Misreporting of second liens in portfolio mortgages and privately securitized mortgages
利用独特的全国抵押贷款服务数据集，研究发现组合贷款中超过40%的第二留置权被低估，而私人证券化贷款中的误报率相对较低，表明贷款人早期中介阶段的误报行为以及MBS发行方筛选的有效性有限。
Abstract Using a unique nationwide mortgage servicing dataset, this paper investigates the underreporting of second liens in portfolio mortgages and compares underreporting in portfolio versus privately securitized mortgages. Portfolio loans have more than 40% of the second liens underreported. Low documentation securitized loans have a 47% (in relative terms) lower misreporting rate than observably similar portfolio loans. The portfolio setting allows us to provide strong evidence that misreporting happens in the early stages of intermediation by lenders. The decreased occurrence of misreporting in sold loans subjected to more rigorous screening indicates the effectiveness of MBS issuers' screening, though its overall effect remains limited. Further, we show that the lender‐MBS issuer affiliation also plays a role in misreporting.