No description available.

The objective of this paper is to provide a review current literature on single family fixed rate mortgage prepayment estimation models and to determine a method to improve the estimation of mortgage prepayments for the purpose of projecting the cash flow from mortgage securities. Several prepayment methodologies and models were analyzed to find a method to enhance the forecasting of mortgage prepayments. It was determined that the mortgage prepayment model developed in this paper provides a better estimation of prepayments when homeowner's have a positive financial incentive to prepay their mortgage. / Master of Arts

This paper is an evaluation of the efficiency of the Government National Mortgage Association (GNMA) mortgage-backed securities market. GNMA securities represent a $702 billion market. Despite this size, the securities do not trade on an organized exchange. Trading on an organized exchange implies that a maximum amount of available information is incorporated into prices. Consequently, can the GNMA market be efficient? An efficient market, as posited by Eugene Fama and others, is one where all of the information available in a market is incorporated in the prices in that market. There are various levels of efficiency ranging from the use of all publicly available information to the use of that information plus information not generally available (i.e. proprietary and "insider" information".) This paper considers the more general case of information available in period t not being used in that period but rather being incorporated in the prices of period t+n. The analysis uses monte carlo simulation to generate paths of discount rates based on the yield curve for U.S. Treasury securities. These periodic rates along with a common spread are used to discount the estimated cash flows on the GNMA securities. The common spread is termed the Option Adjusted Spread ("OAS") and is postulated to incorporate all of the market information over and above that is used in setting prices (and their corollary, yields) in the Treasury market. The test of market efficiency is whether or not the prices in period t are correlated with the OAS of a subsequent period. / Master of Arts

This paper has three chapters. In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In the second chapter, we show that short term house price movement is predictable by solely using newspaper and historical price change. In the last chapter, using the sentiment index constructed from newspaper, we got empirical results to show that some people are forward-looking when deciding default and a positive sentiment (anticipated house price appreciation) will lower the Z score of probability of default by 0.028. / Doctor of Philosophy / This paper has three chapters. In the first chapter, we develop a measure of housing sentiment for 24 cities in China by parsing through newspaper articles from 2006 to 2017. Two sentiment index were created using text mining method based on keywords matching and machine learning respectively.We find that the sentiment index has strong predictive power for future house prices even after controlling for past price changes and macroeconomic fundamentals. The index leads price movements by nearly 9 months, and it is highly correlated with other survey expectations measures that come with a significant time lag. In contrast, we find much weaker feedback coming from past prices to current sentiment. In the second chapter, we show that short term house price movement is predictable by solely using newspaper and historical price change. The accuracy of the prediction could be up to 0.96 for out of sample prediction. We first use a text mining method to transfer all the text information into numerical vector space, which is able to represent the extracted full information contained in a text. Then by adopting machine learning models of Neural networks, SVM, and random forest, we classified the newspaper into 1 (up) and 0 (down) group and constructed an index as the mean label accordingly. In the last chapter, by merging the Fannie Mae loan performance data with the sentiment index constructed from newspaper as well as the macro variables about local market, we got empirical results to show that some people are forward-looking when deciding default and a positive sentiment ( anticipated house price appreciation) will lower the Z score of probability of default by 0.028. We found that during the recession period, people access more information when they try to default, on top of the traditional econ conditions and historical house price, they also consider the future house price change. Moreover, borrowers with high income, high home value, and high FICO scores tend to pay more attention to future price change. However, for those who are less experienced in this game (first time home buyer), they only pay attention to the historical price change during the recession period.

The purpose of this study was to analyze loan penetration for agricultural institutional lenders in a 10 county area of Virginia and to generate specific recommendations to the Roanoke Association of the Farm Credit Banks of Baltimore. Alleghany-Bedford-Botetourt-Craig-Franklin-Halifax-Henry-Patrick-Pittsylvania-Roanoke County area of Virginia. This area had a very diversified commodity mix, but the main enterprises included dairy, tobacco, and beef. The case study approach was used to assemble information on the agricultural lenders in the study area rather than a statistically valid random sample. Forty-two agricultural lenders were surveyed for a response representing 86 percent of the total debt outstanding. While the Farm Credit Service was the largest agricultural lender in Virginia and the United States, Farmers Home Administration was the largest agricultural lender in the study area. Over $181 million of agricultural debt was outstanding as of December 31, 1980 in the study area. Over 60 percent was farm mortgage debt. Almost 2/3 of total farm debt outstanding was in Franklin, Halifax, and Pittsylvania Counties. The major portion of debt outstanding was to dairy, tobacco, and beef producers. In contrast to FmHA and commercial banks, Farm Credit served older borrowers who had more equity. The average Farm Credit borrower had a lower gross farm income than FmHA borrowers. Farm Credit serves a great deal of parttime farmers, particularly beef producers concentrated in the area of the main offices. It was concluded that the Roanoke Farm Credit Association should be more aggressive. Recommendations to improve Farm Credit's market penetration were developed under three different leadings. Farm Credit should develop a young farmer program. This would enable them to obtain some of the better FmHA borrowers. The marketing programs of Farm Credit need to be emphasized and other marketing services should be offered. The services suggested included tax, estate and financial planning. Farm Credit's market penetration was expected to increase in the future. Cutbacks in FmHA lending and uncertainty and changes for many commercial banks will contribute to this increase. / Master of Science

