On a class of adjustable rate mortgage loans subject to a strict balance principle

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On a class of adjustable rate mortgage loans subject to a strict balance principle

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dc.contributor.author Astrup Jensen, Bjarne en_US
dc.date.accessioned 2009-02-04T10:26:18Z
dc.date.available 2009-02-04T10:26:18Z
dc.date.issued 2005-01-10T00:00:00Z en_US
dc.identifier.isbn 8790705866 en_US
dc.identifier.uri http://hdl.handle.net/10398/7173
dc.description.abstract We describe the background and the basic funding mechanisms for the type of adjustable rate mortgage loans that were introduced in the Danish market in 1996. Each loan is funded separately by tap issuing pass-through mortgage bonds ("strict balance principle"). The novelty is a funding mechanism that uses a roll-over strategy, where long term loans are funded by sequentially issuing short term pass-through bonds, and the first issuer of these loans obtained a patent on the funding principles in 1999. Publicly available descriptions of the principles leave an impression of very complicated numerical algorithms. The algorithms described here show that the essentials can be reduced to a "back of an envelope" complexity. Keywords: Adjustable rate mortgages, balance principle, patent, yield curve riding en_US
dc.format.extent 37 s. en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2004-011 en_US
dc.subject.other kep en_US
dc.title On a class of adjustable rate mortgage loans subject to a strict balance principle en_US
dc.type wp en_US
dc.accessionstatus modt05jan10 miel en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.idnumber 8790705866 en_US
dc.publisher.city København en_US
dc.publisher.year 2004 en_US


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