Cover IMF Working Papers
The Use of Mortgage Covered Bonds
Author:
Mr. Renzo G Avesani
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Ms. Elina Ribakova
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Series:
IMF Working Papers
Volume/Issue:
Volume 2007: Issue 020
Language:
English
Publication Date:
01 Jan 2007
DOI:
https://doi.org/10.5089/9781451865844.001
ISBN:
9781451865844
ISSN:
1018-5941
Pages:
21
Keywords:
WP; covered bond; first mortgage covered bond fundraising program; asset swap; covered bond bond market; financing; Mortgage covered bonds; asset swap spreads; market based indicators; mortgage covered bond bond market; covered bond legislation; asset swap spread; covered bond market; Mortgages; Bonds; Covered bonds; Credit; Credit risk; Europe
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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The rapid mortgage credit growth experienced in recent years in mature and emerging countries has raised some stability concerns. Many European credit institutions in mature markets have reacted by increasing securitization, particularly via mortgage covered bonds. From the issuer's perspective, these instruments have become an attractive funding source and a tool for assetliability management; from the investor's perspective, covered bonds enjoy a favorable risk-return profile and a very liquid market. In this paper, we examine the two largest "jumbo" covered bond markets, Germany and Spain. We show how movements in covered bond prices can be used to analyze the credit developments of the underlying issuer and the quality of its mortgage portfolio. Our analysis also suggests that mortgage covered bonds could be of interest to other mature and emerging markets facing similar risks related to mortgage credit.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2007: Issue 020