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The Dollar Denominated Covered Bond Market: A Cross-Country Analysis of Credit Spreads

Karan Bhanot and Carl F. Larsson
The Journal of Fixed Income Fall 2019, 29 (2) 26-43; DOI: https://doi.org/10.3905/jfi.2019.29.2.026
Karan Bhanot
is a professor of finance in the Department of Finance at the College of Business Administration at the University of Texas in San Antonio, TX
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Carl F. Larsson
is an assistant professor of finance at James Madison University in Harrisonburg, VA
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Abstract

The authors analyze the determinants of credit spreads of 674 US dollar denominated covered bonds, issued by institutions domiciled in twenty-one countries, over the sample period 1/2001 to 1/2016. Even though covered bond contracts include strong credit enhancements, there is considerable heterogeneity in observed credit spreads through time and in the cross-section. The authors find that measures of sovereign risk and country specific legal frameworks are among the most important explanatory factors for differences in spreads across these bonds.

TOPICS: Project finance, statistical methods, credit risk management

Key Findings

  • • The authors study the determinants of US dollar denominated covered bond credit spreads for bonds issued in twenty-one countries during the period 1/2001 to 1/2016.

  • • Despite carrying strong credit enhancement features, US dollar denominated covered bonds still exhibit variation in spreads both through time and in the cross-section of issuer country of domicile.

  • • Empirical results suggest sovereign risk and country-level legal frameworks are important determinants of US dollar denominated covered bond credit spreads.

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The Journal of Fixed Income: 29 (2)
The Journal of Fixed Income
Vol. 29, Issue 2
Fall 2019
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The Dollar Denominated Covered Bond Market: A Cross-Country Analysis of Credit Spreads
Karan Bhanot, Carl F. Larsson
The Journal of Fixed Income Sep 2019, 29 (2) 26-43; DOI: 10.3905/jfi.2019.29.2.026

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The Dollar Denominated Covered Bond Market: A Cross-Country Analysis of Credit Spreads
Karan Bhanot, Carl F. Larsson
The Journal of Fixed Income Sep 2019, 29 (2) 26-43; DOI: 10.3905/jfi.2019.29.2.026
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  • Article
    • Abstract
    • BACKGROUND INFORMATION
    • DETERMINANTS OF SPREADS: HYPOTHESES AND EMPIRICAL METHODOLOGY
    • DATA AND SUMMARY STATISTICS
    • RESULTS—ACROSS COUNTRY SPREAD BEHAVIOR
    • CONCLUSIONS
    • ACKNOWLEDGMENT
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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