综合中介与金融科技的市场力量.pdf

Stanford University University of Geneva,Swiss Finance Institute,and CEPR Boston College Integrated Intermediation andFintech Market PowerGreg BuchakN Vera ChauAdam JrringAugust 25,2023AbstractWe document that in the US residential mortgage market,the share of integratedintermediaries acting as both originator and servicer has declined dramatically.Exploiting a regulatory change,we show that borrowers with integrated servicers aremore likely to refinance,and conditional on refinance,are more likely to be recapturedby their own servicer.Recaptured borrowers pay lower fees relative to other refinancers.This trend is partially offset by a rise in integrated fintech originator-servicers,whorecapture at higher frequency but at worse terms.We build and calibrate a dynamicstructural model to interpret these facts and quantify their impact on equilibriumoutcomes.Our model suggests that integreated intermediaries enjoy a marginal costadvantage when refinancing recaptured borrowers,and fully disintegrating them wouldreduce refinancing frequencies and increase fees.Fintechs use technology to reacquirecustomers and reduce borrower inertia against refinancing.This endogenously createsmarket power,which fintechs exploit through higher fees.Despite worse terms ex-post,fintechs increase consumer welfare ex-ante by increasing refinancing frequencies.Takentogether,our results highlight the importance of intermediaries scope in consumerfinancial outcomes and highlight a novel,quantitatively important application offintech:customer acquisition.Keywords:Mortgage market structure,mortgage refinance,fintech,intermediation.JEL Classification Codes:G2,L5We thank Peter DeMarzo,Darrell Duffie,Steve Grenadier,Josh Rauh,Amit Seru,JeffZwiebel,and other seminar partic-ipants at Stanford for comments and suggestions.We also thank Yoonjoo Hwang for oustanding research assistance.Buchak isat Stanford Graduate School of Business.Email:buchakstanford.edu.Chau is at Swiss Finance Institute&Geneva FinanceResearch Institute.Email:vera.chauunige.ch.Jrring is at Boston College.Email:adam.jorringbc.edu1Electronic copy available at:https:/ loan origination creates two conceptually distinct assets:the right to the cashflowspaid by the borrowerthe loanand the right and obligation to collect payments from theborrower and forward them to the loans owner in exchange for a feethe servicing right.In atraditional balance sheet model of banking,origination,servicing,and receiving cashflows areintegrated within one financial intermediary.However,the modern industrial organizationof financial intermediation has seen a striking trend of separating loan origination from loanownership,e.g.,in the context of residential mortgage origination(Buchak et al.,2023)orsmall business lending(Gopal and Schnabl,2020).This paper documents and explores theconsequences of an additional margin of dis-integration:the increased separation of loanoriginator and loan servicer.We study this phenomenon in he context of the US residential mortgage market.As inother contexts,the mortgage servicer occupies an important role in the mortgage interme-diation chain.In particular,the servicer maintains a long-term,ongoing relationship withthe borrower:The servicer collects monthly payments and forwards them to the mortgageowner.The servicer reminds the borrower when there are late payments.The servicer ispotentially responsible for ex-post modifications in the event of delinquency or default.Inshort,unlike the originator or mortgage owner,the servicer plays an active role in the fi-nancial life of the mortgage borrower far after the point of origination.For this reason,it isnatural to expect that characteristics of the servicer will have an impact on the borrowersex-post financial decisions,such as refinancing or default.This paper focuses on the therefinancing impliactions of mortgage servicers.Our paper uncovers two key economic forces that distinguish combined originator-servicerswhich we term integrated intermediariesand integrated fintechs from other,dis-integrated financial intermediaries.First,we show that integrated intermediaries possess acost advantage in refinancing their existing servicing customers.In particular,by virtue oftheir long-term relationship with the borrower,the servicer already possesses documents,credit information,and access that are key in the origination of a new loan.Second,we findthat integrated“fintech”1intermediaries appear to be able to use data and customer accessfor the purposes of more effective customer acquisition in a manner that non-fintech lenderslack the technical expertise to implement.In particular,fintech lenders are able to refinancetheir“woodhead”servicing customers who would not otherwise be looking to refinance,andcan exploit their resulting market power to refinance the borrower at a higher markup.We first establish these facts in reduced form in three steps.After documenting a secular1We define a“Fintech”intermediary as in Buchak et al.