Extra-Margins in ACM's Adjusted NMa ‘Mortgage-Rate-Calculation Method’

14 Pages Posted: 27 Jul 2013 Last revised: 7 Jan 2014

See all articles by Mark Dijkstra

Mark Dijkstra

Utrecht University - Utrecht School of Economics

Maarten Pieter Schinkel

University of Amsterdam - Department of Economics; Tinbergen Institute

Date Written: July 26, 2013


We analyse the development since 2004 of our concept of extra-margins on Dutch mortgages (Dijkstra & Schinkel, 2012), based on funding cost estimations in ACM (2013), which are an update of those in NMa (2011). Neither costs related to increased mortgage-specific risks, nor the inclusion of Basel III related recapitalization costs completely explain the high margins on mortgages in the Netherlands. Extra-margins are lower on average than the 0.66 percentage points found using the method of Dijkstra & Schinkel (2012), but are still substantial at 0.38 on average over the period May 2009 to May 2013. A remarkable pattern remains, in which the extra-margin decreased during the NMa’s initial investigation, yet rose sharply again just after the NMa published its conclusion that margins had gone back to normal again. In the past 10 months, the ACM-adjusted extra-margins have reached even higher levels. It is at 0.96 percentage points on average in May 2013, the latest published observation by DNB to date. Margins on mortgages in the Netherlands appear to have remained high, especially since 2012, even when controlled for costs of Basel III and increases in credit risk.

Keywords: mortgage market, Netherlands, ACM

JEL Classification: G21, L85

Suggested Citation

Dijkstra, Mark and Schinkel, Maarten Pieter, Extra-Margins in ACM's Adjusted NMa ‘Mortgage-Rate-Calculation Method’ (July 26, 2013). Amsterdam Law School Research Paper No. 2013-40, Amsterdam Center for Law & Economics Working Paper No. 2013-10, Available at SSRN: https://ssrn.com/abstract=2298567 or http://dx.doi.org/10.2139/ssrn.2298567

Mark Dijkstra (Contact Author)

Utrecht University - Utrecht School of Economics ( email )

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Adam Smith Building
Utrecht, +31 30 253 7373 3584 EC
+31302531617 (Phone)

HOME PAGE: http://https://www.uu.nl/medewerkers/MADijkstra

Maarten Pieter Schinkel

University of Amsterdam - Department of Economics ( email )

Roetersstraat 11
1018 WB Amsterdam
+31 20 525 7132 (Phone)
+31 20 525 5318 (Fax)

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS

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