How to survive a mortgage meltdown

Risk staff
01 Dec 2003

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Risk managers at many US mortgage banks are in a tailspin. Six months ago, all appeared to be going well, as gains on their interest rate hedge books added to strong profits from mortgage lending. Receiving fixed rates of interest from swaps was a profitable strategy in a low interest rate environment. Then, in June, the good times came to an end.

Fixed-income markets experienced an unprecedented bout of volatility. Swaptions volatility increased by around 50% (see figure 1). Yields on 10-year

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]