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Using a sample of 18,309 bonds issued by European banks, we show that although ratings are the most important pricing determinant for ABS and 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 (PCB) and mortgage covered bonds (MCB), and security prices reflect information beyond credit ratings across asset classes. We find no evidence of borrowing costs affecting the banks’ choice between securitization and covered bonds.
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Credit spreads Securitization Covered bonds Asset purchase programmes Cost of funding