Browsing by Author "Correia, Mafalda C."
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- Are Covered Bonds Different from Asset Securitization Bonds?Publication . Pinto, João; Correia, Mafalda C.This is the first study comparing the financial characteristics and pricing processes of asset securitization (AS) and covered bonds (CB) . Using a sample of 6,191 AS bonds and 1 1,471 CB issued by Western European banks between January 1, 2000 and October 31, 2012, we find that AS and CB are not priced in integrated bond markets. Our results show that credit spreads are higher for ABS than for public CB in both pre - and crisis periods. Considering bonds backed by mortgages, w e only find evidence of CB credit spread s being lower than those of AS bonds during the pre - crisis period. Both AS and CB credit spreads are driven by collateral type , credit rating is the most important pricing factor for AS bonds, and we document that not only specific effects related to issuance , but also macro factors and exogenous events are relevant drivers for CB credit spreads. Further more, while the first CB purchase programme led to lower mortgage CB credit spreads, the second programme did not have the ECB ’s desired effects . Finally, we find that the ECB’s second programme reduces ABS spreads significantly for tranches issued by non - German banks.
- Are covered bonds different from securitization bonds? A comparative analysis of credit spreadsPublication . Correia, Mafalda C.; Pinto, João M.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.