Business Commons^™

Credit Rationing In The U.S. Mortgage Market: Evidence From Variation In Fha Market Shares, Brent W. Ambrose, Anthony Pennington-Cross, Anthony M. Yezer

Finance Faculty Research and Publications

This paper examines the nature of mortgage credit rationing across geographic markets and time. Particular attention is paid to the response of conventional mortgage supply to higher risk conditions associated with regional recessions. We develop a series of four indirect tests based on the spatial variation of the FHA share of mortgages, both endorsements and applications, as well as FHA and conventional rejection rates. Results of these four tests indicate that conventional mortgage underwriting criteria do not become more flexible and may even become more demanding when local economic conditions deteriorate. This result indicates the use of non-price credit rationing …

Subprime Lending In The Primary And Secondary Mortgage Market, Anthony Pennington-Cross

Finance Faculty Research and Publications

This article provides an exploratory analysis of the role of subprime lending through an examination of the spatial distribution of Federal Housing Administration (FHA)—eligible home purchase loans in the primary and secondary mortgage markets. Loan originations are aggregated to the metropolitan statistical area level to examine the proportion of the market served by FHA, prime, and subprime lenders. The article then examines whether subprime lenders hold their loans in portfolio or sell them to private conduits.

Primary market results indicate that subprime lenders are more active in cities with worse economic risk characteristics. Secondary market results indicate that although subprime …

Rapid, Specific Determination Of Iodine And Iodide By Combined Solid-Phase Extraction/Diffuse Reflectance Spectroscopy, Matteo Arena, Marc D. Porter, James S. Fritz

Finance Faculty Research and Publications

A new, rapid methodology for trace analysis using solid-phase extraction is described. The two-step methodology is based on the concentration of an analyte onto a membrane disk and on the determination by diffuse reflectance spectroscopy of the amount of analyte extracted on the disk surface. This method, which is adaptable to a wide range of analytes, has been used for monitoring ppm levels of iodine and iodide in spacecraft water. Iodine is used as a biocide in spacecraft water. For these determinations, a water sample is passed through a membrane disk by means of a 10-mL syringe that is attached …

Extension Risk In Commercial Mortgages, Charles C. Tu, Mark Eppli

Finance Faculty Research and Publications

Historical data and Monte Carlo simulation is used to examine the likelihood of loan extension and potential losses associated with extension. It is found that extension probability is highly sensitive to property NOI growth, to NOI volatility, to the amortization schedule, and to the loan term. It is found that extension risk is largely unaffected by changing credit spreads, changing yield curve assumptions, and changing term default assumptions. It is found that changing the underwriting standards affects the probability of loan extension in a somewhat muted way. It is estimated that the loss during extension is approximately 2%-3% of the …