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January 30, 2010 | History

Foreign exposure to asset-backed securities of U.S. origin 1 edition

Foreign exposure to asset-backed securities of U.S. origin
Daniel O. Beltran

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Foreign exposure to asset-backed securities of U.S. origin
Daniel O. Beltran, Laurie Pounder, and Charles Thomas.

Published 2008 by Federal Reserve Board in Washington, D.C .
Written in English.

About the Book

"The financial turmoil which began in August 2007 originated, in part, because investors reassessed the quality of the assets underlying many asset-backed securities (ABS), particularly U.S. mortgages. The prominence of European banks in the early stages of the turmoil created the perception that foreigners held an outsized share of risky U.S. securities and prompted questions of why Europeans were so exposed. This paper evaluates that perception by quantifying foreign exposure to ABS with U.S. underlying collateral. Using the latest survey data on foreign portfolio holdings of U.S. securities, we find that the ultimate losses that foreigners could incur arising from U.S. underlying assets are small relative to most scale variables, although initial total mark-to-market losses are estimated to be significantly larger. Among other reasons for this difference between ultimate and initial losses, we demonstrate that the securitization chain can amplify mark-to-market price declines in the presence of uncertainty or illiquidity. Finally, we show that, relative to the size of the market, foreigners' holdings of U.S. mortgage-backed securities do not appear to be elevated compared with their holdings of other U.S. assets"--Federal Reserve Board web site.

Edition Notes

Title from PDF file as viewed on 6/18/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Series
International finance discussion papers -- no. 939, International finance discussion papers (Online) -- no. 939.

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL23557754M
LC Control Number
2009656109

History

Download catalog record: RDF / JSON
January 30, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page