The Covered Bond Market

BIS Quarterly Review

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Date Published 2007
Version BIS Quarterly Review, September 2007
Primary Author Frank Packer, Ryan Stever and Christian Upper
Other Authors
Theme Mortgage Bonds


The covered bond market offers investors an alternative to developed country government securities. The valuation of covered bonds is complex. While there is some evidence of differences in the pricing of these bonds by nationality of issuer, these appear to be only weakly related to differences in the respective legislative frameworks. Recent cases show the pricing of covered bonds to be robust to idiosyncratic shocks to issuer credit risk as well as more systemic shocks to the value of cover pools.

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