Separate the 2022 nonbank exercise decline into value and funding effects

Determine whether the 2022 decline in nonbank Ginnie Mae buyout exercise was caused by the decline in repurchase value, higher funding costs, or both.

Background

In 2022, rising mortgage rates reduced the redelivery value of many delinquent mortgages, while nonbank issuers also faced higher carrying and financing costs for repurchased loans. The paper’s evidence cannot separately identify these two mechanisms because the value shock and the funding-cost shock occurred together and affected nonbanks differently from depositories.

References

What the evidence does not separate is stated as well: the 2022 fall in nonbank exercise mixes a value shock with higher funding costs, and the 2020 freeze alone does not separate a fixed ranking from a mixture of ranked and random rationing.

— The Financing of Debt Relief: Intermediary Liquidity and the Value of Borrower Information  (2610.12875 - Bandyopadhyay, 9 Oct 2026) in Section 4.7, “Unconstrained issuers and value shocks”; reiterated in Section 4.9, “Alternative explanations”

Differences in the eligibility of loans in forbearance as facility collateral would work in the same direction; the disclosures do not allow the two to be separated.

— The Financing of Debt Relief: Intermediary Liquidity and the Value of Borrower Information  (2610.12875 - Bandyopadhyay, 9 Oct 2026) in Section 4.8, “Repurchases depositories made and nonbanks did not”