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