Who Facilitated Misreporting in Securitized Loans?

• 成果类型: Article
• 署名作者: Griffin, John M.; Maturana, Gonzalo
• 署名单位: University of Texas System; University of Texas Austin; Emory University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv130
• 发表日期: 2016
• 页码: 384
• 关键词: SUBPRIME MORTGAGE CRISIS; CDO CREDIT RATINGS; defaults

摘要

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. (JEL G21, G23, R30)