Publikation: Loss Allocation in Securitization Transactions
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2012
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Journal of Financial and Quantitative Analysis. 2012, 47(05), pp. 1125-1153. ISSN 0022-1090. eISSN 1756-6916. Available under: doi: 10.1017/S0022109012000336
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This paper analyses the loss allocation to First, Second and Third Loss Positions in European collateralized debt obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset pool quality induces the originator to take a higher First Loss Position, but, in a synthetic transaction, a smaller Third Loss Position. The share of expected default losses, borne by the First Loss Position, is largely independent of asset pool quality, but lower in securitizations of corporate loans than in those of corporate bonds. Originators with a good rating and low Tobin´s Q prefer synthetic transactions.
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FRANKE, Günter, Markus HERRMANN, Thomas WEBER, 2012. Loss Allocation in Securitization Transactions. In: Journal of Financial and Quantitative Analysis. 2012, 47(05), pp. 1125-1153. ISSN 0022-1090. eISSN 1756-6916. Available under: doi: 10.1017/S0022109012000336BibTex
@article{Franke2012Alloc-19637,
year={2012},
doi={10.1017/S0022109012000336},
title={Loss Allocation in Securitization Transactions},
number={05},
volume={47},
issn={0022-1090},
journal={Journal of Financial and Quantitative Analysis},
pages={1125--1153},
author={Franke, Günter and Herrmann, Markus and Weber, Thomas}
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<dcterms:abstract xml:lang="eng">This paper analyses the loss allocation to First, Second and Third Loss Positions in European collateralized debt obligation transactions. The quality of the underlying asset pool plays a predominant role for the loss allocation. A lower asset pool quality induces the originator to take a higher First Loss Position, but, in a synthetic transaction, a smaller Third Loss Position. The share of expected default losses, borne by the First Loss Position, is largely independent of asset pool quality, but lower in securitizations of corporate loans than in those of corporate bonds. Originators with a good rating and low Tobin´s Q prefer synthetic transactions.</dcterms:abstract>
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