Determinants of European banks' engagement in loan securitization

Arbeitspapier

We analyze collateralized loan obligation (CLO) transactions by European banks (1997 - 2004), trying to identify firm-specific and macroeconomic factors influencing an institution's securitization decision. CLO issuance seems to be an appropriate funding tool for large banks with high risk and low liquidity. However, risk transfer turns out to be limited in the extremes. Controlling for fixed effects, we find that fixed costs of securitization are surmountable also for smaller institutions. Interestingly, commercial banks seem to use loan securitization to access capital-market based businesses and the associated fee income. Regulatory capital arbitrage does not appear to have driven the market.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Paper Series 2 ; No. 2008,10

Classification and Topics

• Classification: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: Securitization ; credit risk transfer ; collateralized loan obligations ; Kreditsicherung ; Securitization ; Bank ; Wertpapieremission ; Europa ; Collateralized Loan Obligation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hänsel, Dennis N. ; Bannier, Christina E.
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/19787
• Last update: 10.03.2025, 11:46 AM CET