This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of mortgage securitization. We also assemble...

We use administrative and supervisory data at the bank and loan level to investigate the impact of the introduction of covered bonds on the composition of bank balance sheets and bank risk. Covered bonds, despite being collateralized by mortgages, lead to a shift in bank lending from mortgages...

We use administrative and supervisory data at the bank and loan level to investigate the impact of the introduction of covered bonds on the composition of bank balance sheets and bank risk. Covered bonds, despite being collateralized by mortgages, lead to a shift in bank lending from mortgages...

Like the United States, Denmark relies heavily on capital markets for funding residential mortgages, and the Danish covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features of the Danish mortgage finance system and compare and...

This paper finds that window dressing, bypass opportunities, market sentiment and index adjustments drive seasonal bond market liquidity effects. It uses a unique data set that combines a number of recurring event types. After controlling for other seasonal factors, liquidity is lower prior to...

The discussion on the necessity of a larger volume of very highly quality liquid assets (VHQLA) in the euro area has been very extensive. The debate on expanding the pool of comparable euro area assets focuses on "safe assets", often on various combinations of government bonds, most of which...

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...

This study compares credit spreads and the pricing of securitization and covered bonds. Using a sample of 18,309 bonds issued by European banks in the 2000-2016 period, we find that asset-backed securities (ABS), mortgage-backed securities (MBS), public covered bonds (PCB), and mortgage covered...

This study shows how primary market supply influences the secondary market liquidity of outstanding bonds. Liquidity is higher around new bond issuance by the same issuer and in the same maturity segment. It rises once the new issue is priced and remains elevated for several days. The effect is...

Like the United States, Denmark relies heavily on capital markets for funding residential mortgages, and the Danish covered bond market bears a number of similarities to U.S. agency securitization. In this paper we describe the key features of the Danish mortgage finance system and compare and...

This paper analyzes the drivers of bond market liquidity. The use of a unique data set of global covered bonds allows to reveal three effects which have not been in the focus before: primary market supply, initial demand and allocation, and seasonality. Liquidity is elevated around the issue...

The purpose of this paper is to test whether tensions in the sovereign of the 5 largest euro area Member States had an impact on the funding sources of the most relevant banks based in these Member States and more specically, on the issuance of covered bonds. This could constitute additional...

Asset-backed securities (ABSs) and covered bonds (CBs) are structured finance instruments that require a range of key services, which may be provided by many firms. However, despite the prevalence of structured finance instruments in Europe, the network between issuers and service providers has...

This study empirically investigates the effects of securitisation and covered bonds on credit risk-taking behaviour of banks using data of 253 banks from 7 European countries for the period 2000-2014. The study uses the covariate balancing propensity score with difference-in-difference for the...

This study analyses the most important regulations for asset-backed securities and covered bonds devised after the global financial crisis in Europe. The study presents three perspectives of these regulations. It discusses the premises and context of these regulations and highlights the...

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk? We offer a model in which a bank issues covered bonds backed by a pool of assets that is bankruptcy remote and replenished following losses. Encumbering assets allows a bank to raise cheap secured debt...

Korean household debt, which has been trending conspicuously higher since 2005, has become biased towards falling asset prices. Total household debt, which topped KRW900 trillion in 2011, and a back-loaded debt repayment structure portend a fall in collateral when mindful of Korea's economic...

Covered bonds and mortgage-backed securities both allow mortgages to be financed with duration-matched bonds. Given the problems in the MBS market during the financial crisis, some suggest that CB might be a substitute for MBS. We examine the use of CB and MBS in the U.S. and Europe, finding...

This paper tries to explain different nature of the dynamics during the upward and downward part of the last house price cycle in Spain. Covered bonds are introduced as an instrument which may accelerate a house price boom, while it may also serve as a source of correction to overvalued house...

Although few outside of financial circles have heard of covered bonds, they have emerged as an important and efficient funding channel for Canadian mortgage lending, according to a new report released today from the C.D. Howe Institute. In “How to Make the World Safe for (and from) Covered...

Holger Markmann studies covered bonds and their market behaviour upon the announcement and implementation of outright covered bond purchases by the eurosystem. After introducing the covered bond market, its reaction to the global financial crisis, and the functionality of unconventional monetary...

Covered bonds have emerged as a potential funding vehicle from the credit crisis. However, there is no detailed examination of how covered bonds should be priced taking into account the features that make them attractive to investors: i.e. over-collateralization of the reference pool and...