IDEAS home Printed from https://ideas.repec.org/p/cbi/fsnote/3-fs-19.html
   My bibliography  Save this paper

Securitisation special purpose entities' use of derivatives: New evidence from Ireland

Author

Listed:
  • Fiedor, Pawel

    (Central Bank of Ireland)

  • Killeen, Neill

    (University of London)

Abstract

Securitisation special purpose entities (SPEs) are a key component of the market-based finance sector domiciled in Ireland with approximately e390 billion in assets in Q3 2017, growing to over e430 billion in Q3 2018. In this Note, we document the different business models of these vehicles, with a specific focus on their derivative activities. These entities are set up as off-balance sheet vehicles used in the securitisation process. While they are domiciled in Ireland, they are strongly interconnected with the international financial system through their sponsor and funding linkages. These interconnections, in particular with banks, warrant financial stability monitoring of these vehicles’ derivative activities owing to their potential to amplify stress.We show that SPEs predominately use interest rate derivatives over the period 2015–2017. They are also active counterparties in commodity, credit and equity derivatives, but to a much lesser degree. Our findings provide new insights on the extent of the bank sponsor linkages and aid a mapping of the exposures between the banking and non-bank financial system in derivative markets.

Suggested Citation

  • Fiedor, Pawel & Killeen, Neill, 2019. "Securitisation special purpose entities' use of derivatives: New evidence from Ireland," Financial Stability Notes 3/FS/19, Central Bank of Ireland.
  • Handle: RePEc:cbi:fsnote:3/fs/19
    as

    Download full text from publisher

    File URL: https://centralbank.ie/docs/default-source/publications/financial-stability-notes/no-3-securitisation-special-purpose-entities-use-of-derivatives-new-evidence-from-ireland.pdf?sfvrsn=6
    Download Restriction: no

    References listed on IDEAS

    as
    1. Acharya, Viral V. & Schnabl, Philipp & Suarez, Gustavo, 2013. "Securitization without risk transfer," Journal of Financial Economics, Elsevier, vol. 107(3), pages 515-536.
    2. repec:bfr:fisrev:2018:22:6 is not listed on IDEAS
    3. Jorge Abad & Iñaki Aldasoro & Christoph Aymanns & Marco D'Errico & Linda Fache Rousová & Peter Hoffmann & Sam Langfield & Martin Neychev & Tarik Roukny, 2016. "Shedding light on dark markets: First insights from the new EU-wide OTC derivatives dataset," ESRB Occasional Paper Series 11, European Systemic Risk Board.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cbi:fsnote:3/fs/19. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fiona Farrelly). General contact details of provider: http://edirc.repec.org/data/cbigvie.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.