Handbook of Financial Intermediation and Banking

CHAPTER 2 Subordination Levels in Structured Financing

Xudong An

Department of Finance, College of Business Administration, San Diego State University

Yongheng Deng

Lusk Center for Real Estate, School of Policy, Planning, and Development, University of Southern California

Anthony B. Sanders

W.P. Carey College of Business, Arizona State University

1. Introduction

2. Structured Financing and the Pooling and Tranching of Assets

3. CMBS Structure

3.1. CMBS Subordination

4. Research Question and Empirical Approach

4.1. The Deal Subordination Regression

4.2. The Chow Test for Structural Change

5. Data

6. Results

6.1. Regression Results

6.2. Structural Change and Chow Tests

7. Conclusion

References

The authors are grateful for helpful comments ...