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What do we know about banks securitisation? the spanish experience

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  • Clara Cardone Riportella

    ()

  • Reyes Samaniego Medina

    ()

  • Antonio Trujillo Ponce

    ()

Abstract

The present work analyses the reasons why Spanish financial entities have carried out securitisation programs in the period 2000-2007 on such a scale that Spain has become the European country with the largest issue volumes, second only to the U.K. The results obtained after the application of a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. The hypotheses of transfer of credit risk and arbitrage in regulatory capital are not confirmed; therefore the normative development of Basel II cannot be expected to affect the volumes issued in future years. The study is complemented with a more detailed analysis, differentiating between programs of asset and liability securitisation

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Bibliographic Info

Paper provided by Universidad Carlos III, Departamento de Economía de la Empresa in its series Business Economics Working Papers with number wb093904.

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Date of creation: Jun 2009
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Handle: RePEc:cte:wbrepe:wb093904

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Keywords: Securitisation; ABS; CDO; Credit risk transfer; Regulatory capital arbitrage;

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References

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  1. George Pennacchi, . "Loan Sales and the Cost of Bank Capital," Rodney L. White Center for Financial Research Working Papers 07-87, Wharton School Rodney L. White Center for Financial Research.
  2. Gary Gorton & Nicholas S. Souleles, 2005. "Special purpose vehicles and securitization," Working Papers 05-21, Federal Reserve Bank of Philadelphia.
  3. Charles W. Calomiris & Joseph R. Mason, 2003. "Credit card securitization and regulatory arbitrage," Working Papers 03-7, Federal Reserve Bank of Philadelphia.
  4. Thomas, Hugh, 1999. "A preliminary look at gains from asset securitization," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(3), pages 321-333, August.
  5. Larry E. Jones & Rodolfo E. Manuelli, 2001. "Endogenous Policy Choice: The Case of Pollution and Growth," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(2), pages 369-405, July.
  6. Simon Wolfe, 2000. "Structural effects of asset-backed securitization," The European Journal of Finance, Taylor & Francis Journals, vol. 6(4), pages 353-369.
  7. Brent Ambrose & Michael LaCour-Little & Anthony Sanders, 2005. "Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?," Journal of Financial Services Research, Springer, vol. 28(1), pages 113-133, October.
  8. Hirtle, Beverly, 2009. "Credit derivatives and bank credit supply," Journal of Financial Intermediation, Elsevier, vol. 18(2), pages 125-150, April.
  9. Hänsel, Dennis N. & Bannier, Christina E., 2008. "Determinants of European banks' engagement in loan securitization," Discussion Paper Series 2: Banking and Financial Studies 2008,10, Deutsche Bundesbank, Research Centre.
  10. Jones, David, 2000. "Emerging problems with the Basel Capital Accord: Regulatory capital arbitrage and related issues," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 35-58, January.
  11. Gary Gorton & George Pennacchi, 1990. "Banks and Loan Sales: Marketing Non-Marketable Assets," NBER Working Papers 3551, National Bureau of Economic Research, Inc.
  12. Lockwood, Larry J. & Rutherford, Ronald C. & Herrera, Martin J., 1996. "Wealth effects of asset securitization," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 151-164, January.
  13. Elena Loutskina & Philip E. Strahan, 2006. "Securitization and the Declining Impact of Bank Finance on Loan Supply: Evidence from Mortgage Acceptance Rates," NBER Working Papers 11983, National Bureau of Economic Research, Inc.
  14. Hatice Uzun & Elizabeth Webb, 2007. "Securitization and risk: empirical evidence on US banks," Journal of Risk Finance, Emerald Group Publishing, vol. 8(1), pages 11-23, January.
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