Does securitization distort the foreclosure decisions of non-performing mortgages? In a model of mortgage-backed securitization with an endogenous foreclosure policy, we find that the securitizing bank adopts a tougher foreclosure policy than the first-best, despite resulting in higher loan losses. This is optimal because foreclosure mitigates the adverse selection problem in securitization by making the optimal security, a risky debt, less information-sensitive. We further show that policies that limit mortgage foreclosure would discourage the bank’s ex ante screening effort, reducing the quality of securitized mortgages. Our model yields novel testable predictions on the effect of mortgage securitization on foreclosure rates, loan performance, and mortgage servicing.

证券化是否扭曲了不良抵押贷款的止赎决定？在具有内生止赎政策的抵押贷款证券化模型中，我们发现证券化银行采用比一流银行更严格的止赎政策，尽管导致更高的贷款损失。这是最佳的，因为止赎通过使最佳证券、风险债务、信息不那么敏感来减轻证券化中的逆向选择问题。我们进一步表明，限制抵押止赎的政策会阻碍银行的事前筛选工作，降低证券化抵押贷款的质量。我们的模型对抵押贷款证券化对止赎率、贷款表现和抵押贷款服务的影响产生了新颖的可测试预测。