RMBS sponsors contributed to the rise of new product features in securitized mortgages prior to the 2008 financial crisis. Using a regulatory shock to sponsor competition , we show securitization influences the design of mortgage contracts, empirically demonstrating a unique, feedback loop of product differentiation from the derived security (MBS) to the underlying asset (loans). Product differentiation in Prime MBS collateral rises faster than that of non-prime in the early boom period (2000–2004), a strategic choice by MBS sponsors in the face of increasing competition. At very high levels of competition, product differentiation targets non-prime (marginal) borrowers. We develop a theoretical framework for sponsor-induced product differentiation that explains these empirical findings.

中文翻译：

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竞争、产品差异化与危机——来自 1800 万笔证券化贷款的证据


在 2008 年金融危机之前，RMBS 发起人为证券化抵押贷款中新产品功能的兴起做出了贡献。利用监管冲击来赞助竞争，我们表明证券化会影响抵押贷款合同的设计，实证展示了从衍生证券 （MBS） 到标的资产（贷款）的产品差异化的独特反馈循环。在繁荣初期（2000-2004 年），优质 MBS 抵押品的产品差异化比非优质抵押品增长得更快，这是 MBS 保荐人面对日益激烈的竞争的战略选择。在非常激烈的竞争中，产品差异化针对非优质（边际）借款人。我们为申办者诱导的产品差异化开发了一个理论框架，以解释这些实证发现。