Analysis on the Yield Spread Determinants of Enterprise Asset-backed Security in Chinese Securitization Market

2021 ◽  
Author(s):  
Xinyi Wei
Keyword(s):  
Yield Spread

Predicting Power of Yield Curve – A Study of Indian Sovereign Yield Spread

2012 ◽  
Author(s):  
Golaka C. Nath ◽  
Manoj Dalvi ◽  
Saurabh Pratap Singh
Keyword(s):  
Yield Curve ◽  
Yield Spread

scholarly journals Do investors value frequent issuers in securitization?

2021 ◽  
Author(s):  
Solomon Y. Deku ◽  
Alper Kara ◽  
Nodirbek Karimov
Keyword(s):  
Financial Crisis ◽  
Foreign Banks ◽  
Yield Spread ◽  
Information Asymmetries ◽  
Crisis Period ◽  
Credit Quality ◽  
Initial Yield ◽  
Mortgage Backed Securities ◽  
Lending Standards ◽  
Credit Cycle

AbstractWe assess the value of frequent issuers to investors in securitization markets by examining the initial yield spread of 6132 European mortgage-backed securities (MBS), covering a 20-year period between 1999 and 2018. We find that frequent issuers have certification value, and it increases as the credit cycle approaches its peak, as lending standards loosen, and information asymmetries in securitization markets increase. Investors value frequent issuers more favourably on riskier, difficult to evaluate MBS. We find that after the great financial crisis (GFC), investors began to attribute more value to frequent issuers, regardless of MBS credit quality. We also find that in the pre-crisis period, investors required higher yields to compensate for perceived rating shopping, which is not observed after the GFC. Finally, we show that investors expect higher yields on deals closed by subsidiaries of foreign banks.

Sign in / Sign up

Export Citation Format

Share Document