Repo Regret?

WFA 2016 Park City, UT

81 Pages Posted: 15 Jun 2016 Last revised: 30 Apr 2018

Date Written: April 20, 2018

Abstract

I show that an exogenous shock that increased the creditor protection of the funding intermediaries of non-bank mortgage originators led to a greater issuance of riskier mortgages that culminated in relatively higher ex-post defaults by 10-30%. Overall, the results show how the quality and quantity of mortgage origination in the originate-to-distribute (OTD) model of non-banks can be managed by varying the monitoring incentives of their funding intermediaries. These results contrast with the common view that non-bank mortgage originators lack screening incentives due to their over-reliance on the OTD market, and lower regulatory oversight.

Keywords: Mortgages, Mortgage Companies, Securitization, Warehouse Financing, Repos, Repurchase Agreements, Bankruptcy, Bankruptcy Act, 2008 Financial Crisis

JEL Classification: G21, G23, G28, G32, G33

Suggested Citation

Ganduri, Rohan, Repo Regret? (April 20, 2018). WFA 2016 Park City, UT. Available at SSRN: https://ssrn.com/abstract=2795340 or http://dx.doi.org/10.2139/ssrn.2795340

Rohan Ganduri (Contact Author)

Emory University ( email )

1300 Clifton Rd
Atlanta, GA 30322
United States

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