Editor's choice: : Who facilitated misreporting in securitized loans?

• Autores: John M. Griffin, Gonzalo Maturana
• Localización: Review of Financial Studies, ISSN-e 1465-7368, Vol. 29, Nº. 2, 2016, págs. 384-419
• Idioma: inglés
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• Resumen

  • 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.