Are covered bonds different from securitization bonds? A comparative analysis of credit spreads
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/37992 |
Resumo: | This study compares credit spreads and pricing determinants of securitization vis-à-vis covered bonds. Our analysis reveals that although ratings are the most important pricing determinant for asset-backed securities (ABS) and mortgage-backed securities (MBS) investors place relatively more importance on contractual, macroeconomic and banks' characteristics rather than ratings in pricing covered bonds. We find evidence of a mispricing effect in structured finance markets: ABS and MBS have higher credit spreads than similarly rated public-covered bonds and mortgage-covered bonds and security prices reflect information beyond credit ratings. We find no evidence of borrowing costs affecting banks' choice between securitization and covered bonds. |
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Are covered bonds different from securitization bonds? A comparative analysis of credit spreadsCredit spreadsSecuritizationCovered bondsMispricingCost of borrowingThis study compares credit spreads and pricing determinants of securitization vis-à-vis covered bonds. Our analysis reveals that although ratings are the most important pricing determinant for asset-backed securities (ABS) and mortgage-backed securities (MBS) investors place relatively more importance on contractual, macroeconomic and banks' characteristics rather than ratings in pricing covered bonds. We find evidence of a mispricing effect in structured finance markets: ABS and MBS have higher credit spreads than similarly rated public-covered bonds and mortgage-covered bonds and security prices reflect information beyond credit ratings. We find no evidence of borrowing costs affecting banks' choice between securitization and covered bonds.Veritati - Repositório Institucional da Universidade Católica PortuguesaCorreia, Mafalda C.Pinto, João M.2023-06-012024-06-06T00:00:00Z2023-06-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.14/37992eng1354-779810.1111/eufm.12382000812599200001info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:43:29Zoai:repositorio.ucp.pt:10400.14/37992Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:30:57.417727Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads |
title |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads |
spellingShingle |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads Correia, Mafalda C. Credit spreads Securitization Covered bonds Mispricing Cost of borrowing |
title_short |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads |
title_full |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads |
title_fullStr |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads |
title_full_unstemmed |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads |
title_sort |
Are covered bonds different from securitization bonds? A comparative analysis of credit spreads |
author |
Correia, Mafalda C. |
author_facet |
Correia, Mafalda C. Pinto, João M. |
author_role |
author |
author2 |
Pinto, João M. |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Correia, Mafalda C. Pinto, João M. |
dc.subject.por.fl_str_mv |
Credit spreads Securitization Covered bonds Mispricing Cost of borrowing |
topic |
Credit spreads Securitization Covered bonds Mispricing Cost of borrowing |
description |
This study compares credit spreads and pricing determinants of securitization vis-à-vis covered bonds. Our analysis reveals that although ratings are the most important pricing determinant for asset-backed securities (ABS) and mortgage-backed securities (MBS) investors place relatively more importance on contractual, macroeconomic and banks' characteristics rather than ratings in pricing covered bonds. We find evidence of a mispricing effect in structured finance markets: ABS and MBS have higher credit spreads than similarly rated public-covered bonds and mortgage-covered bonds and security prices reflect information beyond credit ratings. We find no evidence of borrowing costs affecting banks' choice between securitization and covered bonds. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-06-01 2023-06-01T00:00:00Z 2024-06-06T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/37992 |
url |
http://hdl.handle.net/10400.14/37992 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1354-7798 10.1111/eufm.12382 000812599200001 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799132032350027776 |