Abstract

http://ssrn.com/abstract=591660
 
 

References (15)



 
 

Citations (11)



 


 



A Note on Hybrid Mortgages


Brent W. Ambrose


Pennsylvania State University

Michael LaCour-Little


California State University at Fullerton

Zsuzsa R. Huszar


National University of Singapore; National University of Singapore (NUS) - Risk Management Institute; National University of Singapore (NUS) - Institute of Real Estate Studies

September 3, 2004



Abstract:     
We extend the work of Ambrose and LaCour-Little (2001) on traditional one-year adjustable rate mortgages by analyzing the performance of 3/27 hybrid instruments. Under this contract innovation, which first appeared in the mid-1990s, note rates are fixed for three years after which they convert to a traditional one-year adjustment schedule. We find high rates of prepayment, particularly at time of initial rate adjustment, and relatively high rates of default, as would be consistent with the payment shock that often affects adjustable rate loans.

Number of Pages in PDF File: 26

Keywords: adjustable rate mortgage, prepayment, default

JEL Classification: C52, G21

working papers series


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Date posted: September 17, 2004  

Suggested Citation

Ambrose, Brent W. and LaCour-Little, Michael and Huszar, Zsuzsa R., A Note on Hybrid Mortgages (September 3, 2004). Available at SSRN: http://ssrn.com/abstract=591660 or http://dx.doi.org/10.2139/ssrn.591660

Contact Information

Brent W. Ambrose (Contact Author)
Pennsylvania State University ( email )
University Park, PA 16802-3306
United States
814-867-0066 (Phone)
814-865-6284 (Fax)
Michael LaCour-Little
California State University at Fullerton ( email )
5133 Mihaylo Hall
Fullerton, CA 92834-6848
United States
657-278-4014 (Phone)
657-278-2161 (Fax)
Zsuzsa R. Huszar
National University of Singapore ( email )
Mochtar Riady Building
15 Kent Ridge Drive
Singapore, 119245
Singapore
National University of Singapore (NUS) - Risk Management Institute ( email )
21 Heng Mui Keng Terrace
Level 4
Singapore, 119613
Singapore
+6565168017 (Phone)
National University of Singapore (NUS) - Institute of Real Estate Studies ( email )
Singapore
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