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The Journal of Structured Finance

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Cause and Effect: The Role of Loan-Level Mortgage Characteristics in RMBS Losses

David Lehman, Tyler Simpson and Florin Nedelciuc
The Journal of Structured Finance Summer 2011, 17 (2) 114-125; DOI: https://doi.org/10.3905/jsf.2011.17.2.114
David Lehman II
is president at Asset Backed Solutions in New York, NY.
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  • For correspondence: david.lehman@assetbacked-solutions.com
Tyler Simpson
is a director at Asset Backed Solutions in New York, NY.
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  • For correspondence: tyler.simpson@assetbacked-solutions.com
Florin Nedelciuc
is a director at Asset Backed Solutions in New York, NY.
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  • For correspondence: florin.nedelciuc@assetbacked-solutions.com
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Abstract

The recent credit crisis has sparked a debate among market participants as to the causes and sources of unprecedented defaults and losses in residential mortgage-backed securities. Conventional wisdom has long held that loans with certain risk characteristics have a higher likelihood of future default. However, an examination of performance data for a select number of representative subprime securities originated at the top of the credit boom in 2006 paints a different picture. This analysis finds that macroeconomic factors, such as house price depreciation and unemployment, among others, clearly outweighed risks inherent in loan-level characteristics.

TOPICS: MBS and residential mortgage loans, CMBS and commercial mortgage loans

  • © 2011 Institutional Investor, Inc.
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The Journal of Structured Finance: 17 (2)
The Journal of Structured Finance
Vol. 17, Issue 2
Summer 2011
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Cause and Effect: The Role of Loan-Level Mortgage Characteristics in RMBS Losses
David Lehman, Tyler Simpson, Florin Nedelciuc
The Journal of Structured Finance Jul 2011, 17 (2) 114-125; DOI: 10.3905/jsf.2011.17.2.114

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Cause and Effect: The Role of Loan-Level Mortgage Characteristics in RMBS Losses
David Lehman, Tyler Simpson, Florin Nedelciuc
The Journal of Structured Finance Jul 2011, 17 (2) 114-125; DOI: 10.3905/jsf.2011.17.2.114
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  • Article
    • Abstract
    • OVERVIEW OF LOAN-LEVEL CHARACTERISTICS
    • POPULATION SELECTION CRITERIA
    • DOCUMENTATION TYPE AS A PERFORMANCE INDICATOR
    • OCCUPANCY STATUS AS A PERFORMANCE INDICATOR
    • LOAN PURPOSE AS A PERFORMANCE INDICATOR
    • FICO SCORE AS A PERFORMANCE INDICATOR
    • ORIGINAL LOAN-TO-VALUE RATIO (LTV) AS A PERFORMANCE INDICATOR
    • GEOGRAPHIC LOCATION AS A PERFORMANCE INDICATOR
    • MACROECONOMIC FACTORS AS A PERFORMANCE INDICATOR
    • CONCLUSION
    • ENDNOTE
    • REFERENCES
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  • PDF (Subscribers Only)

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