Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/104490
Authors: 
Schaber, Albert
Year of Publication: 
2008
Series/Report no.: 
Discussion Papers in Business Administration 2008-06
Abstract: 
This paper empirically analyzes a particular type of notes observed in securitization transactions: combination notes. Combination notes are formed by combining parts of two or more tranches of securitization transactions, where one part usually consists of a share of the first loss piece. It is analyzed whether combination notes are purely demand driven, or whether combination notes also appear to be structured to enable equity transfer. Results indicate that combination notes serve both purposes: market segmentation severely determines the structuring of combination notes, but risk transfer needs seem to be catered by combination notes as well. Further, an analysis of launch spreads indicates, that the observed equity transfer via combination notes has an impact on the pricing of the ordinary tranches of each deal. This paper makes use of unique data on 126 deals containing 1385 tranches, thereof 398 combination notes.
Subjects: 
combination note
first loss piece
securitization
collateralized debt obligation
security design
JEL: 
G12
G15
G32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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