Mortgage-Backed Securities and the Financial Crisis of 2008: A Post Mortem

Serie

• NBER Working Papers

Resumen

• We examine the payoff performance, up to the end of 2013, of non-agency residential mortgage-backed securities (RMBS), issued up to 2008. We have created a new and detailed data set on the universe of non-agency residential mortgage backed securities, per carefully assembling source data from Bloomberg and other sources. We compare these payoffs to their ex-ante ratings as well as other characteristics. We establish seven facts. First, the bulk of these securities was rated AAA. Second, AAA securities did ok: on average, their total cumulated losses up to 2013 are 2.3 percent. Third, the subprime AAA-rated segment did particularly well. Fourth, later vintages did worse than earlier vintages, except for subprime AAA securities. Fifth, the bulk of the losses were concentrated on a small share of all securities. Sixth, the mis rating for AAA securities was modest. Seventh, controlling for a home price bust, a home price boom was good for the repayment on these securities. Together, these facts provide challenge the conventional narrative, that improper ratings of RMBS were a major factor in the financial crisis of 2008.

autores

• Uhlig, Harald
• Ospina-Tejeiro, Juan José

fecha de publicación

• 2018-04

Área temática

• G01 - Crisis financiera
• G21 - Bancos; Instituciones de depósito; Instituciones Microfinancieras; Hipotecas
• G23 - Instituciones financieras (excepto bancos); Instrumentos financieros; Inversores institucionales
• G24 - Bancos de inversión; Capital riesgo; Corretaje; Calificación crediticia y agencias de calificación crediticia

Issue

• 24509