How Important is Having Skin in the Game? Originator-Sponsor Affiliation and Losses on Mortgage-backed Securities
研究了抵押贷款发起人与证券化保荐人或服务商的关联关系如何影响证券化抵押贷款的违约率，发现关联关系显著降低违约率，并影响初始收益率和AAA评级比例。
This article examines the relationship between a mortgage originator's affiliation with the sponsor of a securitization or the servicer of the securitized loans and the default rate on the securitized mortgages. We find that default rates are significantly lower for securitizations in which the originator is affiliated with the sponsor or servicer. Consistent with investors expecting performance to vary with affiliation, we find that the initial yields on mortgage-backed securities (MBS) are lower and the percentage of AAA-rated securities issued against the securitized pool of loans is higher when the originator is affiliated with either the sponsor or servicer. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.