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July 09, 2005
Subprime mortgage rate spread at origination
Effects largely captured by a single variable: spread at origination
(SATO). SATO measures the difference in the mortgage rate between the
specified loan and a constant-quality subprime mortgage rate. Assuming
that lenders price borrower risk efficiently, a higher SATO
implies a poorer-credit borrower.
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Posted by omor at July 9, 2005 05:18 PM