Determinants of European banks' engagement in loan securitization

Dennis N. Hänsel and Christina Bannier

No 2008,10, Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank

Abstract: 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.

Keywords: Securitization; credit risk transfer; collateralized loan obligations (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-ban, nep-cfn, nep-eec and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp2:7320

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