Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy

Affinito, Massimiliano; Tagliaferri, Edoardo

doi:10.2139/ssrn.1601939

Cited by 59 publications

(47 citation statements)

References 165 publications

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“…A securitization transaction is implemented through a transfer of assets from the originator to a special purpose vehicle (SPV), which then issues securities, in the form of debt instruments, to be placed in the market through a private or public offering 2 . Figure 1 presents a representation of the financial flows in a typical securitization transaction 3 .…”

Section: The Typical Securitization Transaction Schemementioning

confidence: 99%

“…This kind of guarantee can either apply to all the issued tranches or, more typically, only to one particular tranche. Internal credit enhancement mechanisms are: (1) subordination; (2) 7 overcollateralization 6 ; (3) cash reserve accounts; (4) excess spread 7 ; (5) trigger events; and (6) minimum debt or interest service coverage levels. The type and amount of credit enhancement employed in a transaction represents the matching point of the issuer's need to maximize deal proceeds and the rating agencies' judgment with respect to how much credit enhancement is required to achieve the desired rating on the senior bond classes (Fabozzi et al, 2006).…”

Section: Fig 2 Basic Securitization Processmentioning

confidence: 99%

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The economics of securitization: evidence from the European markets

Pinto

Alves²

2016

Investment Management and Financial Innovations

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This paper surveys the literature examining securitization. Besides describing the economic motivation for the use of securitization, the paper provides details on securitization characteristics and players, presents the recent trends of securitization markets, describes the role played by securitization in the 2007-2008 financial crisis, and compares the financial characteristics of securitization transactions for a large cross-section of ABS, MBS and CDO tranches issued during the 2000-2011 period. Securitization creates value by increasing liquidity, reducing the cost of funding, allowing originators to diversify funding sources, improving originators' risk management, and allowing originators to benefit from regulatory arbitrage and to improve key financial ratios. However, securitization transactions are complex undertakings, they are expensive to set up, and increase the deadweight transaction costs associated with principalagent and asymmetric information problems when used inappropriately.

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Section: The Typical Securitization Transaction Schemementioning

confidence: 99%

Section: Fig 2 Basic Securitization Processmentioning

confidence: 99%

The economics of securitization: evidence from the European markets

Pinto

Alves²

2016

Investment Management and Financial Innovations

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“…Embora não tenham utilizado a variá-vel com essa composição, Affinito and Tagliaferri (2010) encontraram que bancos menos líquidos tendem a ceder mais, e, por isso, espera-se valor negativo.…”

Section: Revisão Bibliográficaunclassified

Cessão De Crédito E Restrição De Capital: Um Estudo Com Bancos Brasileiros

Ribeiro

Schiozer

2014

Rev. adm. empres.

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ARTIGOS an exogenous shock to Brazilian financial system during which financial institutions faced difficulties due to the reduction in fund raising by means of free and inter-bank deposits. This also allows observing whether capital restriction effects on credit assignment are higher during financial crises. The results indicate that an increase in capital restriction -both equity and debt' -is related to the expansion of credit assignment operations of Brazilian banks. KEY-WORDS | Loan sales, co-obligation, credit, capital constraint, bank liquidity. RESUMEN

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“…More recent studies which specifically investigate securitization transactions conclude that regulatory arbitrage and bank size drive securitizations (Uzun and Webb, 2007). For the Spanish setting (Martín-Oliver and Saurina, 2007) and the Italian setting (Mazzuca and Agostino, 2009;Affinito and Tagliaferri, 2010) there is evidence that liquidity needs are an important determinant of the decision to securitize. Bannier and Hänsel (2008) analyze a comprehensive sample of European banks.…”

Section: Related Literaturementioning

confidence: 99%

Securitization and Credit Risk: Evidence from Retained Interest in Securitized Mortgages

Scholz

2013

SSRN Journal

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This paper analyzes bank-and loan-specific characteristics that determine the amount of retained interest held by US banks in mortgage securitizations. Economic theory suggests that retaining an interest in securitization transactions should help to mitigate information asymmetry problems between the parties involved. For a sample of bank holding companies, I find that credit risk of the transferred mortgages is positively associated with the amount of retained interest held, consistent with investor demand for a signal of (credit) quality of the securitized assets. The demand for such a signal seems to be lower for banks with an established reputation for securitization transactions. Consistent with the view of securitization as a sophisticated tool to manage risk from loan origination, more sophisticated banks seem to hold more retained interest. It also appears that retained interest is negatively associated with credit risk exposure from other assets. These findings suggest that retained interest in securitization transactions serves as a mechanism to mitigate information asymmetry problems as well as a means to manage a bank's risk profile.

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Why Do (or Did?) Banks Securitize Their Loans? Evidence from Italy

Cited by 59 publications

References 165 publications

The economics of securitization: evidence from the European markets

The economics of securitization: evidence from the European markets

Cessão De Crédito E Restrição De Capital: Um Estudo Com Bancos Brasileiros

Securitization and Credit Risk: Evidence from Retained Interest in Securitized Mortgages

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