Did Securitization Affect the Cost of Corporate Debt? / Taylor D. Nadauld, Michael S. Weisbach.

Format:

Book

Author/Creator:

Nadauld, Taylor D.

Contributor:

National Bureau of Economic Research.

Weisbach, Michael S.

Series:

Working Paper Series (National Bureau of Economic Research) no. w16849.

NBER working paper series no. w16849

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2011.

Summary:

This paper investigates whether the securitization of corporate bank loans had an impact on the price of corporate debt. Our results suggest that loan facilities that are subsequently securitized are associated with a 15 basis point lower spread than that of loans that are not subsequently securitized. To identify the particular role of securitization in loan pricing, we employ a difference in differences approach and consider loan characteristics that are associated with the likelihood of securitization. We document that Term Loan B facilities, facilities originated by banks that originate CLOs, and loans of B-Rated firms are securitized more frequently than other loans. Spreads on facilities estimated to be more likely to be subsequently securitized have lower spreads than otherwise similar facilities. The results are consistent with the view that securitization caused a reduction in the cost of capital.

Notes:

Print version record

March 2011.