Characteristics of Securitizations that Determine Issuers’ Retention of the Risks of the Securitized Assets
研究银行作为贷款证券化发行人，其保留证券化贷款风险的程度如何受证券化特征影响，发现贷款类型、合同利益类型和结构（封闭式或循环式）是关键决定因素。
ABSTRACT: We hypothesize and provide evidence that characteristics of banks’ loan securitizations accounted for as sales determine the extent to which banks retain the risks of the securitized loans. We show that banks retain more risk when: (1) the types of loans have higher and/or less externally verifiable credit risk, (2) the loans are closed-ended and banks retain larger contractual interests in the loans, and (3) the loans are closed-ended and banks retain types of contractual interests that more strongly concentrate the risk of the securitized loans. We show that the magnitude and type of retained contractual interests are not risk-relevant in revolving loan securitizations, because banks have more incentive and ability to provide implicit recourse, a non-contractual interest.