The 2008 Global financial crisis and the subsequent European sovereign debt crisis deteriorated banks funding conditions and lead to a substitution effect among bond instruments. We examine the pricing of straight, covered and securitization bonds issued by European banks in the 2000-2016...

This study compares credit spreads and the pricing of securitization and covered bonds. Using a sample of 18,309 bonds issued by European banks in the 2000-2016 period, we find that asset-backed securities (ABS), mortgage-backed securities (MBS), public covered bonds (PCB), and mortgage covered...