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Pension Credit: Notes to help you fill in the form

We approximate credit risk developments at the bank level by considering non-performing loans of each institution and rating changes at the individual security level. Importantly, our database allows us to identify not only the rating of these securities at the time of origination but also over time. We also analyze to what extent housing prices, securitization activity and lending may have asymmetric effects across institutions and geographically (at the regional level) by identifying the role of each one of these factors. We find that loan growth significantly affects loan performance with a lag of at least.