Business Intelligence

Non-US Asset-backed Securities: Spread Determinants And Over-reliance On Credit Ratings

Download Now Free registration required

Executive Summary

In this paper, the authors empirically investigate two economic issues the factors that affect the primary market spread on non-U.S. asset-backed securities and whether investors rely solely on credit ratings and ignore other credit-related factors. They do so by using a panel-data fixed-effects model of primary market spreads for tranches of non-mortgage-related asset-backed securities issued over the period 1999-2006. With respect to the determinants of the primary market spread, they find that spread can be explained in terms of two factors credit rating and bond market conditions.

  • Format: PDF
  • Size: 151.5 KB