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Securitisation special purpose entities, bank sponsors and derivatives

Author

Listed:
  • Fiedor, Pawel

    (Central Bank of Ireland)

  • Killeen, Neill

    (Central Bank of Ireland)

Abstract
This paper documents the use of derivatives by securitisation special purpose entities (SPEs), also known as financial vehicle corporations (FVCs), domiciled in Ireland using transaction-level data established by the European Market Infrastructure Regulation. We show that these entities primarily engaged in interest rate derivatives over the period of 2015–2017. We find that larger entities that already engage in international capital markets are more likely to have derivative exposures. We also show that entities sponsored by banks and non-bank financial institutions are relatively more likely to engage in derivative markets. The characteristics of these bank sponsors are important in determining SPEs’ engagement in derivative markets. SPEs’ heavy reliance on debt finance coupled with their strong interconnectedness with bank sponsors underscores the importance of continuous monitoring and macroprudential surveillance of their derivative activities.

Suggested Citation

  • Fiedor, Pawel & Killeen, Neill, 2019. "Securitisation special purpose entities, bank sponsors and derivatives," Research Technical Papers 5/RT/19, Central Bank of Ireland.
    • Handle: RePEc:cbi:wpaper:5/rt/19
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    References listed on IDEAS

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    Cited by:

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    2. Hodula, Martin & Libich, Jan, 2023. "Has monetary policy fueled the rise in shadow banking?," Economic Modelling, Elsevier, vol. 123(C).

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    More about this item

    Keywords

    derivatives; FVCs; SPEs; EMIR; market-based finance;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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