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2020 | OriginalPaper | Buchkapitel

7. The Economics of Securitization Structuring

verfasst von : Laurent Gauthier

Erschienen in: Securitization Economics

Verlag: Springer International Publishing

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Abstract

In this chapter, we examine the economics of securitization structures in order to make sense out of structural complexity. We first go through several economic models that can explain certain general aspects of securitization structures, in particular, the pooling of assets and the creation of layers of comparably structured bonds but with different degrees of risk. Then, we look into the handling of interest and principal specifically, in order to account for structuring techniques such as excess-spread or NIMs. We explain securitized product investor’s desire for par-priced bonds and show how this drives the use of complex interest and principal allocation methods. Finally, we walk through several empirical studies on structuring, which put the theoretical models to the test.

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Vorheriges Kapitel Structuring Securitized Bonds

Nächstes Kapitel Problems in Securitization Structuring

Although sometimes implicit recourse was provided.

As we mentioned before, there have been few research papers mentioning actual structures, even less looking into the details of structures specifically.

See Chap. 4.

We are assuming investors do not discount cash flows, so implicitly we are requiring that the collateral coupon is higher than the yield required by the market.

Some studies, such as Vink and Thibeault (2008), have analyzed the pricing of tranched and structured securities, but not from the perspective of accounting for tranching.

In many instances of empirical studies, this essential piece of information is not collected, or, worse, the legal maturity is collected instead.

As explained in Chap. 3, the rating factor is an approximation for an odds-ratio type of credit risk metric based on rating.

This does assume, however, that the rating agencies would have access to more information than the investors.

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Titel: The Economics of Securitization Structuring
verfasst von: Laurent Gauthier
Verlag: Springer International Publishing
Buch: Securitization Economics
Print ISBN: 978-3-030-50325-3

Electronic ISBN: 978-3-030-50326-0

Copyright-Jahr: 2020
DOI: https://doi.org/10.1007/978-3-030-50326-0_7