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Antecedents of Securitization Primary Market Spread: Case Study of Cagamas

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Asset backed Securities in Malaysia was introduced in Malaysia since 1986 as Cagamas Berhad was pioneer in this securitization industry which offer residential financing to government staff that would reduce risk of default. This research aims to examine the factor influencing spread in Malaysia securitization market. Ordinary Least square method and regression analysis are applied for the study period 2004–2012. The reason OLS was chosen because all residuals received the same importance (unweighted) regardless of how closeness or how widely spread the individual observations from the sample in the regression function. This research was developed from Vink Model and extend in developing country such as Malaysia. The result shows three determinants influence or contribute to the primary market spread that are statistically significant for Cagamas during 2007–08 US subprime crisis. As such, this study testifies transaction size, lead manager and loan to value are antecedent of securitization of Cagamas in Malaysia.
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Keywords: Malaysia; Performance; Securitization

Document Type: Research Article

Affiliations: 1: Faculty of Technology Management and Technopreneurship, Universiti Teknikal Malaysia Melaka, 76100, Melaka, Malaysia 2: Faculty Business Management, Universiti Teknologi MARA, 40100, Shah Alam, Selangor, Malaysia

Publication date: July 1, 2018

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