The Covered Bond Market
BIS Quarterly Review
Download Document| Date Published | 2007 |
| Version | BIS Quarterly Review, September 2007 |
| Primary Author | Frank Packer, Ryan Stever and Christian Upper |
| Other Authors | |
| Theme | Mortgage Bonds |
| Country |
Abstract
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.