UID:
edoccha_9958123905102883
Format:
1 online resource (23 p.)
ISBN:
1-4623-1548-8
,
1-4527-1279-4
,
1-283-51767-1
,
9786613830128
,
1-4519-1037-1
Series Statement:
IMF working paper ;
Content:
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.
Note:
Description based upon print version of record.
,
Contents; I. Introduction; II. The European Mortgage Covered Bond Market; Figures; 1. Outstanding Volume of German Jumbo Mortgage Pfandbriefe and; 2. Covered Bond Legislation Across European Markets; III. Assessing the Credit Risk of Covered Bonds via Asset Swap Spreads; 3. Different Measures of Credit Risk; IV. The Jumbo Covered Bond Market: The German Pfandbriefe and the Spanish Cédulas Hipotecarias; A. The German Mortgage Pfandbriefe; B. The Spanish Cédulas Hipotecarias; 4. Asset Swap Spreads of Jumbo Mortgage Pfandbriefe
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5. Cédulas Hipotecarias: Overcollateralization of the Largest Four Credit Institutions6. Club Funding with Cédulas Hipotecarias; 7: Asset Swap Spreads of Jumbo Cédulas Hipotecarias; V. Conclusions; References; References; Appendixes; I: Asset Swap Calculation: an Application to Spanish Covered Bonds; II: Regulatory Framework for Pfandbriefe and Cédulas Hipotecarias
,
English
Additional Edition:
ISBN 1-4518-6584-8
Language:
English
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