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The Covered Bond Market

13 Pages Posted: 29 Jun 2012  

Frank Packer

Bank for International Settlements (BIS)

Ryan Stever

Acadian Asset Management

Christian Upper

Bank for International Settlements (BIS)

Date Written: September 1, 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.

JEL Classification: G11, G12, G15

Suggested Citation

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

Frank Packer

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland
4161 280 8449 (Phone)

Ryan Stever

Acadian Asset Management ( email )

260 Franklin Street
Boston, MA 02110
United States

Christian Upper (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

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