A Primary Market Examination of Securitization Characteristics and Risk

• In Event: SESSION 8D: Financial Accounting and Reporting

Abstract

This study examines the effect of the characteristics of automobile loan, credit card receivables and mortgage securitization on risk as measured by yield spread of newly issued securitizations. The results suggest that credit card receivable and mortgage securitization investors demand larger spreads for pedigreed issues, whereas automobile loan securitization investors demand smaller spreads for pedigreed issues. The results further suggest that automobile loan, credit card receivable and mortgage-backed securitizations are different financial instruments.

Author

• Arthur L Wharton, Towson University