Are Asset Securitization bonds different in W.E. vis-à-vis with the U.S.

• Autor(a) principal: Ferrão, Rafael Paiva de Oliveira
• Data de Publicação: 2018
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/26588
• topic: Asset Securitization bonds; Asset Backed Securities; Mortgage Debt Securities; Collateralized Debt Obligations; Credit spread; Financial crisis; Preço das obrigações; Crise financeira; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

The main objective of this empirical analysis is to provide some evidence in the differences in pricing between Asset Securitization bonds such as: Asset Backed Securities (ABS), Mortgage Backed Securities (MBS) and Collateralized Debt Obligations (CDOs) issued in the United States and in the Western European market. Using micro and macroeconomic variables as controls the study pretends to show the effect that the 2008 financial crisis as well as the deal region had in the credit spread of these securities between January 1st, 2000 and December 31st, 2016. The sample used, contains 66,354 observations, divided in 35,453 ABS, 19,941 MBS, and 10,960 CDOs. After performing the econometric analysis, it was evident that the 2008 financial crisis increased the value of the spreads especially in the U.S. Moreover, the sovereign debt crisis that occurred in Europe, starting in 2009 with the first Covered Bonds Purchase Programme (CBPP) launched by the ECB led to a reduction of the credit spreads of these securities with a large reduction until 2013 and an increase from 2013 to 2016. It was also concluded that: (i) a better rating reduces the credit spread for all types of AS bonds; (ii) rated AS bonds have lower spreads than not rated ones; (iii) higher bond maturities reduce the credit spread of the bond; (iv) higher government yields are related to a reduction in the pricing of AS bonds; (v) issuances in the UK turned out to have a higher credit spread. In addition, this research provides robustness checks with issuer parent details and key ratios that helped to confirm the conclusions achieved by the statistical analysis.