Tranching in the Syndicated Loan Market (Cumming D., Schwienbacher A., McCahery J. A.)

Bank Lending Information Asymmetry and Transparency Risk-taking and Risk Management

Abstract We use data comprising over 100,000 loans from 115 countries during 1995-2009 to examine factors that affect the extent of loan tranching, and the range of tranche spreads. The data show five factors that drive them: asymmetric information, borrower risk, transaction costs, the presence of institutional investors, and the legal system. Tranching is more extensive and generates greater differences in spreads between tranches of a same loan when asymmetric information and risk are more pronounced. Economic and institutional factors driving tranching are more directly applicable to non-investment grade loans. For developing countries, the data highlight factors that affect the extent of tranching but such factors show little sensitivity to the pricing of the relative spreads.
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Libref/ Cumming D. J., Schwienbacher A., McCahery J. A. (2010) "Tranching in the Syndicated Loan Market", European Banking Center Discussion Paper No. 2011-002, pp. 1 - 46
© Программирование — Александр Красильников, 2008
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