13 Pages Posted: 29 Jun 2012
Date Written: September 1, 2007
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: 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
By Chris Kenyon