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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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US and Overseas: +1 646-931-9045
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