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Risk characteristics of covered bonds: monitoring beyond ratings

Author

Listed:
  • Grothe, Magdalena
  • Zeyer, Jana

Abstract

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 risk metrics for the European covered bond universe, which ensures comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of granular risk indicators adds to the overall transparency of the market in the context of risk monitoring. JEL Classification: G12, G24, G21, C30

Suggested Citation

  • Grothe, Magdalena & Zeyer, Jana, 2020. "Risk characteristics of covered bonds: monitoring beyond ratings," Working Paper Series 2393, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20202393
    Note: 1601201
    as

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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2393~f0796c2019.en.pdf
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    Citations

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    Cited by:

    1. Matteo Salto & Stefano Zedda & Stefan Zeugner, 2020. "Using Supra-Covered Bonds to Enhance Liquidity in the Euro Area: Assessment of Advantages for the Banking Sector," JRFM, MDPI, vol. 13(12), pages 1-10, November.

    More about this item

    Keywords

    covered bonds; covered bond transparency data; credit ratings; risk indicators; risk monitoring;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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