by Thomas Ming-tak Chan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaf 40. / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / ACKNOWLEDGEMENTS --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- METHODOLOGY --- p.4 / Chapter III. --- DEVELOPMENT OF THE SECURITISATION PROGRAMME --- p.7 / Assumed Objectives --- p.7 / Basic Description of the Securitisation Process --- p.7 / Proposed Terms and Conditions --- p.8 / Chapter IV. --- ELABORATION ON THE MECHANISM OF THE PROGRAMME --- p.11 / The Issuer --- p.11 / "The Originator, Amount and Currency" --- p.12 / The Facility and the Availability of Various Tranches --- p.13 / Interest Margin --- p.15 / Fees --- p.17 / Credit Enhancement --- p.18 / Over-collateralisation --- p.18 / Creation of a Spread Account --- p.19 / Insurance Credit --- p.20 / Arrangement of a Subordinated Loan --- p.20 / Source of Interest Payment and Principal Repayment --- p.21 / Chapter V. --- COST CONSIDERATION --- p.23 / Chapter VI. --- CONCLUSION --- p.27 / APPENDIX --- p.33 / BIBLIOGRAPHY --- p.40

Risk measurement of mortgage-backed security portfolios presents a very involved task for analysts and portfolio managers of such investments. A strong predictive econometric model that can account for the variability of these securities in the future would prove a very useful tool for anyone in this financial market sector due to the difficulty of evaluating the risk of mortgage cash flows and prepayment options at the same time. This project presents two linear regression methods that attempt to explain the risk within these portfolios. The first study involves a principal components analysis on absolute changes in market data to form new sets of uncorrelated variables based on the variability of original data. These principal components then serve as the predictor variables in a principal components regression, where the response variables are the day-to-day changes in the net asset values of three agency mortgage-backed security mutual funds. The independence of each principal component would allow an analyst to reduce the number of observable sets in capturing the risk of these portfolios of fixed income instruments. The second idea revolves around a simple ordinary least squares regression of the three mortgage funds on the sets of the changes in original daily, weekly and monthly variables. While the correlation among such predictor variables may be very high, the simplicity of utilizing observable market variables is a clear advantage. The goal of either method was to capture the largest amount of variance in the mortgage-backed portfolios through these econometric models. The main purpose was to reduce the residual variance to less than 10 percent, or to produce at least 90 percent explanatory power of the original fund variances. The remaining risk could then be attributed to the nonlinear dependence in the changes in these net asset values on the explanatory variables. The primary cause of this nonlinearity is due to the prepayment put option inherent in these securities.

Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1981. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ROTCH. / Bibliography: leaves 272-289. / by Harriett Tee Taggart. / Ph.D.

Mortgage loan debt is prevalent among middle-aged and older Americans. With higher average outstanding balances, many people are unlikely to pay off their mortgage debt by retirement. Meanwhile, as people age, health shocks are more likely to occur. Medical expenses may compete with mortgage payments and relate to financial insecurity in later years. In order to alleviate financial strain during times of financial hardship, senior homeowners may find reverse mortgage the solution they are looking for. Targeting American adults age 50 and older, this dissertation investigates mortgage loan debt and financial security using panel data from the Health and Retirement Study. Chapter 1 provides an overview of this dissertation and three studies. Chapter 2 investigates whether retirement preparedness plays a role in mortgage status at retirement, shown here as whether a person has mortgage debt and how much the remaining balance is (Waves 2004-2014). Chapter 3 examines health impact on likelihood of paying off mortgage loans under different health conditions, with estimates on expected time to mortgage payoff (Waves 2004-2014). Chapter 4 focuses on reverse mortgages and their impact on senior borrowers’ financial satisfaction and liquidity constraint (Waves 2010-2016). Chapter 5 summarizes major findings in three studies and highlights the contribution of this dissertation toward middle-aged and older Americans’ financial security. Limitations of three studies are discussed in Chapter 6. Three studies provide evidence on 1) the importance of preparedness on reduced mortgage burden; 2) adverse impact of health shock on likelihood of mortgage payoff; and 3) using reverse mortgages to reduce financial strain and increase financial satisfaction. Implications are addressed in each study.

Den första januari 2009 ändrades Förmånsrättslagen och bankerna har återigen fått särskild förmånsrätt med 100 procent vid utmätning och konkurs. Den lagändring som genomfördes 2004 innebar endast 55 procent och allmän förmånsrätt för bankerna och fick inte den effekt som regeringen önskat och det blev svårare för företag att låna pengar från banken. De alternativa finansieringsformerna ökade då bankerna inte längre hade samma säkerhet vid konkurser utan då fanns istället säkerheten i objektet. Genom de undersökningar som gjorts där resultat visat de negativa effekterna beslutades om att återställa bankernas förmånsrätt. Frågan är om återgången kommer att förändra bankernas kreditgivning. Genom de intervjuer som genomförts visar de konsekvenser som den tidigare lagen haft på kreditgivningen på att en återgång var nödvändig. I dagsläget ser det inte ut som den nya lagen kommer att påverka finansiärernas syn på krediter med företagshypotek utan de alternativa finansieringsformerna kommer att bestå. / January 1st 2009 the banks priority rights were restored to once again have special rights with 100 percent at distraint and bankruptcy. The change in Law of priority rights that carried through in 2004 meant only 55 percent and general priority rights. This did not have the desired effects. Instead it became more difficult for companies to get loans from the banks. The alternative financing forms were increasing as the banks no longer had the same security at bankruptcies. The security was instead the object. After research that showed the negative effects with the change in law 2004, the government decided to restore the priority rights of the banks. The question is whether the restoration will change the banks crediting process. The conducted interviews show that a regression was necessary. It does not look like the new law will affect the creditors view on crediting with chattel mortgage, the alternative financing forms will remain.