Are covered bonds different from securitization bonds? A comparative analysis of credit spreads
比较了证券化债券与担保债券的信用利差和定价因素，发现评级对ABS和MBS最重要，但担保债券定价更看重合同、宏观和银行特征，且存在错误定价现象。
Abstract 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.