析深圳断供潮

2008年注定是狂飙过后的深圳楼市极不平静的一年，深圳房价终于在全国人民的关注中跌了。然而，一波未平，一波又起。一位地产评论员惊报“深圳银行千亿元房贷将面临断供”的内幕，顿时一石澈起干层浪，“断供已过干亿，次贷危机浮现“等恐怖字眼塞满新闻媒体的头条。随后深圳官方公开辟谣，指出深圳金融机构2008年5月个人住房贷款余额虽有2291．85亿元，     

深圳房贷政策收紧

上海市地方税务局官方网站前不久公布了“关于个人转让非普通住房征免土地增值税有关问题的通知》，决定对个人转让非普通住房，既没有评估价格、又不能提供购房发票的，实行核定征收土地增值税：凡居住未满三年的，按转让收入的0．5％征收，居住满三年未满五年的减半征收。     

深圳楼盘突显“断供”案

一家房地产企业突然破产,开发商竟然神秘失踪,几番断供在楼市升跌中若隐若现,零首付内幕开始浮出水面……深圳楼市的断供潮传言,已引发国务院调研小组上周赴深圳调研深圳房地产市场对银行的风险。目前,尚无任何机构提供能表明大面积断供的证据,但     

深圳两亿房贷诈骗案大起底

这些天．深圳香珠花园业主王岚女士焦急地等待着深圳市中级人民法院对涉嫌2亿多元卖房诈骗的房地产开发商张兴展将作出的判决结果。张兴展案在10月底进行了第二次庭审。     

从深圳“断供”谈个人住房贷款的风险及防范

2008年上半年，在深圳的一些区域，商品房价格出现了下跌，个别区域房价下跌幅度甚至超过40％，这意味着，有些首付在三成左右的购房者购置的物业已经成为负资产，在一些房价下跌较大的区域，炒房者不堪多套住房的利息重压，被迫放弃保值增值条件不太好的房产，他们为了自身的利益或者迫于过大的还款压力，选择了“断供”。可以说，在房价的大幅下跌过程中，“断供”将成为常态，当然，目前深圳的“断供”还没有出现规模化，也还没有影响到银行的信贷和资金安全。     

美国次级房贷危机给我国的启示

美国的次级房贷危机几乎席卷了全球大部分开放性国家,给全球的经济发展蒙上了阴影.次级债风波给我国金融市场发展敲响了警钟,我们要更好的学习和借鉴发达国家的在经济,特别是在金融方面的成功经验和失败教训.     

房贷危机离中国还有多远？

随着房地产价格持续迅猛上涨，央行多次提高房贷利率，借款人的偿付压力增大。与此同时，面对房价上涨压力，许多本应在几年后购房的人纷纷加入购房者一族。普通居民为保值增值投资购房的也越来越多。虚高的楼市泡沫，不但让广大购房者背负了沉重的还贷包袱，也让银行系统的按揭贷款危机暗流涌动。不断的加息，已经让普通购房者处境每况愈下，如果楼市价格出现大幅下滑，势必导致大规模的“断供潮”，房贷危机其实离中国并不遥远。     

美国次级房贷危机给我国的启示

美国的次级房贷危机几乎席卷了全球大部分开放性国家，给全球的经济发展蒙上了阴影。次级债风波给我国金融市场发展敲响了警钟，我们要更好的学习和借鉴发达国家的在经济，特别是在金融方面的成功经验和失败教训。     

“张裕”深圳遭质疑

英语中把令人尊敬的人物背后的惊人秘密叫作"柜中骷髅"。张裕葡萄酒有它的"柜中骷髅"吗?深圳人贾联绷住了劲儿咬紧槽牙在猛撬张裕葡萄酒的"柜门"。     

断供·救市

●断供前不久,一篇名为《断供已过千亿次贷危机浮现》的博文在网络上热传,作者风语的天空在网络博文中写道,根据去年深圳某银行总的放贷额和深圳市蛇口片区所占的贷款比例估算,该银行目前在个人住房贷款这一项上所产生的坏账就已经达到200亿元。一家银行所产生的坏账就达200亿元,那深圳这     

Subprime mortgage default

This paper constructs a reduced-form credit risk model of mortgage default. The data used is of privately-securitized subprime ARMs (adjustable rate mortgages), originated between 1997 and 2008, and observed between 2000 and 2009. The period studied thus encompasses the beginning of the subprime crisis. Given the estimated model, contractual properties of the loans are then used to infer the market price of default risk for the various quarters of origination. It is empirically determined that a change in the inherent nature of borrowers led to a deterioration in their default performance, a change which can be first detected in late 2004. On the other hand, the evidence also indicates that the secondary mortgage market became aware of this change at about this same time. The large rise in defaults in 2007 cannot, therefore, be attributed to any surprise other than the unexpectedly large fall in housing prices.     

