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

Sean D. Campbell, Daniel M. Covitz, William R. Nelson and Karen Pence
Additional contact information
Daniel M. Covitz: https://www.federalreserve.gov/econres/daniel-m-covitz.htm

No 2011-16, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Keywords: Asset-backed financing; Mortgage-backed securities; Financial crises; Term Asset-Backed Securities Loan Facility (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ban, nep-cba, nep-mon and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)

Downloads: (external link)
http://www.federalreserve.gov/pubs/feds/2011/201116/201116abs.html (text/html)
http://www.federalreserve.gov/pubs/feds/2011/201116/201116pap.pdf (application/pdf)

Related works:
Journal Article: Securitization markets and central banking: An evaluation of the term asset-backed securities loan facility (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2011-16

Access Statistics for this paper

More papers in Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().