Title The use of mortgage covered bonds / prepared by Renzo G. Avesani, Antonio Garcia Pascual, and Elina Ribakova

Published [Washington, D.C.] : International Monetary Fund, 2007

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Description 1 online resource (21 pages) : illustrations Series IMF working paper ; WP/07/20. 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 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 Summary 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 Bibliography Includes bibliographical references (page 15) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Mortgage bonds -- Germany Mortgage bonds -- Spain Credit -- European Union countries Credit -- Econometric models Risk management -- Econometric models Credit Credit -- Econometric models Mortgage bonds Risk management -- Econometric models European Union countries Germany Spain Form Electronic book Author Garcia Pascual, Antonio, author. Ribakova, Elina, author. International Monetary Fund. Monetary and Capital Markets Department. ISBN 1283517671 9781283517676 1451910371 9781451910377 9781451865844 1451865848

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