Trustee reputation in securitization

When does it matter?

Solomon Y. Deku, Alper Kara, David Marques-Ibanez

Research output: Contribution to journalArticle

Abstract

We consider the role of trustees –who are nominated to protect the interests of investors– in securitization pricing and whether investors rely on them to mitigate risks. In particular, we examine the effect of trustee reputation on initial yield spreads of European mortgage-backed security (MBS) issuances between 1999 and the first half of 2007. We find that engaging reputable trustees led to lower spreads during the credit boom period prior to the 2007-2009 financial crisis. Our findings suggest that trustees’ reputation was considered by investors to be more important when risk assessment became more challenging.
Original languageEnglish
Pages (from-to)61-84
Number of pages24
JournalFinancial Markets, Institutions and Instruments
Volume28
Issue number2
Early online date5 Mar 2019
DOIs
Publication statusPublished - May 2019

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Investors
Securitization
Financial crisis
Yield spread
Pricing
Mortgage-backed securities
Risk assessment
Credit booms
Security issuance

Cite this

Deku, Solomon Y. ; Kara, Alper ; Marques-Ibanez, David. / Trustee reputation in securitization : When does it matter?. In: Financial Markets, Institutions and Instruments. 2019 ; Vol. 28, No. 2. pp. 61-84.
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Trustee reputation in securitization : When does it matter? / Deku, Solomon Y.; Kara, Alper; Marques-Ibanez, David.

In: Financial Markets, Institutions and Instruments, Vol. 28, No. 2, 05.2019, p. 61-84.

Research output: Contribution to journalArticle

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