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 language | English |
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Pages (from-to) | 61-84 |
Number of pages | 24 |
Journal | Financial Markets, Institutions and Instruments |
Volume | 28 |
Issue number | 2 |
Early online date | 5 Mar 2019 |
DOIs | |
Publication status | Published - 1 May 2019 |