Loss Allocation in Securitization Transactions

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2011
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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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330 Wirtschaft
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Securitization, collateralized debt obligations, asset pool quality, First Loss Position, synthetic transactions
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ISO 690FRANKE, Günter, Markus HERRMANN, Thomas WEBER, 2011. Loss Allocation in Securitization Transactions
BibTex
@techreport{Franke2011Alloc-29928,
  year={2011},
  series={Working Paper Series / Department of Economics},
  title={Loss Allocation in Securitization Transactions},
  number={2011-22},
  author={Franke, Günter and Herrmann, Markus and Weber, Thomas}
}
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