ABS, MBS, and CDO Pricing Comparisons

Vink, Dennis; Thibeault, A.E.

doi:10.3905/jsf.2008.709954

Cited by 44 publications

(31 citation statements)

References 11 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Interestingly, it is noticeable how credit rating explains most of the variability, with an adjusted R 2 of 0.84. This finding is reassuringly similar to those documented by Firla-Cuchra (2005), Vink and Thibeault (2008), and Gabbi and Sironi (2005), who also explain launch spread (albeit with reference to corporate bonds).…”

Section: Determinants Of Pf Cdo Spreadssupporting

confidence: 89%

“…Therefore, while structured finance issues might generally be affected by considerably less originator bias, they might be critically dependent on the specific type of assets sold to the SPV. Following the indications of John et al (2003), Gabbi and Sironi (2005), Firla-Cuchra (2005), and Vink and Thibeault (2008), who all use a similar approach to empirical analysis, we posit that spreads at launch should reflect (1) the investors' perception of the risk of loss and (2) primary and secondary market efficiency and liquidity conditions (Sarr and Lybek, 2002). Following this reasoning, we explain the spread over LIBOR for a tranche s issued as a part of issue i, comprising a constant and five groups of pricing factors:…”

Section: Methodsmentioning

confidence: 90%

“…The author documents the critical importance of credit ratings as the most significant pricing factor for structured finance securities at launch. Vink and Thibeault (2008) demonstrate a relation between the nature of the assets and the primary market spread. These authors base their work on the fact that little is known about how and why spreads of asset-backed securities are influenced by loan tranche characteristics.…”

Section: Literature Reviewmentioning

confidence: 89%

“…A CDO is a transaction that involves repackaging the risk of a portfolio of financial assets (Fender and Kiff, 2004;Vink and Thibeault, 2008). This risk is transferred to an SPV, either by transferring the portfolio to the SPV or using credit derivative techniques.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants

Buscaino

Caselli

Corielli

et al. 2012

Euro Fin Management

View full text Add to dashboard Cite

Credit rating is the most important variable in determining tranche spread at issue on collateralised debt obligations (CDOs) issues backed by project finance (PF) loans. Factors that are important for pricing in the case of corporate bonds, such as market liquidity and weighted average maturity, are also relevant for determining spreads for these securities. Furthermore, the nature of the underlying assets has a substantial impact on CDO pricing: Primary market spread is significantly higher when the underlying PF loans bear a higher level of market risk and when the proportion of projects still under construction in the securitised portfolio is larger.

show abstract

Section: Determinants Of Pf Cdo Spreadssupporting

confidence: 89%

Section: Methodsmentioning

confidence: 90%

Section: Literature Reviewmentioning

confidence: 89%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Project Finance Collateralised Debt Obligations: an Empirical Analysis of Spread Determinants

Buscaino

Caselli

Corielli

et al. 2012

Euro Fin Management

View full text Add to dashboard Cite

show abstract

“…Transaction size is converted into Euro millions when necessary. Vink and Thibeault (2008) The following characters mean: -= negative impact on the credit spread | + = positive impact on the credit spread | I = insignificant impact on the credit spread | ? = sign cannot be clearly determined | NA = information about this variable is not available.…”

Section: Microeconomic Independent Variablesmentioning

confidence: 99%

Are Covered Bonds Different from Asset Securitization Bonds?

Pinto¹,

Correia²

2017

SSRN Journal

View full text Add to dashboard Cite

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 11,471 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, we only find evidence of CB credit spreads 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. Furthermore, 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. AbstractThis 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 11,471 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, we only find evidence of CB credit spreads 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. Furthermore, 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.

show abstract