The Review of Corporate Finance Studies Vol. 15 No. 1 2026
The Securitization Flash Flood
Abstract
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.
- DOI
- 10.1093/rcfs/cfae027
- Volume
- 15
- Issue
- 1
- Pages
- 46-85
- Language
- en
- Sources
- openalex crossref