Is the Market for Mortgage-Backed Securities a Market for Lemons?

• 成果类型: Article
• 署名作者: Downing, Chris; Jaffee, Dwight; Wallace, Nancy
• 署名单位: University of California System; University of California Berkeley; Barclays
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn114
• 发表日期: 2009
• 页码: 2457
• 关键词: Financial intermediation; valuation; PREPAYMENT; INFORMATION; derivatives; DESIGN; MODEL; FIRMS

摘要

This paper models and provides empirical evidence for the quality of assets that are securitized through bankruptcy remote special purpose vehicles (SPVs). The model predicts that assets sold to SPVs will be of lower quality (lemons) compared to assets that are not sold to SPVs. We find strong empirical support for this prediction using a comprehensive data set of sales of mortgage-backed securities (Freddie Mac Participation Certificates, or PCs) to SPVs over the period 1991 through 2002. Valuation estimates based on a structural two-factor model indicate that PCs sold to SPVs are on average valued $0.39 lower per $100 of face value relative to PCs not so sold. For the four largest coupon groups in our full sample of Freddie Mac PCs, we find a lemons spread of 4-6 basis points in terms of yield-to-maturity, and this spread accounts for 13-45% of the overall prepayment spread of these securities. (JEL D82, G13, G14, G21)