Type of Publication: | Working Paper/Technical Report |
URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-0-270944 |
Author: | Franke, Günter; Herrmann, Markus; Weber, Thomas |
Year of publication: | 2011 |
Series: | Working Paper Series / Department of Economics ; 2011-22 |
Summary: |
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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JEL Classification: | G 10; G 21; G 24 |
Subject (DDC): | 330 Economics |
Keywords: | Securitization, collateralized debt obligations, asset pool quality, First Loss Position, synthetic transactions |
Link to License: | In Copyright |
Bibliography of Konstanz: | Yes |
FRANKE, Günter, Markus HERRMANN, Thomas WEBER, 2011. Loss Allocation in Securitization Transactions
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