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Securitisation special purpose entities, bank sponsors and derivatives

Paweł Fiedor and Neill Killeen

Journal of International Financial Markets, Institutions and Money, 2021, vol. 75, issue C

Abstract: This paper documents the use of derivatives by securitisation special purpose entities (SPEs), also known as financial vehicle corporations (FVCs), domiciled in Ireland using transaction-level data established by the European Market Infrastructure Regulation. We show that these entities primarily engaged in interest rate derivatives over the period of 2015–2017. We find that larger entities that already engage in international capital markets are more likely to have derivative exposures. We also show that entities sponsored by banks and non-bank financial institutions are relatively more likely to engage in derivative markets. The characteristics of these bank sponsors are important in determining SPEs’ engagement in derivative markets. SPEs’ heavy reliance on debt finance coupled with their strong interconnectedness with bank sponsors underscores the importance of continuous monitoring and macroprudential surveillance of their derivative activities.

Keywords: Derivatives; Shadow banking; FVCs; SPEs; EMIR; Market-based finance (search for similar items in EconPapers)
JEL-codes: F30 F36 G15 G23 (search for similar items in EconPapers)
Date: 2021
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Working Paper: Securitisation special purpose entities, bank sponsors and derivatives (2019) Downloads
Working Paper: Securisation special purpose entities, bank sponsors and derivatives (2019) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:75:y:2021:i:c:s104244312100161x

DOI: 10.1016/j.intfin.2021.101452

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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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