Structural effects of asset -backed securitisation
Structural effects of asset -backed securitisation
This paper analyses the potential changes in the operational structure of deposit - taking financial institutions that securitize assets. Findings indicate that banks can create an asset securitization pipeline structure that enables them to increase their return on capital. In other words, through securitization banks can expand their loan provision business without increasing their liabilities or their capital levels. Using a contingent claims model, four factors that impact on the bank's decision to securitize are highlighted and analysed: (i) the level of deposit insurance; (ii) capital adequacy requirements; (iii) insolvency risk; and, (iv) the risk of credit enhancements. Furthermore, we identify key accounting and regulatory challenges that emerge for banks from the process of asset backed securitization.
asset-backed, securitization, return, on, capital, deposit, insurance, adequacy
353-369
Wolfe, Simon
9a2367fc-36cc-496a-bbd2-e7346bcbb19e
December 2000
Wolfe, Simon
9a2367fc-36cc-496a-bbd2-e7346bcbb19e
Abstract
This paper analyses the potential changes in the operational structure of deposit - taking financial institutions that securitize assets. Findings indicate that banks can create an asset securitization pipeline structure that enables them to increase their return on capital. In other words, through securitization banks can expand their loan provision business without increasing their liabilities or their capital levels. Using a contingent claims model, four factors that impact on the bank's decision to securitize are highlighted and analysed: (i) the level of deposit insurance; (ii) capital adequacy requirements; (iii) insolvency risk; and, (iv) the risk of credit enhancements. Furthermore, we identify key accounting and regulatory challenges that emerge for banks from the process of asset backed securitization.
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Published date: December 2000
Keywords:
asset-backed, securitization, return, on, capital, deposit, insurance, adequacy
Identifiers
Local EPrints ID: 36592
URI: http://eprints.soton.ac.uk/id/eprint/36592
ISSN: 1351-847X
PURE UUID: d28e0b66-94a6-42b4-ba13-2486be0e6dab
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Date deposited: 22 Mar 2007
Last modified: 16 Mar 2024 02:44
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