What Drives Bank Securitisation? The Spanish Experience

Posted: 3 Jun 2012 Last revised: 19 Jun 2012

See all articles by Clara Cardone-Riportella

Clara Cardone-Riportella

Department of Financial Economics & Accounting, Pablo de Olavide University (Seville, Spain)

Reyes Samaniego-Medina

Universidad Pablo de Olavide

Antonio Trujillo‐Ponce

Universidad Pablo de Olavide - Department of Financial Economics & Accounting

Date Written: June 3, 2012

Abstract

This paper analyses the reasons why Spanish banks securitised in the period 2000-2007 on such a large scale that Spain has become the European country with the second-largest issuance volume after the UK.

The results were obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. We find no evidence to support hypotheses regarding credit risk transfer and regulatory capital arbitrage. Our study also presents a more detailed analysis that differentiates between asset and liability securitisation programmes.

Keywords: Securitisation, ABS, CDO, Credit risk transfer, Regulatory capital arbitrage

JEL Classification: G21, G28

Suggested Citation

Cardone-Riportella, Clara and Samaniego-Medina, Reyes and Trujillo-Ponce, Antonio, What Drives Bank Securitisation? The Spanish Experience (June 3, 2012). Journal of Banking and Finance, Vol. 34, No. 11, 2010, Available at SSRN: https://ssrn.com/abstract=2074238

Clara Cardone-Riportella

Department of Financial Economics & Accounting, Pablo de Olavide University (Seville, Spain) ( email )

Ctra. de Utrera, km 1
Seville, Seville 41013
Spain
00 34 954 349056 (Phone)

Reyes Samaniego-Medina

Universidad Pablo de Olavide ( email )

Ctra. Utrera, Km.1
Sevilla, Seville 41010
Spain

Antonio Trujillo-Ponce (Contact Author)

Universidad Pablo de Olavide - Department of Financial Economics & Accounting ( email )

Ctra. Utrera, Km.1
Sevilla, 41013
Spain

HOME PAGE: http://https://www.upo.es/investiga/banef/

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