Repo Regret?

WFA 2016 Park City, UT

66 Pages Posted: 15 Jun 2016 Last revised: 29 Mar 2019

Date Written: March 19, 2019

Abstract

I show that an exogenous shock that increased creditor protection for funding intermediaries of non-bank mortgage originators led to a greater issuance of riskier mortgages that culminated in 10--30% higher ex post defaults. Overall, the results show how the quality 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 generally 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? (March 19, 2019). 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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