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Securitisation of Mezzanine Capital in Germany

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Author Info
Günter Franke () (University of Konstanz)
Julia Hein () (University of Konstanz)

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Abstract

A recent trend in the German Asset Backed Securities (ABS) market is the securitisation of subordinated loans and profit participation agreements (PPAs) granted to medium-sized enterprises (MEs). This paper provides an overview of this growing market and analyses the benefits of such transactions for the portfolio companies as well as originators and potential investors. Simulations of ten recent transactions indicate that despite of relatively low interest rates charged on obligors, originators and investors can earn attractive returns at fairly low risk. In particular, the junior tranches of these securitisations exhibit quite attractive risk-return profiles.

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Publisher Info
Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 07-07.

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Length: 32 pages
Date of creation: 01 Oct 2007
Date of revision:
Handle: RePEc:knz:cofedp:0709

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Related research
Keywords: securitisation; middle market transactions; mezzanine loans; medium-sized enterprises; junior tranche;

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Michael S. Gibson, 2004. "Understanding the risk of synthetic CDOs," Finance and Economics Discussion Series 2004-36, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Acharya, Viral V. & Bharath, Sreedhar T. & Srinivasan, Anand, 2007. "Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries," Journal of Financial Economics, Elsevier, vol. 85(3), pages 787-821, September. [Downloadable!] (restricted)
  3. Gunter Franke & Jan Pieter Krahnen, 2007. "Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations," NBER Chapters, in: The Risks of Financial Institutions, pages 603-634 National Bureau of Economic Research, Inc. [Downloadable!]
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  4. Bernd Brommundt & Jochen Felsenheimer & Philip Gisdakis & Michael Zaiser, 2006. "Recent Developments in Credit Markets," Financial Markets and Portfolio Management, Springer, vol. 20(2), pages 221-234, June. [Downloadable!] (restricted)
  5. Julio Pindado & Luis Rodrigues, 2005. "Determinants of Financial Distress Costs," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 343-359, December. [Downloadable!] (restricted)
  6. Michael Verhofen, 2005. "Markov Chain Monte Carlo Methods in Financial Econometrics," Financial Markets and Portfolio Management, Springer, vol. 19(4), pages 397-405, December. [Downloadable!] (restricted)
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This page was last updated on 2009-11-26.

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