TY  - BOOK
AU  - Albert Schaber
PY  - 2021
CY  - Berlin, Germany
PB  - Peter Lang Verlag
SN  - 0531-7339
TI  - Collateralized Debt Obligations
T2  - First Loss Piece Retention, Combination Notes, and Tranching
UR  - https://www.peterlang.com/document/1106880
N2  - This book offers insights into three different aspects of Collateralized Debt Obligations (CDOs). The first section covers a mechanism that explains the sale of first loss positions to investors. The theoretical model is based on a repeated game and focuses on the role of issuer reputation. The second section empirically analyzes combination notes. These are a particular type of security issued in CDOs, consisting of parts of different tranches of one CDO transaction. The findings show that combination notes are used as an equity transfer vehicle and that their tranching caters to segmented demand. The third section finally analyzes the tranching of CDOs. A transaction cost-based hypothesis of tranching is proposed and verified empirically.
KW  - collateralized loan obligation CLO, first loss piece FLP, combination note, equity piece
LA  - English
ER  -