Front Matter Page
Monetary and Capital Markets Department
Authorized by İnci Ötker-Robe
Contents
I. Motivation and Summary
II. The Case for Covered Bonds
A. Credit Risk Retention: Capital Market Funding with Skin in the Game
B. Risk Allocation and Choice of Covered Bonds Model
C. Greater Transparency in the Provision of Investor Protection
D. Caveats
III. A Robust Framework for U.S. Covered Bonds
A. The Rationale for Issuing Under a Legal Framework
B. An Assessment of the Proposed Legislative Framework
IV. Meeting Challenges to Market Development
V. Concluding Remarks
References
Tables
1. Implied Leverage Under Alternate Mortgage Funding Strategies
2. Comparison of U.S. RMBS and Covered Bonds Programs
3. Valuation of Residential Property for Lending Purposes
4. Main Features of WaMu and BoA Structured Covered Bonds Issues
5. Conditions for Early Release of Cover Pool to Bond Holders
6. Comparison of Main Features of Covered Bond Programs Under Past, Current, and Proposed Regulatory Frameworks
Figures
1. Delinquency and Foreclosure Rates of Securitized Loans, 2000-09
2. SPV Issuance Structure of U.S. Covered Bonds Programs
3. FDIC Treatment of Bond Holder Claims
4. European Covered Bond Programs: Cover Pool Composition, Q42009
5. Spanish Cajas’ Pooled Funding Model
6. FHLB Funding of Mortgages via Advances
Box
1. Covered Bond Variants and the Bond Market in Denmark
Annex
1. Insolvency Administrator’s Choice of FIDI Resolution in the Presence of a Covered Bonds Program