Abstract

If regulation fails to differentiate between priced and idiosyncratic risk, it incentivizes investors to reach for yield. Studying securitization exposures on the balance sheets of German banks, I show evidence consistent with this prediction. Banks with tight regulatory constraints (low capital adequacy ratios) invest more in higher yielding ABSs conditionally on rating-implied regulatory risk weights. ABS investments of constrained banks tend to perform worse ex post in terms of collateral delinquency and lose value. Differences in bank sophistication, market power, or incentives to retain securitizations are unlikely to explain the riskier ABS investments of constrained banks.

中文翻译：

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在ABS市场上达到收益：来自德国银行投资的证据*

摘要

如果监管未能区分定价风险和特质风险，则会激励投资者达到收益。通过研究德国银行资产负债表上的证券化敞口，我发现了与该预测一致的证据。具有严格监管限制（低资本充足率）的银行有条件地根据评级所暗示的监管风险权重，对较高收益率的ABS进行更多投资。受约束的银行的资产支持证券投资在事后担保方面往往表现较差，并损失了价值。银行复杂程度，市场支配力或保留证券化动机的差异不太可能解释受约束银行较高风险的ABS投资。