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Securitization and Commodity Contingency in International Lending

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  • Anderson, Ronald W
  • Gilbert, Christopher L
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    Abstract

    Securitization of LDC debt would significantly aid the international debt problem by increasing liquidity and expanding the range of investors. Securitization is problematic, however, in large part due to sovereign risks involved. At present sovereign risks, commodity price risks and currency risks remain unbundled in general obligation loan contracts. Using a game theoretic model we illustrate the need to separate sovereign risks from other risks and associate the sovereign default with a third party guarantee, whose fair-value premium can be calculated. We argue that issuing commodity price contingent assets may provide the best means of securitizing LDC obligations.

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    Bibliographic Info

    Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 295.

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    Date of creation: Apr 1989
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    Handle: RePEc:cpr:ceprdp:295

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    Related research

    Keywords: Debt; Developing Countries; Securitization; Sovereign Risk;

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