The Experts below are selected from a list of 147 Experts worldwide ranked by ideXlab platform
Philipp Neelmeier - One of the best experts on this subject based on the ideXlab platform.
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empirical analysis of the international public Covered Bond market
Journal of Empirical Finance, 2018Co-Authors: Marc Gurtler, Philipp NeelmeierAbstract:Public Covered Bonds are one of the most important refinancing instruments for banks providing loans to public sector entities and have often been considered almost default-risk-free in the past. Due to the financial crisis following the collapse of Lehman Brothers and in particular due to the sovereign debt crisis, however, this notion has changed in several countries. Against this background, we provide the first study investigating factors influencing risk premiums in the international public Covered Bond market on a Bond-individual level. We show that Bond-specific and macroeconomic factors, as well as the recent economic crises and monetary policy measures by the ECB, affect risk premiums. While the two crises had an increasing effect, the first Covered Bond purchase program lowered risk premiums of public Covered Bonds. Since the cover pools consist of loans to (mostly domestic) public sector entities, we further show significant differences in the influencing factors between Bonds issued in different countries.
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is the Bond or the issuer rating relevant the impact of credit rating events on Covered Bond prices
Social Science Research Network, 2016Co-Authors: Marc Gurtler, Philipp NeelmeierAbstract:Since Covered-Bond investors have a dual recourse against the issuer and the cover pool, credit rating agencies must incorporate both the issuer's financial situation and the quality of the cover pool in their Covered-Bond ratings. In line with this, the Covered-Bond rating generally depends on the issuer rating. Thus, events concerning either the Bond rating or the issuer rating might have effects on Covered-Bond prices, and these effects might be different than those of rating events for corporate Bonds. Therefore, we examine effects of Bond- and issuer-rating events on prices of euro-denominated Covered Bonds. For both rating types, downgrades lead to significantly negative abnormal returns, whereas for upgrades, no significant effects can be verified. Negative effects are most intense if the rating is downgraded from investment to speculative grade. Overall, however, the magnitude of the effects around downgrades is smaller compared to corporate Bonds.
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empirical analysis of the international public Covered Bond market
Social Science Research Network, 2016Co-Authors: Marc Gurtler, Philipp NeelmeierAbstract:We provide the first study investigating influencing factors on risk premiums in the international public Covered Bond market on a Bond-individual level separately from mortgage Covered Bonds. Using a broad dataset with Covered Bonds from ten countries and eight currencies, we show what Covered Bond-specific and macroeconomic factors affect risk premiums. Furthermore, we show the effects of the financial crisis following the collapse of Lehman Brothers, the sovereign debt crisis, and monetary policy measures by the ECB. While the two crises had an increasing effect, the first Covered Bond purchase program lowered risk premiums of public Covered Bonds. For the second program, however, a similar effect cannot be verified.
Marc Gurtler - One of the best experts on this subject based on the ideXlab platform.
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empirical analysis of the international public Covered Bond market
Journal of Empirical Finance, 2018Co-Authors: Marc Gurtler, Philipp NeelmeierAbstract:Public Covered Bonds are one of the most important refinancing instruments for banks providing loans to public sector entities and have often been considered almost default-risk-free in the past. Due to the financial crisis following the collapse of Lehman Brothers and in particular due to the sovereign debt crisis, however, this notion has changed in several countries. Against this background, we provide the first study investigating factors influencing risk premiums in the international public Covered Bond market on a Bond-individual level. We show that Bond-specific and macroeconomic factors, as well as the recent economic crises and monetary policy measures by the ECB, affect risk premiums. While the two crises had an increasing effect, the first Covered Bond purchase program lowered risk premiums of public Covered Bonds. Since the cover pools consist of loans to (mostly domestic) public sector entities, we further show significant differences in the influencing factors between Bonds issued in different countries.
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is the Bond or the issuer rating relevant the impact of credit rating events on Covered Bond prices
Social Science Research Network, 2016Co-Authors: Marc Gurtler, Philipp NeelmeierAbstract:Since Covered-Bond investors have a dual recourse against the issuer and the cover pool, credit rating agencies must incorporate both the issuer's financial situation and the quality of the cover pool in their Covered-Bond ratings. In line with this, the Covered-Bond rating generally depends on the issuer rating. Thus, events concerning either the Bond rating or the issuer rating might have effects on Covered-Bond prices, and these effects might be different than those of rating events for corporate Bonds. Therefore, we examine effects of Bond- and issuer-rating events on prices of euro-denominated Covered Bonds. For both rating types, downgrades lead to significantly negative abnormal returns, whereas for upgrades, no significant effects can be verified. Negative effects are most intense if the rating is downgraded from investment to speculative grade. Overall, however, the magnitude of the effects around downgrades is smaller compared to corporate Bonds.
