This paper analyzes the private production of safe assets and its implications for financial stability. Financial intermediaries (FIs) originate loans, exert hidden effort to improve loan quality, and create safe assets by issuing debt backed by the safe payments from (i) their own loans and...

In dynamic models of asset markets with asymmetric information and endogenous screening, the anticipation of signaling through delayed sales incentivizes originators to exert greater effort ex ante. A central prediction in those models is a positive relationship between screening effort and the...

We examine how banks manage carbon transition risk by selling loans given to polluting borrowers to less regulated shadow banks in securitization markets. Exploiting the election of Donald Trump as an exogenous shock that reduces carbon risk, we find that banks’ securitization decisions are...

We study how deposit competition affects a bank’s decision to securitize mortgages. Exploiting the state-specific removal of deposit market caps across the US as a source of competition, we find a 7.1 percentage point increase in the probability that banks securitize mortgage loans. This...

Our objective is to test for evidence of information asymmetry in the mortgage servicing market. Does the sale of mortgage servicing rights (MSR) by the initial lender to a second servicing institution unveil any residual asymmetric information? We are the first to analyze the originator's...

Prior research has examined how investors view asset securitizations, and shows that investors treat securitizations as borrowings, even when GAAP treats them as sales. Upon the adoption of two new accounting standards relating to securitizations, some off-balance-sheet securitized assets were...

This paper reviews the main types of credit enhancement approaches used to support climate debt issuances by EMDE borrowers. Fragmentation on the part of the providers of credit enhancements was identified as a major factor impeding scalability of credit-enhanced debt. The acceptance of...

Seit der russischen Vollinvasion der Ukraine am 24. Februar 2022 lässt sich eine Versicherheitlichung des auswärtigen Handelns der Europäischen Union (EU) beobachten. Institutionell betrachtet wird die Gemeinsame Außen- und Sicherheitspolitik (GASP) zunehmend von der Gemeinsamen Sicherheits-...

Seit der russischen Vollinvasion der Ukraine am 24. Februar 2022 lässt sich eine Versicherheitlichung des auswärtigen Handelns der Europäischen Union (EU) beobachten. Institutionell betrachtet wird die Gemeinsame Außen- und Sicherheitspolitik (GASP) zunehmend von der Gemeinsamen Sicherheits-...

In dynamic models of asset markets with asymmetric information and endogenous screening, the anticipation of signaling through delayed sales incentivizes originators to exert greater effort ex ante. A central prediction in those models is a positive relationship between screening effort and the...

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole (systemic risk). A seminal theoretical work has shown that linear diversification can reduce the risk of a bank failing, but at the cost of increasing systemic risk. Later, a...

We provide novel evidence that deposit competition incentivizes banks to securitize loans. Exploiting the state-specific removal of deposit market caps across the U.S. as an exogenous source of competition, we document a 7.1 percentage point increase in the probability that banks securitize...

Considered among of the main causes of the 2007 financial crisis, the credit risk transfer activities deserve nowadays particular attention. This study discusses the continuous effectiveness of the credit risk transfer activities by investigating their effects on the bank risk, liquidity and...

This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

We examine how banks manage carbon transition risk by selling loans given to polluting borrowers to less regulated shadow banks in securitization markets. Exploiting the election of Donald Trump as an exogenous shock that reduces carbon risk, we find that banks' securitization decisions are...

We study how deposit competition affects a bank's decision to securitize mortgages. Exploiting the state-specific removal of deposit market caps across the US as a source of competition, we find a 7.1 percentage point increase in the probability that banks securitize mortgage loans. This result...

In this Discussion Paper, the main impacts of Law No. 14/430/2022 on securitization operations in Brazil are discussed. Focusing on securitization companies, it documents how the "Single Law" of financial technique interfered in their operational system, in order to position these operations on...

This paper addresses the need for transparent sustainability disclosure in the European Auto AssetBacked Securities (ABS) market, a crucial element in achieving the EU's climate goals. It proposes the use of existing vehicle identifiers, the Type Approval Number (TAN) and the...

We examine rating behaviour after the introduction of new regulations regarding Credit Rating Agencies (CRAs) in the European securitisation market. Employing a large sample of 12,469 ABS tranches issued between 1998 and 2018, we examine the information content of yield spreads of ABS at the...

In this Discussion Paper, the main impacts of Law No. 14/430/2022 on securitization operations in Brazil are discussed. Focusing on securitization companies, it documents how the "Single Law" of financial technique interfered in their operational system, in order to position these operations on...

Ongoing global trends like climate change require firms to invest in projects that support their transformation. In order to unlock the huge sums of private capital necessary for these investments, the engagement of institutional investors appears to be crucial. In a project funded by ZEW's...