This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

Der vorliegende Beitrag untersucht die Determinanten der Performance europäischer Arbitrage Collateralized Loan Obligations für das Jahr 2009. Der Fokus liegt dabei auf der Bedeutung der performanceabhängigen Vergütung des CLO-Managers, den Eigenschaften des CLO-Managers und der...

We analyze whether bond investors price tail risk exposures of financial institutions using a comprehensive sample of bond issuances by U.S. financial institutions. Although primary bond yield spreads increase with an institutions' own tail risk (expected shortfall), systematic tail risk...

We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split rated bonds with superior Moody's ratings are about 8 basis points lower than yields on split rated bonds with superior S&P ratings. This suggests that investors differentiate...

Banks distribute corporate debt by selling their reputation as underwriters to investors in debt markets. Nevertheless, a little explored area is the certification role of banks in placing their own bond debt. In particular, the bank-specific alternative choice of self-underwriting versus the...

"Muni Bonds, Pension Liabilities and Investment Due Diligence" by Dr. Susan Mangiero, Dr. Israel Shaked and Mr. Brad Orelowitz, CPA examines financial reporting, fiduciary breach litigation, underwriting due diligence, pension funding and rating rules for the U.S. municipal bond market.At a time...