Risk Characteristics of Covered Bonds: Monitoring Beyond Ratings

69 Pages Posted: 20 Apr 2020

See all articles by Magdalena Grothe

Magdalena Grothe

European Central Bank (ECB)

Jana Zeyer

affiliation not provided to SSRN

Date Written: April, 2020

Abstract

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of granular risk indicators adds to the overall transparency of the market in the context of risk monitoring.

Keywords: covered bonds, covered bond transparency data, credit ratings, risk indicators, risk monitoring

JEL Classification: G12, G24, G21, C30

Suggested Citation

Grothe, Magdalena and Zeyer, Jana, Risk Characteristics of Covered Bonds: Monitoring Beyond Ratings (April, 2020). ECB Working Paper No. 2393, Available at SSRN: https://ssrn.com/abstract=3578541

Magdalena Grothe (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Jana Zeyer

affiliation not provided to SSRN

No Address Available

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