Tranching and Pricing in CDO-Transactions

Franke, Günter; Weber, Thomas

Tranching and Pricing in CDO-Transactions

Dateien

Franke.pdfGröße: 391.8 KBDownloads: 493

Datum

2011

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Preprint

Publikationsstatus

Published

Zusammenfassung

This paper empirically investigates the tranching and tranche pricing of European securitization transactions of corporate loans and bonds. Tranching allows the originator to issue bonds with strong quality differences and thereby attract heterogeneous investors. We find that the number of differently rated tranches in a transaction is inversely related to the quality of the underlying asset pool. Credit spreads on rated tranches in a transaction are inversely related to the number of tranches. For all rated tranches in a transaction, the average price for transferring a unit of expected default loss is inversely related to the default probability of the underlying asset pool. For a tranche, this price increases with the rating of the tranche; it is higher for the lowest rated tranche and very high for Aaa-tranches in true sale-transactions. It varies little across butterfly spreads obtained from rated tranches except for the most senior spread.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Securitization, information asymmetries, tranching of asset portfolios, risk premiums of tranches

Zitieren

ISO 690

FRANKE, Günter, Thomas WEBER, 2011. Tranching and Pricing in CDO-Transactions

BibTex

@unpublished{Franke2011Tranc-1841,
  year={2011},
  title={Tranching and Pricing in CDO-Transactions},
  author={Franke, Günter and Weber, Thomas}
}

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Universitätsbibliographie

Ja