Originators' subordination as instruments to mitigate adverse selection: Evidence from asset-backed securities issued in Japan *
Originators' subordination as instruments to mitigate adverse selection: Evidence from asset-backed securities issued in Japan *
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发表时间：
2005-10
影响因子：
8
通讯作者：
Naoto Isaka;Kazuhiko Ōhashi;M. Saito
中科院分区：
文献类型：
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作者：
Naoto Isaka;Kazuhiko Ōhashi;M. Saito
本文考察了1996 ~ 2002年日本发行的AAA级资产担保证券（消费信贷、汽车贷款、租赁应收款）的互换利差（发行收益率与利率互换率之比）的差异是如何受到逆向选择的影响的。研究结果表明，互换价差的横截面差异不仅反映了发起机构和标的资产的特征，而且反映了发起机构的从属性在多大程度上缓解了发起机构和投资者之间的信息不对称。特别是，通过持有比弥补基础贷款可能损失所需的更大的次级部分，发起人可以缩小互换利差，并在发行资产支持证券时减轻市场影响。
This paper examines how adverse selection is responsible for the observed differences in swap spreads (issue yields to maturity over interest-rate swap rates) among AAA-rated asset-backed (consumer credit, auto loans or lease receivables) securities issued in Japan between 1996 and 2002. The results indicate that the cross- sectional differences in swap spreads reflect not only the characteristics of the originator and underlying assets, but also the extent to which asymmetric information between originators and investors can be mitigated by the originators' subordination. In particular, by holding larger subordinated portions than required to cover possible losses on underlying loans, originators can narrow swap spreads, as well as mitigate market impacts when asset-backed securities are issued.