Adjustable Rate Mortgages: Increasing Efficiency More Than Housing Activity
نویسندگان
چکیده
منابع مشابه
Adjustable Rate Mortgages: Increasing Efficiency More Than Housing Activity
This publication primarily presents economic research aimed at improving policymaking by the Federal Reserve System and other governmental authorities. Articles may be reprinted if the source is credited and the Research Department is provided with copies of reprints. The views expressed herein are those of the authors and not necessarily those of the Federal Reserve Bank of Minneapolis or the ...
متن کاملAdjustable Rate Mortgages: Valuation
A simulation method is employed to value Adustable Rate Mortgages, (ARMS). It is used to price two typical instruments: an ARM linked to a Treasury interest rate and an ARM linked to a "Cost of Funds" Index. Contractual provisions such as the margin over the index, caps and floors on the ARM's rate or on the monthly prepayment, reset frequency, and the "teaser" rate are examined for their influ...
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This study constructs a valuation model from which an option-adjusted spread approach is employed to value individual mortgage servicing contracts for both adjustable rate and fixed rate mortgages. The valuation model is comprised of an exogenous OTS prepayment model, a stochastic interest rate process, and other servicing fees and costs, all of which jointly determine the servicing contract’s ...
متن کاملValuation of adjustable rate mortgages with automatic stretching maturity
In Hong Kong, 35% of residential mortgage loans are adjustable rate mortgages with variable tenor (VRT). That is, with a change in interest rates, the loan adjusts its maturity and principal payment such that the monthly installment remains the same. In other words, instead of bearing a volatility on monthly payments as in a ®xed-tenor variable payment (VRP) mortgage, VRT mortgagors bear intere...
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This article analyzes the dynamics of the commonly used indices for Adjustable Rate Mortgages, and systematically compares the effects of their time series properties on the interest rate sensitivity of adjustable rate mortgages. Our ARM valuation methodology allows us simultaneously to capture the effects of index dynamics, discrete coupon adjustment, mortgage prepayment, and both lifetime and...
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ژورنال
عنوان ژورنال: Quarterly Review
سال: 1985
ISSN: 0271-5287
DOI: 10.21034/qr.932