We study the impact that lower complexity in bank securitisations has on mortgage quality before and during the COVID-19 pandemic. We find that mortgages issued after the introduction of the new European regulation in 2018 that aims to reduce deal complexity are characterised by up to 0.10%...

Between 1980 and before the recent crisis, the ratio of financial market debt to liquid assets rose exponentially in the U.S. (and in other financial markets), reflecting in part the greater use of securitized assets to collateralize borrowing. The subsequent crisis has reduced the pool of...