We study the interest rates of privately securitized residential mortgages during the credit boom of the early 2000s. They reveal a sharp and persistent drop in the spread between mortgage and Treasury rates starting in the summer of 2003. The emergence of this mortgage rate conundrum immediately followed the collapse of an unprecedented refinancing wave, and it was more pronounced in the regions where that wave had grown faster. These same areas also experienced more originations of the nonconforming mortgages that boosted private label securitization after 2003. Mortgages originated after this shift are the first to show signs of deteriorating quality.

中文翻译：

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抵押贷款利率难题

我们研究了 2000 年代初信贷繁荣期间私人证券化住宅抵押贷款的利率。它们显示，从 2003 年夏季开始，抵押贷款利率与国债利率之间的利差急剧且持续地下降。这一抵押贷款利率难题的出现紧随前所未有的再融资浪潮的崩溃之后，而且在该浪潮出现的地区更为明显。增长得更快。2003 年之后，这些地区也经历了更多不合格抵押贷款的产生，这些抵押贷款推动了自有品牌证券化。在这一转变之后产生的抵押贷款最先出现质量恶化的迹象。