Securitization as a Tool of Bank Liquidity and Funding Management before and after the Crisis : the Case of the EU

• Autorzy: Sylwester Kozak , Olga Teplova
• Języki publikacji: EN

Abstrakty

EN

Before the financial crisis securitization was commonly considered an efficient way of replacing illiquid assets with liquid securities (ABS), in which the risk was supposed to be adequately compensated by the tranching techniques. However, with the emergence of the crisis investors became more risk aversive and reluctant to incur ABS due to the rapidly deteriorating quality of the underlying assets caused by poor macroeconomic fundamentals. The limited adverse effects of the poor collateral performance is the main reason why chances for recovery of the ABS market in the EU are estimated more highly than in the USA. The analysis indicates that, driven by the ECB repo operations, the securitization market has almost lost the pre-crisis motives behind the issuance of ABS. Banks' attitudes toward securitization as a refinancing tool and a mechanism to extract additional profit underwent a shift. As the findings of the article suggest, after the crisis securitization is widely seen by banks as a liquidity tool within the frame of repo deals with the ECB, and to a lesser extent as a refinancing tool. Market regulation contributed considerably to this shift. (original abstract)

Słowa kluczowe

EN

Financial system; Asset-Backed Securities (ABS); Monetary Policy of the ECB

PL

System finansowy; Sekurytyzacyjne instrumenty finansowania; Polityka pieniężna Europejskiego Banku Centralnego

• Czasopismo: e-Finanse
• Rocznik: 2012
• Tom: 8
• Numer: nr 4
• Strony: 30--43

Twórcy

autor

Sylwester Kozak

• National Bank of Poland

autor

Olga Teplova

• St. Petersburg State University of Economics and Finance, Russia

Bibliografia

• Achleitner, P. (2007). Investment Banking, Keynote lecture at the WHU-Otto Beisheim School of Management, Vallendar, Germany. Fall semester 2007-2008.
• Bär, H. P. (1997). Die Verbriefung von Finanzaktiven als innovative Finanzierungstechnik und neue Herausforderung für Banken, P. Haupt: Bern.
• Barclays Capital (2011). European Securitization Outlook 2011: The Moment of Truth. Available at: www.markit.com.
• Booth, P. (2009). Verdict on the Crash: Causes and Policy Implications. The Institute for Economic Affairs, London.
• Brämer, P., Gischer, H., Richter, T. (2011) Banksystem und Regulierung. Schriften des Vereins für Socialpolitik. Band 331. Duncher&Humblot. Berlin. p. 11-28.
• Brost, H., Dahmen, A., Lippmann, I. (2008). Corporate Banking zukunftsorientierte Strategien im Firmenkundengeschäft. 6., überarb. Aufl. Frankfurt am Main. Frankfurt School Verl.
• Committee of European Securities Regulators (2010). CESR's Guidelines on a Common Definition of European Money Market Funds CESR/10-049. Retrived from: http://www.esma. europa.eu/system/files/10_049.pdf.
• Coval, D. J., Jurek, J., Stafford, E. (2008). The Economics of Structured Finance. Harvard Business School Working Paper, No. 09-060.
• Directive 2009/111/EC of the European Parliament and the Council of 16 September 2009amend-ing Directives 2006/48/EC, 2006/49/EC and 2007/64/EC as Regards Banks Affiliated to Central Institutions, Certain Own Funds Items, Large Exposures, Supervisory Arrangements and Crisis Management (OJ L 302 p. 97, 17.11.200) (commonly known as 'CRD II').
• Dulake, S., Henriques, R., Rusconi, F., Davies, G. (2011). European ABS Outlook Conference. J. P. Morgan.
• European Central Bank (2011). Recent Developments in Securitization. ECB. February.
• Gabor, D., (2012). The Power of Collateral: the ECB and Bank Funding Strategies in Crisis. Retrived from: http://ssrn.com/abstract=2062315.
• Gestel, T., Bart, B. (2009). Credit Risk Management. 1. publ.-XVI. Oxford. Oxford University Press.
• Gorton, G., Metrick, A. (2009). Securitized Banking and the Run on Repo. Yale ICF Working Paper, No. 09.
• Gorton, G. (2010). Questions and Answers about the Financial Crisis. Prepared for the U.S. Financial Crisis Inquiry Commission. NBER Working Paper, No. 15787.
• Hies, M. (1996). Die Refinanzierung deutscher Hypothekenbanken. Frankfurt am Main. Knapp.
• Hull, J. (2009). Risk Management and Financial Institutions. Second edition. Pearson.
• Klee, E., Stebunov, V. (2011). A Target Treasury General Collateral Repo Rate: Is a Target Repo Rate a Viable Alternative to the Target Federal Funds Rate? Board of Governors of the Federal Reserve System. Retrived from: http://www.ecb.int/events/conferences/shared/pdf/ pocrides_opfram/Stebunovs.pdf?6c811160855ce633e9382d694601d532.
• Maddaloni, A., Peydro, J.-L. (2010). Bank Risk-Taking, Securitization, Supervision and Low Interest Rates: Evidence from the Euro Area and the U.S. Lending Standards. ECB Working Paper, No 1248.
• Loutskina, E. (2010). The Role of Securitization in Bank Liquidity and Funding Management. Accepted for publication at the Journal of Financial Economics. Retrived from: http://pa- pers.ssrn.com/sol3/papers.cfm?abstract_id=677001