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- W2001417472 abstract "From 2011 through 2014, new issuance of U.S. structured products backed by subprime auto loans and leveraged corporate loans grew by 55% and 716%, respectively. We analyze the recent activity in these markets, as well as the activity and risks in the loan markets underlying auto asset-backed securities (ABS) and collateralized loan obligations (CLOs). Despite the empirical evidence that we present of higher risks in auto and leveraged loan collateral, our analysis does not indicate a commensurate increase in risks to investors in the structured products based on those loans. For a comparison, we review market activity and risk indicia in U.S. insurance-linked securities, which, unlike auto ABS and CLOs, serve a pure risk transfer purpose and do not result in any significant extension of credit by investors to sponsors. We also consider the likely impacts of the Volcker rule and Credit Risk Retention rule on U.S. structured product markets, and we conclude that the regulations are likely to stifle market activity and discourage legitimate risk transfer." @default.
- W2001417472 created "2016-06-24" @default.
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- W2001417472 date "2015-03-17" @default.
- W2001417472 modified "2023-09-24" @default.
- W2001417472 title "Have Pre-Crisis Levels of Risk Returned in U.S. Structured Products? Evidence from U.S. Subprime Auto ABS, CLOs, and Insurance-Linked Securities Markets" @default.
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