(2018a),where a lender is a Fintech if the loanapplication occurs entirely online and the potential borrower is able to obtain a firm,contractual rate quotewithout interacting with a human loan officer.2Electronic copy available at:https:/ in the market share of integrated intermediaries that is partially offset by a rise inintegrated fintech intermediaries,we provide identified evidence that integrated intermedi-aries lead to more refinancing using a regulatory shock to the capital treatment of mortgageservicing rights on bank balance sheets.Next,using a novel forward-merged data set thatallows us to match mortgage originations to future refinances of those same mortgages,weshow that refinances originated by the existing servicer are executed with lower fees.Thissuggests that these lenders possess a marginal cost advantage when refinancing their owncustomers.We find,however,that fintech intermediaries charge significantly higher fees andrefinance their servicing customers sooner and at lower rate benefit to the borrower,suggest-ing that they are targeting borrowers who would not otherwise be attempting to refinanceand charging markups when doing so.Finally,we rule out that our results are driven byalternate mechanisms,such as one intermediary type possessing superior underwriting skills.After establishing these facts in reduced form,we build and calibrate a structural modelthat allows us to quantify the size of these forces and consider equilibrium counterfactualswhere originators and servicers are fully dis-integrated or where fintech never entered.Wefind that fully dis-integrating the servicing market would decrease the annual rate of mort-gage refinance by roughly 10%and increase prices by roughly 5%.This is primarily drivenby the loss of the marginal cost advantage in loan production.The implication from thiscounterfactual is that the rapid dis-integration of the servicing market was likely responsi-ble for a reduction in the number of borrowers who refinanced their mortgages while ratesdeclined between 2010 and 2022.Additionally,we find that the customer acquisition aspectof financial technology has had a large quantitative impact on mortgage refinance propen-sities and costs.Fintech customer acquisition ability increased the annual rate of mortgagerefinancing by roughly 25%relative to the baseline.It did so by overcoming woodheadedborrower inertia and splitting the resulting surplus by increasing fees by roughly 5%.Our paper begins by documenting two new empirical trends.First,we document thatthe share of agency mortgages where the originator is also the servicera structure of inter-mediation we term integratedhas fallen sharply since 2010.Figure 1 Panel A shows thatintegrated intermediation declined from a high of nearly 70%of originations in 2010 to a lowof roughly 30%in 2015 before recovering back to 50%in 2020.Second,we document that asignificant portion of the subsequent increase in integrated intermediation was driven by theentry of fintech intermediaries,who nearly all operate as integrated originator-servicers.Theintegrated fintech share of originations rose from zero in 2010 to roughly 12%in 2020.Aswe show,integreated non-fintech and integrated fintech intermediaries exhibit qualitativelydifferent behavior.To study this behavior,we first establish two key findings around integrated intermedi-3Electronic copy available at:https:/ in general.We first exploit a change in the regulatory treatment of mortgage servicingassets in 2013:Previously,risk-based capital requirements attached a risk weight of 100%tothese assets.In 2013,this risk weight was increased to 250%.2This change,as documentedin Mayock and Shi(2022),induced many banks(but not non-banks)to sell their mortgageservicing assets.Thus,when considering mortgages originated before 2013,those originatedby banks(the treatment group)are less likely to be serviced by an intermediary who is alsoa mortgage originator than are those originated by non-banks(the control group)followingthe policy.A difference-in-difference analysis shows that after the risk weight changes,thetreated mortgages are significantly less likely to refinance than the control mortgages.Nosuch effect exists among ex-ante bank-serviced mortgages where the servicer at originationwas not the originator,ruling out that this effect is merely driven by the shifting of servicingassets from banks to non-banks.This analysis thus provides direct evidence that mortgagesserviced by an originator are more likely to refinance than other mortgages.After showing that whether the servicer is integrated or not impacts the quantity of re-financing,we next condition on refinancing and ask whether mortgages refinanced by theservicer,recaptured refinances,differ from those refinanced by a third party.This analysisrequires linking the first origination,which provides the identity of the servicer,to the sub-sequent refinancing mortgage,which provides the identity of the subsequent originator,aswell