistic":51},"DigitalDocument",{"url":37,"@type":38,"width":39,"height":40},"https://docshare.wps.com/thumbnails/securitization-and-the-fixed-rate-mortgage-session-9/203208.png","ImageObject",300,407,{"name":42,"@type":43},"Berry Peter","Person",{"url":19,"name":45,"@type":46},"DocShare","Organization","application/pdf","2026-10-29","2026-09-04",true,{"@type":52,"interactionType":53,"userInteractionCount":55},"InteractionCounter",{"@type":54},"ViewAction",14,{"@type":57,"mainEntity":58},"FAQPage",[59,65,69],{"name":60,"@type":61,"acceptedAnswer":62},"Why are fixed-rate mortgages considered risky for lenders in this presentation?","Question",{"text":63,"@type":64},"They create interest-rate risk through maturity mismatch and prepayment risk through fluctuations in prepayment rates.","Answer",{"name":66,"@type":61,"acceptedAnswer":67},"What role does securitization play according to the talk?",{"text":68,"@type":64},"Securitization is presented as a key channel to diversify those risks, transferring them to entities such as insurers, pension funds, and international investors.",{"name":70,"@type":61,"acceptedAnswer":71},"How does the presentation isolate the effect of funding supply on FRM market share?",{"text":72,"@type":64},"It uses natural experiments that vary funding types while holding mortgage demand fixed, including changes tied to the conforming loan limit and liquidity shocks such as nonagency MBS freezes.","https://schema.org",{"og:url":32,"og:type":75,"og:title":10,"og:site_name":45,"og:description":12},"article",{"robots":77,"canonical":32},"index,follow",{"doc_id":79,"site_id":7},203208,1788556847,{"code":4,"msg":82,"data":83},"success",[84,88,92,96,101,106,111,115,120,123,127],{"id":22,"doc_module":4,"doc_module_name":25,"category_name":85,"show_sort_weight":86,"slug":87},"Story & Novel",90,"story-novel",{"id":26,"doc_module":4,"doc_module_name":25,"category_name":89,"show_sort_weight":90,"slug":91},"Literature",80,"literature",{"id":33,"doc_module":4,"doc_module_name":25,"category_name":93,"show_sort_weight":94,"slug":95},"Exam",70,"exam",{"id":97,"doc_module":4,"doc_module_name":25,"category_name":98,"show_sort_weight":99,"slug":100},5,"Comic",60,"comic",{"id":102,"doc_module":4,"doc_module_name":25,"category_name":103,"show_sort_weight":104,"slug":105},6,"Technology",50,"technology",{"id":107,"doc_module":4,"doc_module_name":25,"category_name":108,"show_sort_weight":109,"slug":110},7,"Healthcare",40,"healthcare",{"id":112,"doc_module":4,"doc_module_name":25,"category_name":29,"show_sort_weight":113,"slug":114},8,30,"research-report",{"id":116,"doc_module":4,"doc_module_name":25,"category_name":117,"show_sort_weight":118,"slug":119},9,"Religion & Spirituality",20,"religion-spirituality",{"id":118,"doc_module":4,"doc_module_name":25,"category_name":121,"show_sort_weight":118,"slug":122},"World Cup","world-cup",{"id":124,"doc_module":4,"doc_module_name":25,"category_name":125,"show_sort_weight":124,"slug":126},10,"Lifestyle","lifestyle",{"id":128,"doc_module":4,"doc_module_name":25,"category_name":129,"show_sort_weight":97,"slug":130},19,"General","general",{"code":4,"msg":82,"data":132},{"doc_id":79,"user_id":133,"nickname":42,"user_avatar":134,"doc_module":4,"category_id":112,"category_name":29,"doc_title":10,"doc_description":12,"doc_content":135,"file_id":136,"file_url":137,"file_type":138,"file_size":139,"view_count":55,"is_deleted":4,"is_public":22,"is_downloadable":22,"audit_status":22,"page_count":140,"language":141,"language_code":8,"site_id":7,"html_lang":8,"table_of_contents":142,"faqs":143,"seo_title":144,"seo_description":12,"update_tm":80,"read_time":113,"preview_page_count":4},1374402524268,"https://ap-avatar.wpscdn.com/davatar_3d24733baf745e90a7e4bdd5f77d97b2","Securitization and the Fixed-Rate Mortgage  \nAndreas Fuster and James Vickery  \nJames Vickery  \nFederal Reserve Bank of New York Chicago Fed Bank Structure Conference May 10, 2013  \nViews expressed in this presentation are our own, and do not reflect the opinions of the Federal Reserve Bank of New York or the Federal Reserve System.  \nfor internal use only  \nWhy prepayable FRMs?  \n􀂃 Standard residential mortgage in the U.S.:  \n􀂃 Amortizing fixed-rate mortgage (FRM)  \n􀂃 Usually 30-year maturity  \n􀂃 Prepayable at the option of the borrower.  \n􀂃 Very different to other countries. Implications?  \n􀂃 Why are FRMs dominant? Demand vs supply?  \n􀂃 This paper: Is the U.S. mortgage finance system, especially securitization , an important driver of high FRM mkt. share?  \nAnswer: Yes. (To come: how, and how much)  \nfor internal use only  \n2  \nSecuritization as risk diversification  \n􀂃 FRMs are risky for lenders in two ways (relative to hybrids, ARMs)  \n􀂃 Interest rate risk: Maturity mismatch.  \n􀂃 Prepayment risk: Fluctuations in prepayment rates.  \n􀂃 Securitization is key channel for diversifying these risks (e.g. to insurers, pension funds, international investors) .  \nResearch questions:  \n􀂃 Is the FRM share lower if loans cannot be easily securitizated?  \n􀂃 Does the form of securitization (private vs govt. backed) matter? Do Fannie Mae and Freddie Mac (F&F) play a special role?  \nfor internal use only  \n3  \n Disentangling demand and supply   \nThought experiment:  \n􀂃 Variation in funding type, holding mortgage demand fixed.  \n􀂃 Imagine three identical borrowers:  \nloan retained by originator  \nSecuritized via agency MBS mkt (Fannie and Freddie)  \nSecuritized via nonagency MBS mkt (issuer is private firm)  \nIn practice: use “natural experiments” to isolate shifts in funding type.  \n􀂃 Conforming loan limit (CLL): F&F can’t securitize > limit ($417k*)  \n􀂃 Liquidity shocks: e.g. nonagency MBS freezes in Aug 07  \nfor internal use only  \n4  \n* Conforming limit varies over time and across regions. Current national limit = $417,000 .  \n Securitization status: Non-jumbo loans (\u003C nat. $CLL)   \nfor internal use only  \n5  \nSource: LPS. Status six months after origination.  \nSecuritization status: Jumbo loans (> nat. $CLL)  \nIlliquidity in period after LTCM Market freeze  \nfor internal use only  \n6  \nSource: LPS. Status six months after origination.  \n Time series: FRM share for jumbo and non-jumbo loans   \nConforming loan limits raised in high cost counties  \nConforming status defined relative to national conforming loan limit (currently $417k)  \nfor internal use only  \n7  \nEmpirical tests  \n􀂃  Summarizing: difference in FRM share b/w non-jumbo & jumbo:  \n􀂃 rises when jumbo MBS market freezes,  \n􀂃 falls when jumbos become liquid.  \n􀂃 Consistent with thesis that securitization supports FRM supply.  \nHeart of paper: statistical analysis using loan-level data from LPS 􀂃 Examine loans close to conforming limit, and changes in the limit.  \n􀂃 Methods: “difference-in-differences”,“regression discontinuity design”.  \n􀂃 We use 80% of home value as an “instrument” for loan amount.  \nfor internal use only  \n8  \n How does jumbo loan status affect FRM share? (DiD)   \nfor internal use only  \n9  \nprobability of jumbo loan  \n(ineligible for agency securitization)  \nshare of FRMs  \nRunning variable = (property value x 80%) / conforming loan limit  \nfor internal use only  \n10","cbCaikgvrwek70Jf","https://ap.wps.com/l/cbCaikgvrwek70Jf","pdf",331308,12,"English","# Why prepayable FRMs?\n## Research questions\n# Securitization as risk diversification\n# Disentangling demand and supply\n## Conforming loan limit and liquidity shocks\n# Empirical tests\n## Difference-in-differences and regression discontinuity design","[{\"question\":\"Why are fixed-rate mortgages considered risky for lenders in this presentation?\",\"answer\":\"They create interest-rate risk through maturity mismatch and prepayment risk through fluctuations in prepayment rates.\"},{\"question\":\"What role does securitization play according to the talk?\",\"answer\":\"Securitization is presented as a key channel to diversify those risks, transferring them to entities such as insurers, pension funds, and international investors.\"},{\"question\":\"How does the presentation isolate the effect of funding supply on FRM market share?\",\"answer\":\"It uses natural experiments that vary funding types while holding mortgage demand fixed, including changes tied to the conforming loan limit and liquidity shocks such as nonagency MBS freezes.\"}]","Securitization and the Fixed-Rate Mortgage - Session 9 | PDF"]