Publication: What do we know about banks securitisation? the spanish experience
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2009-06
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Abstract
The present work analyses the reasons why Spanish financial entities have
carried out securitisation programs in the period 2000-2007 on such a scale that
Spain has become the European country with the largest issue volumes, second
only to the U.K.
The results obtained after the application of a logistic regression model to a
sample of 408 observations indicate that liquidity and the search for improved
performance are the decisive factors in securitisation. The hypotheses of transfer of
credit risk and arbitrage in regulatory capital are not confirmed; therefore the
normative development of Basel II cannot be expected to affect the volumes issued
in future years.
The study is complemented with a more detailed analysis, differentiating
between programs of asset and liability securitisation
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Securitisation, ABS, CDO, Credit risk transfer, Regulatory capital arbitrage