تامین مالی بدهی مستقیم
Abstract
JEL classification
۱٫ Introduction
۲٫ Literature review and hypotheses
۳٫ Data, methodology, and variable definition
۴٫ The pricing of SF versus CB
۵٫ Do SF transactions reduce originating firms’ cost of funding?
۶٫ Summary and conclusions
Acknowledgements
Appendix A. Distribution of tranches by firm type and year
Appendix B. Descriptive statistics for AS and CB samples
Appendix C. The impact of the financial crisis on pricing characteristics of ABS, MBS, CDO, and CB tranches
Appendix D. Top 10 switchers
References
Abstract
This paper examines the pricing of structured finance (SF) – asset-backed securities (ABS), mortgage-backed securities (MBS), and collateralized debt obligations (CDO) – and straight debt finance transactions. Using a cross-section of 24,525 European bonds issued by financial and nonfinancial firms in the 2000-2016 period, we show that although ratings are the most important pricing determinant for SF and corporate bonds (CB) at issuance, investors rely on other contractual, macroeconomic, and firms’ characteristics beyond these ratings. We find that CDO tranches have, on average, higher credit spreads than similarly rated CB, while investors are not compensated for facing higher systematic risk components in relation to investment-grade ABS and MBS. Our results also support the hypothesis of SF transactions as mechanisms of reducing funding costs: SF transactions’ weighted average spread is lower than that of comparable CB and originating firms’ creditworthiness does not deteriorate when compared to a sample of matched firms.
Introduction
Structured Finance (SF), in the form of asset securitization (AS), has become a significant source of financing for a wide variety of assets in recent decades. According to the Securities Industry and Financial Markets Association (SIFMA), the volume of securitized assets in Europe grew from €۷۸٫۲ billion in 2000 to €۸۱۸٫۷ billion in 2008, an increase of 946.9%.1 Despite the important role played by AS in the development and propagation of the 2007-2008 financial turmoil, 2 between 2009 and 2016 a total of €۲,۲۹۰٫۶ billion of securitized instruments were issued in Europe, compared with €۱۱,۷۳۲٫۰ billion in the United States (US). Although financial firms have issued the majority of AS bonds, we show that the issuance of AS bonds by nonfinancial firms located in Europe increased significantly by more than €۳۴٫۰ billion in 2006, before declining to €۱٫۶۵ billion in 2010, in the aftermath of the financial crisis (see Appendix A). AS and corporate bond (CB) markets are the largest security markets for corporate debt financing, both in Europe and the US (Choudhry, 2004; Loutskina, 2011). In this paper we compare credit spreads and pricing of AS bonds – asset backed-securities (ABS), mortgage backed-securities (MBS), and collateralized debt obligations (CDO) – with those of CB in a large sample of bonds (9,217 AS and 15,308 CB) issued by European financial and nonfinancial firms between January 1, 2000 and December 31, 2016. We also examine whether credit spreads convey information beyond credit ratings across AS and CB and if AS transactions allow originating firms to reduce funding costs vis-à-vis CB issuances.