【本期主题】Sponsor-Underwriter Affiliation and Performance in Non-Agency Mortgage-Backed Securities

Since 2012, China has restarted securitization program. What lessons can be learned from recent financial crisis in the United States and how can China design a robust mortgage backed security program are important questions facing by banks and regulators.

Securitization of mortgage loans involves multiple financial intermediaries. Among them, loan originators, deal sponsors, and security underwriters are the key economic players. Using data on non-agency mortgage-backed securities (MBS), we find that i) deals in which underwriters and sponsors are affiliated have higher delinquency rates than those in which they are unaffiliated, and ii) the poorer performance of MBS sponsor-under writer affiliation is true both when investment banks act as sponsors and when sponsors or lenders act as underwriters. The effect is robust to controlling for security level characteristics, suggesting that the poorer performance is beyond what is observable or priced in the deal. The results are also robust to the inclusion of underwriter or sponsor fixed effect, suggesting it is the incentive effect that drives the result. In addition, the results are robust to the inclusion of the relation between sponsors and originators.

These pieces of evidence is inconsistent with the information advantage associated with vertical integration and points to poorer incentives for affiliated sponsors and underwriters. While the literature documents that securitization weakens lenders’ screening incentives, our findings suggest that an important factor affecting the performance of mortgage backed securities is the moral hazard on the part of sponsors and underwriters.

【报告人】刘鹏 康奈尔大学金融学副教授

【时 间】12月26日 上午10:00

【地 点】明德主楼0509室

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报告人简介：

刘鹏，康奈尔大学酒店管理学院房地产金融学副教授，研究领域为Real Estate Investment and Finance, Securitization, Commodity Pricing, Energy and Sustainability, Tourism, Retail, Recreation and Hospitality Management。迄今已在金融学、房地产金融、管理学顶级期刊Review of Financial Studies, Journal of Banking and Finance, Journal of Futures Markets, Management Science, Journal of Real Estate Finance and Economics等期刊发表论文十余篇。

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