The Securitization Flash Flood
This paper highlights a connection between the stability of a bank’s funding sources (debt claims) and the liquidity of assets backing those claims. Using a natural experiment and hand-collected data on over 5,000 repurchase contracts, the paper shows that a shock that increased the liquidity of pri...
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| Veröffentlicht in: | The Review of Corporate Finance Studies 2024-12 |
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| creator | Srinivasan, Kandarp |
| description | This paper highlights a connection between the stability of a bank’s funding sources (debt claims) and the liquidity of assets backing those claims. Using a natural experiment and hand-collected data on over 5,000 repurchase contracts, the paper shows that a shock that increased the liquidity of private-label MBS resulted in a greater proportion of MBS financed on balance sheet by unstable funding sources (short-term repo debt). This finding is relevant to a recent banking crisis (the SVB collapse in March 2023) in which losses on a bank’s liquid assets led to a run by uninsured (“flighty”) depositors financing those assets. (JEL G2, K2) |
| doi_str_mv | 10.1093/rcfs/cfae027 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 2046-9128 |
| ispartof | The Review of Corporate Finance Studies, 2024-12 |
| issn | 2046-9128 2046-9136 |
| language | eng |
| recordid | cdi_crossref_primary_10_1093_rcfs_cfae027 |
| source | Oxford University Press Journals All Titles (1996-Current) |
| title | The Securitization Flash Flood |
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