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Securitization markets and central banking: an evaluation of the term asset-backed securities loan facility

  • Sean Campbell
  • Daniel Covitz
  • William Nelson
  • Karen Pence
Registered author(s):

    In response to the near collapse of US securitization markets in 2008, the Federal Reserve created the Term Asset-Backed Securities Loan Facility, which offered non-recourse loans to finance investors' purchases of certain highly rated asset-backed securities. We study the effects of this program and find that it lowered interest rate spreads for some categories of asset-backed securities but had little impact on the pricing of individual securities. These findings suggest that the program improved conditions in securitization markets but did not subsidize individual securities. We also find that the risk of loss to the US government was small.

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    File URL: http://www.federalreserve.gov/pubs/feds/2011/201116/201116abs.html
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    File URL: http://www.federalreserve.gov/pubs/feds/2011/201116/201116pap.pdf
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    Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 2011-16.

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    Date of creation: 2011
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    Handle: RePEc:fip:fedgfe:2011-16
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    1. Burcu Duygan-Bump & Patrick Parkinson & Eric Rosengren & Gustavo A. Suarez & Paul Willen, 2013. "How Effective Were the Federal Reserve Emergency Liquidity Facilities? Evidence from the Asset-Backed Commercial Paper Money Market Mutual Fund Liquidity Facility," Journal of Finance, American Finance Association, vol. 68(2), pages 715-737, 04.
    2. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc.
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