Who Facilitated Misreporting in Securitized Loans?
研究了非机构证券化贷款中的三种虚假报告指标，发现约48%的贷款至少存在一项虚假报告，且虚假报告与违约率上升51%相关，损失主要源于承销商和贷款发起人的欺诈行为。
This paper examines apparent fraud among securitized nonagency loans using three indicators: unreported second liens, owner occupancy misreporting, and appraisal overstatements. We find that around 48% of loans exhibited at least one indicator of misrepresentation. Surprisingly, misreporting is similar in both low and full documentation loans and is associated with a 51% higher likelihood of delinquency. Two-thirds of loans with unreported second liens had the same originator issuing both the first and second lien. Misrepresentations in MBS pools can explain substantial cross-sectional differences in future losses. Losses were predictable and initiating from apparent fraud by MBS underwriters and loan originators. Received August 24, 2015; accepted September 11, 2015 by Editor Matthew Spiegel.