IDEAS home Printed from https://ideas.repec.org/a/eee/ecofin/v25y2013icp22-39.html
   My bibliography  Save this article

What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research

Author

Listed:
  • Larsson, Carl F.

Abstract

This article is a survey of the covered bond market with a focus on recent developments in the U.S. Covered bonds are debt obligations secured by a pool of assets, usually consisting of residential mortgages or other public debt. The covered bond asset pool is ring-fenced, dynamically managed, and remains on the balance sheet of the issuer. The issuer replaces non-performing assets and maintains a minimum overcollateralization level. U.S. lawmakers, regulators, and financial institutions are currently working toward jump-starting a market for U.S. issued covered bonds. Recent academic research has focused on the determinants of covered bond spreads and whether these instruments can become an alternative source of mortgage financing in the U.S.

Suggested Citation

  • Larsson, Carl F., 2013. "What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 22-39.
  • Handle: RePEc:eee:ecofin:v:25:y:2013:i:c:p:22-39
    DOI: 10.1016/j.najef.2013.01.001
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1062940813000028
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.najef.2013.01.001?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Frank Packer & Ryan Stever & Christian Upper, 2007. "The covered bond market," BIS Quarterly Review, Bank for International Settlements, September.
    2. Orazio Mastroeni, 2001. "Pfandbrief-style products in Europe," BIS Papers chapters, in: Bank for International Settlements (ed.), The changing shape of fixed income markets: a collection of studies by central bank economists, volume 5, pages 44-66, Bank for International Settlements.
    3. Mr. Renzo G Avesani & Ms. Elina Ribakova & Antonio I Garcia Pascual, 2007. "The Use of Mortgage Covered Bonds," IMF Working Papers 2007/020, International Monetary Fund.
    4. Bernanke Ben S., 2009. "The Future of Mortgage Finance in the United States," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 9(3), pages 1-10, March.
    5. Kenneth A. Snowden, 2010. "Covered Farm Mortgage Bonds in the Late Nineteenth Century U.S," NBER Working Papers 16242, National Bureau of Economic Research, Inc.
    6. Shehzad, Choudhry Tanveer & De Haan, Jakob, 2013. "Was the 2007 crisis really a global banking crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 113-124.
    7. Kempf, Alexander & Korn, Olaf & Uhrig-Homburg, Marliese, 2012. "The term structure of illiquidity premia," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1381-1391.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Brzeszczyński, Janusz & Gajdka, Jerzy & Kutan, Ali M., 2015. "Investor response to public news, sentiment and institutional trading in emerging markets: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 338-352.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. João M. Pinto & Mafalda C. Correia, 2017. "Are Covered Bonds Different from Asset Securitization Bonds?," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
    2. Weigerding, Michael, 2023. "Long-term liquidity effects of large-scale asset purchase programs: Evidence from the euro covered bond market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 244-264.
    3. Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2015. "Safe, or not safe? Covered bonds and Bank Fragility," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112875, Verein für Socialpolitik / German Economic Association.
    4. Nils Boesel & C.J.M. Kool & S. Lugo, 2016. "Do European Banks with a Covered Bond Program still issue Asset-Backed Securities for funding?," Working Papers 16-03, Utrecht School of Economics.
    5. Gürtler, Marc & Neelmeier, Philipp, 2019. "Risk assessment of mortgage covered bonds: International evidence," Finance Research Letters, Elsevier, vol. 28(C), pages 292-298.
    6. Bhanot, Karan & Larsson, Carl F., 2018. "Uncovering the impact of regulatory uncertainty on credit spreads: A study of the U.S. covered bond experience," Journal of Financial Markets, Elsevier, vol. 39(C), pages 84-110.
    7. Prokopczuk, Marcel & Siewert, Jan B. & Vonhoff, Volker, 2013. "Credit risk in covered bonds," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 102-120.
    8. Gürtler, Marc & Neelmeier, Philipp, 2018. "Empirical analysis of the international public covered bond market," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 163-181.
    9. Boesel, Nils & Kool, Clemens & Lugo, Stefano, 2018. "Do European banks with a covered bond program issue asset-backed securities for funding?," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 76-87.
    10. Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
    11. Mohamed Amine Boutabba & Yves Rannou, 2020. "Investor strategies and Liquidity Premia in the European Green Bond market," Post-Print hal-02544451, HAL.
    12. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.
    13. Luciano Greco & Davide Iacovoni, 2004. "Decentramento e mercato del debito pubblico locale," Moneta e Credito, Economia civile, vol. 57(228), pages 437-480.
    14. Andreas Fuster & David Lucca & James Vickery, 2023. "Mortgage-backed securities," Chapters, in: Refet S. Gürkaynak & Jonathan H. Wright (ed.), Research Handbook of Financial Markets, chapter 15, pages 331-357, Edward Elgar Publishing.
    15. Krzysztof Olszewski, 2012. "The impact of commercial real estate on the financial sector, its tracking by central banks and some recommendations for the macro-financial stability policy of central banks," NBP Working Papers 132, Narodowy Bank Polski.
    16. Fan, John Hua & Todorova, Neda, 2017. "Dynamics of China’s carbon prices in the pilot trading phase," Applied Energy, Elsevier, vol. 208(C), pages 1452-1467.
    17. Docherty, Paul & Easton, Steve, 2018. "State-varying illiquidity risk in sovereign bond spreads," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 235-248.
    18. Santiago Carbó-Valverde & Richard J. Rosen & Francisco Rodríguez-Fernández, 2017. "Are covered bonds a substitute for mortgage-backed securities?," Journal of Economic Policy Reform, Taylor and Francis Journals, vol. 20(3), pages 238-253, July.
    19. Bhimjee, Diptes C. & Ramos, Sofia B. & Dias, José G., 2016. "Banking industry performance in the wake of the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 376-387.
    20. Teixeira, João C.A. & Matos, Tiago F.A. & da Costa, Gui L.P. & Fortuna, Mário J.A., 2020. "Investor protection, regulation and bank risk-taking behavior," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

    More about this item

    Keywords

    Covered bond; Cover pool; Securitization product; Bond finance; Yield spread;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecofin:v:25:y:2013:i:c:p:22-39. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620163 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.