Workshop Series: Willoe Freeman
Abstract: This paper provides evidence that mortgage securitization is relevant to the market’s pricing decisions about banks’ Level 3 fair value assets. In contrast to prior literature this paper finds that banks’ Level 3 asset valuations provide equally relevant information to the market as banks’ Level 1 and Level 2 asset valuations. It is banks’ securitization activities that explain the reduced relevance observed by prior research. Mortgage securitization is a significant part of banks’ business activities but the magnitude of the sales and the risk exposures inherent in the transactions are obscured from the financial statements as a consequence of the off-balance sheet securitization process.
Willoe Freeman began teaching at UTS in 2007 after multiple years' experience working in the information technology industry for Zurich Financial Services Australia. Willoe is currently completing a PhD entitled ‘Economic events and financial reporting practices in the unfolding of the global financial crisis’ under the supervision of Associate Professor Peter Wells (UTS) and Professor Anne Wyatt (UQ), and it concerns, the role of fair value accounting and securitization in the global financial crisis and its aftermath.