'The Covered Bond Market'

The summary appearing at the top of this article conveys both its subject and flavor:

“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.”

This is really good work from a team of three at the Bank for International Settlements (BIS).  A range of differences is outlined regarding  legislative and structured requirements,  geographic evolution of the product, and some of the distinctions within securitization options.  There are lots of useful charts and graphs.

To download a PDF of this article from the BIS website, click here.