Reconciling theory and empirics on the role of unemployment in mortgage default

Empirical models of mortgage default typically find that the influence of unemployment is negligible compared to other well known risk factors such as high borrower leverage or low borrower FICO scores. This is at odds with theory, which assigns a critical role to unemployment in the decision to stop payment on a mortgage. We help reconcile this divergence by employing a novel empirical strategy involving simulated unemployment histories to measure the severity of attenuation bias in loan-level estimations of default risk due to a borrower becoming unemployed. Attenuation bias results because individual data on unemployment status is unobserved, requiring that a market-wide unemployment rate be used as a proxy. Attenuation is extreme, with our results suggesting that the use of an aggregate unemployment rate in lieu of actual borrower unemployment status results in default risk from a borrower becoming unemployed being underestimated by a factor more than 100. In addition, our analysis indicates that adding the unemployment rate as a proxy for the missing borrower-specific unemployment indicator does not improve the accuracy of the estimated model over the specification without the proxy variable included. Hence, aggregate portfolio-level risk estimates for mortgage guarantors such as FHA also are not improved.These views represent those of the authors and not necessarily those of the Federal Reserve Bank of New York or the Federal Reserve System. This is a revised version of a paper that previously circulated under the title “Unemployment and Unobserved Credit Risk in the FHA Single Family Mortgage Insurance Fund (NBER Working Paper No. 18880). John Grigsby provided excellent research assistance. We appreciate the helpful comments of Andrew Haughwout, Wilbert van der Klaauw, the editor (Stuart Rosenthal) and referees, but remain responsible for any errors.     

Residential mortgage default: Theory works and so does policy

Using a national loan level data set we examine loan default as explained by local demographic characteristics and state level legislation that regulates foreclosure procedures and predatory lending, using a hierarchical linear model. When controlling for loan and local conditions, we observe significant variation in the default rate across states, with lower default levels in states with higher temporal and financial costs to lenders. State level legislative influences provide a foundation for discussion of national level policy that further regulates predatory lending and financial institution foreclosure activities.     

Evidence on the effect of credit counseling on mortgage loan default by low-income households

Research on the effectiveness of credit counseling is surprisingly scarce given its widespread use and given that it has been around for at least three decades. This paper studies the effects of counseling on default by adopting an option-based approach to mortgage termination. Data come from a counseling program developed as result of the collaborative efforts of a large Midwest bank, Community Churches, and a local community development company implemented during the 1992–1996 period. We find some evidence that counseled borrowers defaulted less often than non-counseled borrowers and that counseling affects optimal exercise of the default option.     

The role of neighborhood characteristics in mortgage default risk: Evidence from New York City

Using a rich database of non-prime mortgages from New York City, we find that census tract level neighborhood characteristics are important predictors of default behavior, even after controlling for an extensive set of controls for loan and borrower characteristics. First, default rates increase with the rate of foreclosure notices and the number of lender-owned properties (REOs) in the tract. Second, default rates on home purchase mortgages are higher in census tracts with larger shares of black residents, regardless of the borrower’s own race. We explore possible explanations for this second finding and conclude that it likely reflects differential treatment of black neighborhoods by the mortgage industry in ways that are unobserved in our data.     

Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks

In this article, we construct a general model, which considers the borrower’s financial and non-financial termination behavior, to derive the closed-form formula of the mortgage value for analyzing the yield, duration and convexity of the risky mortgage. Since the risks of prepayment and default are reasonably expounded in our model, our formulae are more appropriate than traditional mortgage formulae. We also analyze the effects of the prepayment penalty and partial prepayment on the yield, duration and convexity of a mortgage, and provide lenders with an upper-bound for the mortgage default insurance rate. Our model provides portfolio managers a useful framework to more appropriately appraise the mortgage and more effectively hedge their mortgage holdings. From the results of sensitivity analyses, we find that higher interest-rate, prepayment and default risks will increase the mortgage yield and reduce the duration and convexity of the mortgage.     

Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data

With the implementation of the Basel II regulatory framework, it became increasingly important for financial institutions to develop accurate loss models. This work investigates the loss given default (LGD) of mortgage loans using a large set of recovery data of residential mortgage defaults from a major UK bank. A Probability of Repossession Model and a Haircut Model are developed and then combined to give an expected loss percentage. We find that the Probability of Repossession Model should consist of more than just the commonly used loan-to-value ratio, and that the estimation of LGD benefits from the Haircut Model, which predicts the discount which the sale price of a repossessed property may undergo. This two-stage LGD model is shown to perform better than a single-stage LGD model (which models LGD directly from loan and collateral characteristics), as it achieves a better R² value and matches the distribution of the observed LGD more accurately.     

Stability in consumer credit scores: Level and direction of FICO score drift as a precursor to mortgage default and prepayment

This article represents an extension of the expansive credit risk and credit migration literature, prominent in the corporate bond and securities risk pricing literature, to an analysis of the drift of consumer credit scores. A rich data set of residential mortgages is used to observe credit score migration post loan origination and in a test of the ability of credit score transition to serve as a precursor to potential default and prepayment. The results indicate credit scores provide signals and information to investors and servicing agents in a fashion similar to credit ratings on commercial paper as to default potential.     

Measuring mortgage credit availability: A frontier estimation approach

We construct a new measure of mortgage credit availability using a technique developed for production frontier estimation. The resulting “loan frontier” describes the maximum amount obtainable by a borrower of given characteristics. We estimate this frontier using mortgage originations data from 2001 to 2014. We find a substantial expansion of mortgage credit for all borrowers during the housing boom, not only for low‐score or low‐income borrowers. The subsequent contraction in credit was most pronounced for low‐score borrowers. Using variation in the frontier across metropolitan areas over time, we show that borrowing constraints played an important role in the recent housing cycle.