Securitization and Credit Quality

Alper Kara, David Marques-Ibanez, Steven Ongena

Research output: Working paper

Abstract

Banks are usually better informed on the loans they originate than outside investors. As a result, securitized loans might be of lower credit quality than — otherwise similar — non-securitized loans. We assess the effect of securitization activity on credit quality employing a uniquely detailed dataset from the euro-denominated syndicated loan market. We find that, at issuance, banks do not select and securitize loans of lower credit quality. Following securitization, however, the credit quality of borrowers whose loans are securitized deteriorates by more than those in the control group. We find tentative evidence suggesting that poorer performance by securitized loans might be linked to banks’ reduced monitoring incentives.
Original languageEnglish
PublisherBoard of Governors of the Federal Reserve System
Number of pages35
DOIs
Publication statusPublished - Nov 2015
Externally publishedYes

Publication series

NameInternational Finance Discussion Papers
PublisherBoard of Governors of the Federal Reserve System
No.1148

Fingerprint

Loans
Securitization
Credit
Investors
Syndicated loans
Incentives
Monitoring

Cite this

Kara, A., Marques-Ibanez, D., & Ongena, S. (2015). Securitization and Credit Quality. (1148 ed.) (International Finance Discussion Papers ; No. 1148). Board of Governors of the Federal Reserve System. https://doi.org/10.17016/IFDP.2015.1148
Kara, Alper ; Marques-Ibanez, David ; Ongena, Steven. / Securitization and Credit Quality. 1148. ed. Board of Governors of the Federal Reserve System, 2015. (International Finance Discussion Papers ; 1148).
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Kara, A, Marques-Ibanez, D & Ongena, S 2015 'Securitization and Credit Quality' International Finance Discussion Papers , no. 1148, 1148 edn, Board of Governors of the Federal Reserve System. https://doi.org/10.17016/IFDP.2015.1148

Securitization and Credit Quality. / Kara, Alper; Marques-Ibanez, David; Ongena, Steven.

1148. ed. Board of Governors of the Federal Reserve System, 2015. (International Finance Discussion Papers ; No. 1148).

Research output: Working paper

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Kara A, Marques-Ibanez D, Ongena S. Securitization and Credit Quality. 1148 ed. Board of Governors of the Federal Reserve System. 2015 Nov. (International Finance Discussion Papers ; 1148). https://doi.org/10.17016/IFDP.2015.1148