Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210874
Authors: 
Fiedor, Paweł
Killeen, Neill
Year of Publication: 
2019
Series/Report no.: 
ESRB Working Paper Series 99
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.
Subjects: 
derivatives
shadow banking
FVCs
SPEs
EMIR
market-based finance
JEL: 
F30
F36
G15
G23
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-113-6
Document Type: 
Working Paper

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