Trustee reputation in securitization: when does it matter?

Deku, SY ORCID: https://orcid.org/0000-0003-1579-8708, Kara, A and Marques-Ibanez, D, 2019. Trustee reputation in securitization: when does it matter? Financial Markets, Institutions & Instruments, 28 (2), pp. 61-84. ISSN 0963-8008

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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.

Item Type:	Journal article
Publication Title:	Financial Markets, Institutions & Instruments
Creators:	Deku, S.Y., Kara, A. and Marques-Ibanez, D.
Publisher:	Wiley-Blackwell
Date:	May 2019
Volume:	28
Number:	2
ISSN:	0963-8008
Identifiers:	Number Type 10.1111/fmii.12106 DOI 672107 Other
Divisions:	Schools > Nottingham Business School
Record created by:	Linda Sullivan
Date Added:	08 Jun 2018 07:47
Last Modified:	31 May 2021 15:06
URI:	https://irep.ntu.ac.uk/id/eprint/33837

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