The covered bond market

Frank Packer, Ryan Stever and Christian Upper

BIS Quarterly Review, 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-codes: G11 G12 G15 (search for similar items in EconPapers)

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