Does rating shopping exist in spanish securitization issues?

This paper contributes to the literature by incorporating the factors that explain multi-tranche structuring and the yield offered by securitisation bonds into a comprehensive model. Results indicate that the degree of complexity of multi-tranche securitisation structures is related to market completeness and shortening of information asymmetry. We also find that the complexity of multitranche structure enables the yield offered by triple-A bonds to be reduced but not the average yield, with tranching being a zero-sum game. This research uses a database comprising all the MBS and ABS issues (1993)(1994)(1995)(1996)(1997)(1998)(1999)(2000)(2001)(2002)(2003)(2004)(2005)(2006)(2007)(2008)(2009)(2010)(2011) in Spain, one of the world's main securitisation markets. Analysing this long period has enabled us, for the first time, to contrast the disruptive effect of the Great Financial Crisis on the relationships analysed in the securitisation market.

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Multi-tranche securitisation structures: more than just a zero-sum game?

Peña-Cerezo

Rodríguez‐Castellanos

Ibáñez-Hernández

2018

The European Journal of Finance

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Does rating shopping exist in spanish securitization issues?

Abstract: Debt issue credit ratings can lead to conflicts of interest as the issuer itself is entrusted with contracting and compensating the rating agency. Into the bargain, the credit rating agency may be involved in designing the

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Multi-tranche securitisation structures: more than just a zero-sum game?

Multi-tranche securitisation structures: more than just a zero-sum game?

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