Abstract
| Original language | English |
|---|---|
| Place of Publication | Frankfurt |
| Publisher | European Central Bank |
| Pages | 1-37 |
| Number of pages | 37 |
| Volume | 2236 |
| ISBN (Electronic) | 9789289934985 |
| DOIs | |
| Publication status | Published - 1 Feb 2019 |
Publication series
| Name | ECB Working Paper Series |
|---|---|
| Publisher | European Central Bank |
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Do reputable issuers provide better-quality securitizations? / Deku, Solomon Y.; Kara, Alper; Marques-Ibanez, David.
Frankfurt : European Central Bank, 2019. p. 1-37 (ECB Working Paper Series).Research output: Working paper
TY - UNPB
T1 - Do reputable issuers provide better-quality securitizations?
AU - Deku, Solomon Y.
AU - Kara, Alper
AU - Marques-Ibanez, David
PY - 2019/2/1
Y1 - 2019/2/1
N2 - We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that, overall, MBS sold by reputable issuers are collateralised by higher quality asset pools which have lower delinquency rates and are less likely to be downgraded. However, as credit standards declined during the boom period of 2005-2007, asset pools securitized by reputable issuers were of worse quality compared to those securitized by less reputable issuers. Therefore, reputation as a self-disciplining mechanism failed to incentivise the production of high quality securities during the credit boom.
AB - We examine the link between issuer reputation and mortgage-backed security (MBS) performance using a sample of 4,247 European MBS issued between 1999 and 2007. We measure performance with credit rating downgrades and delinquencies and track their changes over the long term. We find that, overall, MBS sold by reputable issuers are collateralised by higher quality asset pools which have lower delinquency rates and are less likely to be downgraded. However, as credit standards declined during the boom period of 2005-2007, asset pools securitized by reputable issuers were of worse quality compared to those securitized by less reputable issuers. Therefore, reputation as a self-disciplining mechanism failed to incentivise the production of high quality securities during the credit boom.
KW - Mortgage-backed securities
KW - Issuer reputation
KW - Rating shopping
U2 - 10.2866/05138
DO - 10.2866/05138
M3 - Working paper
VL - 2236
T3 - ECB Working Paper Series
SP - 1
EP - 37
BT - Do reputable issuers provide better-quality securitizations?
PB - European Central Bank
CY - Frankfurt
ER -