Abstract

  
 

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The Covered Bond Market


Frank Packer


Bank for International Settlements (BIS)

Ryan Stever


Acadian Asset Management

Christian Upper


Bank for International Settlements (BIS)
September 1, 2007

BIS Quarterly Review, September 2007

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.

Number of Pages in PDF File: 13

JEL Classification: G11, G12, G15

Accepted Paper Series


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Date posted: May 5, 2010  

Suggested Citation

Packer , Frank, Stever, Ryan and Upper, Christian, The Covered Bond Market (September 1, 2007). BIS Quarterly Review, September 2007. Available at SSRN: http://ssrn.com/abstract=1561835

Contact Information

Frank Packer
Bank for International Settlements (BIS) ( email )
CH-4002 Basel
Switzerland
4161 280 8449 (Phone)
Ryan Stever
Acadian Asset Management ( email )
United States
Christian Upper (Contact Author)
Bank for International Settlements (BIS) ( email )
Centralbahnplatz 2
Basel, 4002
Switzerland
Feedback to SSRN (Beta)


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