Loss Allocation in Securitization Transactions
分析了欧洲债务抵押债券交易中第一、第二和第三损失位置的损失分配，发现资产池质量影响发起人承担损失的比例，且公司贷款证券化中第一损失位置承担的预期违约损失份额低于公司债券证券化。
Abstract This paper analyzes 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.