Determinants of Structured Finance Issuance - A Cross-Country Comparison

Sebastian A. Schuetz ()
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Sebastian A. Schuetz: Lüneburg-Wolfsburg chamber of industry and commerce, Germany

No 197, Working Paper Series in Economics from University of Lüneburg, Institute of Economics

Abstract: Especially structured finance instruments were blamed as main reason for the financial crisis 2007, but the understanding for the motivation to originate securitization products is less discovered. Therefor this paper tries to identify main balance sheet characteristics of structured finance originators. We investigate balance sheet figures for the 250 largest banks in each Europe, Germany and USA between 1994-2009. We identified different main reasons for the banks in each region to securitize that are in line with observable behavior of market participants. US banks use securitization mainly as credit risk transfer instrument and to increase performance, while European originators focus on regulatory capital arbitrage and performance improvement. For German banks securitization seems to be an appropriate funding tool. The proposed regulatory securitization changes like in Basel III are evaluated in this context, but will hit the banks not as hard as expected.

Keywords: regulatory arbitrage; securitization; subprime crisis; ABS; credit risk transfer; Basel III; liquidity (search for similar items in EconPapers)
JEL-codes: G01 G21 G24 G28 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2011-02
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