Abstract: We study how government intervention in securitization affects collateral quality selection and credit risk. Our empirical laboratory exploits the institutional single-family rental (SFR) industry and regulations in public debt markets through either risk retention requirements or insurance backed by implicit government guarantees. Using commercial mortgage-backed security data from 2010–2025, we show that risk retention is associated with lower delinquency rates and less collateral overvaluation in SFR securitizations than in comparable securitizations, whereas government-sponsored SFR securitizations exhibit greater distress. Our findings point to higher adverse selection in the absence of a binding equity stake.
Real Estate Department