Why Did Spanish Banks Securitize Differently? Asset Securitization, Ownership and Risk

This paper analyzes the determinants of asset securitization in Spanish banks during the period 1999-2007. We distinguish savings banks (Cajas) from the rest of banks, mainly commercial banks, and compare both their decision to securitize and the volume of securitization. Asset securitization seems to play a key role at explaining both the sector exponential growth and the deep crisis that followed. Due to the special nature of Cajas, we focus our study in these institutions, highlighting the role of some factors, such as the regulatory capital and the risk transfer. We find that Cajas with greater credit risk exposure and lower liquidity are more likely to securitize, and they do it in greater amounts during the boom (pre-crisis) period. At the same time, the variable capital does not seem to play a significant role in terms of securitizing. In contrast, less liquid and less profitable commercial banks are more likely to securitize and they do it for larger amounts