1. Securitization and Credit Risk Taking: Empirical Evidence from US Bank Holding Companies Discussed by: Mascia Bedendo Bocconi University 1Emerging Scholars in Banking and Finance

2. Summary Aim: 1.Test whether aggregate outstanding securitization levels affect banks’ credit risk taking behavior in the near future 2.Test whether this effect differs for different types of securitization Findings: 1.Negative relation between outstanding securitization and changes in risk-weighted asset ratio one quarter ahead…. 2.… stronger for home equity lines of credit, C&I loans, mortgages 2Emerging Scholars in Banking and Finance

3. Main Comments Findings justified with the explicit/implicit recourse provided in securitization transactions… … but no evidence / test is provided regarding this issue! FR Y-9C reports, Section HC-S, point 2 report “maximum amount of credit exposure arising from recourse or other seller-provided credit enhancements” -> reasonable proxy for explicit recourse, why not use it?? 3Emerging Scholars in Banking and Finance

4. Main Comments If banks reduce their risk-taking behavior after securitizing heavily in the past, why did they securitize in the first place? Mean-reverting pattern of securitization activity at single bank’s level? More risk-adverse behavior should be reflected into lower loan profitability: any evidence of that? 4Emerging Scholars in Banking and Finance

5. Additional Comments Table 5: number of observations and number of banks is the same -> are all banks involved in all types of securitization?? Robustness checks: Changes in non-performing/TA ratio are not a measure of risk-taking propensity, but of riskiness of past portfolios of loans… … quarterly changes in idiosyncratic equity volatility could be an alternative measure 5Emerging Scholars in Banking and Finance