Evaluating Mortgage Renegotiation Strategies: A Data-Driven Framework for Investors
中文摘要
本文提供了一个新颖的框架,用于量化对逾期贷款进行再谈判的预期收益。该框架考虑了向借款人让步、逾期后贷款表现与预期抵押品价值之间的重要权衡。框架参数利用大衰退期间发生逾期的、经过再谈判的30年期住宅固定利率抵押贷款数据进行校准。我们的模型所隐含的预期收益在2007–2009年间上升,与贷款再谈判率的上升相吻合。反事实分析表明,与本金减记和利率下调相比,采用本金缓付和延长到期期限能够产生更大的预期收益。另一方面,当借款人深度资不抵债时,本金减记可以成为一种有力工具。我们的分析展示了贷款人或政策制定者在面临下一次逾期危机时可以如何运用这一框架。
Abstract
This paper offers a novel framework to quantify the expected gains from renegotiating delinquent loans. The framework accounts for important trade-offs between concessions to borrowers, postdelinquency loan performance, and expected collateral values. The framework’s parameters are calibrated using data on renegotiated 30-year residential fixed-rate mortgages that went delinquent during the Great Recession. Our model-implied expected gains increase during the 2007–2009 period coinciding with an increase in the rate of loan renegotiation. Counterfactual analyses show that larger expected gains can be generated from employing principal forbearance and extensions of the term to maturity compared with principal write-downs and interest-rate reductions. On the other hand, principal write-downs can be a powerful tool when borrowers are deeply underwater. Our analyses illustrate how lenders or policymakers might deploy this framework when faced with another delinquency crisis.