文档介绍：DID SECURITIZATION LEAD TO LAX SCREENING?
EVIDENCE FROM SUBPRIME LOANS∗
BENJAMIN J. KEYS
TANMOY MUKHERJEE
AMIT SERU
VIKRANT VIG
A central question surrounding the current subprime crisis is whether the se-
curitization process reduced the incentives of financial intermediaries to carefully
screen borrowers. We examine this issue empirically using data on securitized
subprime mortgage loan contracts in the United States. We exploit a specific rule
of thumb in the lending market to generate exogenous variation in the ease of
securitization pare position and performance of lenders’ portfolios
around the ad hoc threshold. Conditional on being securitized, the portfolio with
greater ease of securitization defaults by around 10%–25% more than a similar
risk profile group with a lesser ease of securitization. We conduct additional anal-
yses to rule out differential selection by market participants around the threshold
and lenders employing an optimal screening cutoff unrelated to securitization as
alternative explanations. The results are confined to loans where intermediaries’
screening effort may be relevant and soft information about borrowers determines
their creditworthiness. Our findings suggest that existing securitization practices
did adversely affect the screening incentives of subprime lenders.
I. INTRODUCTION
Securitization, converting illiquid assets into liquid securi-
ties, has grown tremendously in recent years, with the universe
of securitized mortgage loans reaching $ trillion in 2006. The
∗We thank Viral Acharya, Effi Benmelech, Patrick Bolton, Daniel
Bergstresser, Charles Calomiris, Douglas Diamond, John DiNardo, Charles Good-
hart, Edward Glaeser, Dwight Jaffee, Chris James, Anil Kashyap, Jose Liberti,
Gregor Matvos, Chris Mayer, Donald Morgan, Adair Morse, Daniel Paravisini,
Karen Pence, Guillaume Plantin, Manju Puri, Mitch Petersen, Raghuram Ra-
jan, Uday Rajan, Adriano Rampini, Joshua Rauh, Chester Spatt, Steve S