as the new interest rate,timing,and fees.To do this,we undertake a merge,which toour knowledge is novel in the literature,of merged GSE/HMDA originations with forward-matched HMDA originations.With this data,we first confirm the own-servicer refinancingchannel described above by directly showing that these refinancing borrowers tend to refi-nance with their own servicer in particular.In terms of pricing,we next show that recapturedrefinances have roughly a$150 lower fee,or 7 basis points as a fraction of the principal.Thissuggests that refinancing an existing customer has a lower marginal cost as compared to anoutsider and that some of these marginal cost savings are passed on to the borrower.We next show that integrated fintech intermediaries in particular appear to possess anadvantage in customer acquisition gives them access to otherwise uncontested refinancingcustomers.With our forward-matched refinancing dataset,we first document that fintechintermediaries focus on recapturing their own servicing customers.Next,we use mergedHMDA application data to study borrower search and shopping behavior around refinanc-ing.We find that fintech customers exert significantly less effort in searching and shoppingas compared to other lenders customers:Fintech customers have 10%fewer refinance appli-cations to other competing lenders than non-fintech customers,and customers who receive2Given a capital requirement of 6%,this change means that having$1 worth of mortgage servicing rightswent from requiring$0.06 inequity financing to$0.15 in equity financing.4Electronic copy available at:https:/ loan offers are nearly 50%less likely to reject the offer.In consequence,fintech lendersface less effective competition and offer their borrowers significantly worse loan terms.Fin-tech recaptures occur roughly one year earlier in the life of the loan,offer a 20 basis pointsmaller rate improvement to the borrower,and have a$300 higher fee,or roughly 17 basispoints as a fraction of the principal.Motivated by these facts,we build and calibrate a quantitative structural model of mort-gage refinancing and servicing.We do this for three reasons:First,the mortgage refinancingdecision is a complicated dynamic problem and in particular is model dependent.Formal-izing the refinancing decision into a structural model allows us to properly account for thedynamic relationships of all agents involved and in particular to discuss notions of welfareand optimal refinancing,which is not possible with the reduced form approach.Second,we use the model to back out the key economic forces we identified abovemarginal costadvantage and customer acquisition advantageand to discuss the quantitative relevance ofboth of them.Third,we use the model to examine the equilibrium price and quantity im-pact of several policy counterfactuals,such as the impact of further servicer dis-integrationor fintech entry.Our model features a long-lived borrower with a 30-year fixed rate mortgage.As interestrates evolve stochastically,the borrower may want to refinance her mortgage into a lowerrate.Consistent with a wealth of empirical literature,the borrower faces significant inertiawhen refinancing her mortgage,which we operationalize as a fixed cost she must pay in orderto obtain mortgage offers.If she decides to refinance her mortgage,she receives offers fromimperfectly competitive lenders.To match the empirical facts,we model the lender priceas an origination fee that is a markup over their marginal cost of originating the mortgage.If she accepts the offer from an integrated intermediary,a servicing relationship is formedbetween her and the intermediary.This relationship intermediary then possesses a marginalcost advantage in subsequent refinances to the same borrower.In the empirical results,we showed that loan characteristics for recaptured refinancingby fintech lenders is different from other integrated lenders.We therefore introduce intothe model an integrated fintech lender who,in addition to possessing the same marginalcost advantage in originating loans to its servicing customers,possesses a customer acquisi-tion technology that applies to its servicing customers.We operationalize this by allowingborrowers with fintech servicers to receive a refinancing offer before soliciting offers fromother lenders at a significantly lower inertia cost.We interpret this as thet fintech lenderexploiting servicer customer data to make targeted refinance offers that allow the borrowerto partially avoid the mental cost of seeking offers.While seemingly simple,legacy lenders5Electronic copy available at:https:/ long struggled to implement similar systems.3This targeted offer gives the fintechlender additional market power over other offers,allowing the lender to endogenously sethigher markups.We calibrate the models parameters chiefly through the simulated method of moments(SMM).The key parameters underlying our mechanisms are(1)the marginal costs of orig-inating loans for both inside