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

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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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  • Sean D. Campbell & Daniel M. Covitz & William R. Nelson & Karen M. Pence, 2011. "Securitization markets and central banking: an evaluation of the term asset-backed securities loan facility," Finance and Economics Discussion Series 2011-16, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:2011-16
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    Keywords

    Asset-backed financing; Mortgage-backed securities; Financial crises; Term Asset-Backed Securities Loan Facility;
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