Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/322944 
Year of Publication: 
2016
Series/Report no.: 
U.S.E. Discussion Papers Series No. 16-03
Publisher: 
Utrecht University, Utrecht School of Economics, Tjalling C. Koopmans Research Institute, Utrecht
Abstract: 
The decline in the issuance of Asset-Backed Securities (ABS) since the financial crisis and the comparative advantage of Covered Bonds (CBs) as a funding alternative to ABS raise the question whether banks still issue ABS as a mean to receive funding. Employing double-hurdle regression models on a dataset of 134 European banks observed during the period from 2007 to 2013, this study reveals that banks with a Covered Bond Program (CBP) securitize ceteris paribus less of their assets. The estimated difference in ABS issuance is mainly driven by banks more likely to issue ABS as a funding tool, rather than trying to manage their credit risk exposure or to meet regulatory capital requirements. Consistently, a worse liquidity/funding position results in higher levels of securitization only for banks without a CBP.
Subjects: 
Securitization
asset-backed securities
covered bonds
bank funding
capital relief
Document Type: 
Working Paper

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