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empirical analysis of the international public Covered Bond market
Social Science Research Network, 2016Co-Authors: Marc Gurtler, Philipp NeelmeierAbstract:We provide the first study investigating influencing factors on risk premiums in the international public Covered Bond market on a Bond-individual level separately from mortgage Covered Bonds. Using a broad dataset with Covered Bonds from ten countries and eight currencies, we show what Covered Bond-specific and macroeconomic factors affect risk premiums. Furthermore, we show the effects of the financial crisis following the collapse of Lehman Brothers, the sovereign debt crisis, and monetary policy measures by the ECB. While the two crises had an increasing effect, the first Covered Bond purchase program lowered risk premiums of public Covered Bonds. For the second program, however, a similar effect cannot be verified.
Carl F Larsson - One of the best experts on this subject based on the ideXlab platform.
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the dollar denominated Covered Bond market a cross country analysis of credit spreads
The Journal of Fixed Income, 2019Co-Authors: Karan Bhanot, Carl F LarssonAbstract:The authors analyze the determinants of credit spreads of 674 US dollar denominated Covered Bonds, issued by institutions domiciled in twenty-one countries, over the sample period 1/2001 to 1/2016. Even though Covered Bond contracts include strong credit enhancements, there is considerable heterogeneity in observed credit spreads through time and in the cross-section. The authors find that measures of sovereign risk and country specific legal frameworks are among the most important explanatory factors for differences in spreads across these Bonds. TOPICS:Project finance, statistical methods, credit risk management Key Findings • The authors study the determinants of US dollar denominated Covered Bond credit spreads for Bonds issued in twenty-one countries during the period 1/2001 to 1/2016. • Despite carrying strong credit enhancement features, US dollar denominated Covered Bonds still exhibit variation in spreads both through time and in the cross-section of issuer country of domicile. • Empirical results suggest sovereign risk and country-level legal frameworks are important determinants of US dollar denominated Covered Bond credit spreads.
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uncovering the impact of regulatory uncertainty on credit spreads a study of the u s Covered Bond experience
Journal of Financial Markets, 2017Co-Authors: Karan Bhanot, Carl F LarssonAbstract:Abstract We examine how regulatory uncertainty impacts the credit spreads of Covered Bonds issued by U.S. domiciled banks. Using data on Covered Bonds issued by Washington Mutual and Bank of America, for the September 2006 to December 2016 period, we find that investors require an incremental spread that equals approximately half of the credit spread on unsecured benchmark Bonds as compensation for uncertainty about the legal status of Covered Bonds in the event of default. Systematic and other risk factors cannot explain the magnitude of the regulatory spread. We draw broader lessons on how investors impound regulatory outcomes into asset prices.
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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, 2013Co-Authors: Carl F LarssonAbstract: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.
Ariel Smith - One of the best experts on this subject based on the ideXlab platform.
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the european central bank s Covered Bond purchase programs i and ii ecb gfc
Social Science Research Network, 2020Co-Authors: Ariel SmithAbstract:In July 2009, the European Central Bank introduced a nonstandard measure to revitalize the European Covered Bond market, which at the time financed about one-fifth of mortgages in Europe. The market struggled after the collapse of Lehman Brothers as the global financial crisis intensified in 2008. Over the course of the program, which lasted 12 months, European central banks, collectively known as “the Eurosystem,” conducted direct purchases in both primary and secondary markets to a total of €60 billion of Covered Bonds. The Eurosystem held the purchased Covered Bonds until maturity and made them eligible for lending to counterparties as of March 2010. Some evaluations consider the first CBPP a success, as the Covered Bond market began to function normally after the program’s implementation. However, the CBPP operated at the same time as other crisis-combatting programs within both the Eurosystem and individual member countries, and its results occurred during a general improvement in conditions. In November 2011, the European Central Bank introduced the second iteration of its Covered Bond purchase programs to stimulate funding to credit institutions and facilitate lending at the onset of the sovereign debt crisis. The program ran for one year and fell far short of its targeted €40 billion in purchases; at its completion, Eurosystem central banks had purchased €16.4 billion of Covered Bonds. It is difficult to holistically evaluate the program; while CBPP2 generally had a positive impact on the Covered Bond market, it was much less effective than CBPP1.
Joao Tovar Jalles - One of the best experts on this subject based on the ideXlab platform.
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quantitative easing and sovereign yield spreads euro area time varying evidence
Journal of International Financial Markets Institutions and Money, 2019Co-Authors: Antonio Afonso, Joao Tovar JallesAbstract:Abstract We assess the determinants of sovereign Bond yield spreads in the period 1999:01–2016:07, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach to: (i) confirm and estimate the determinants of sovereign Bond yield spreads; (ii) compute bivariate time-varying coefficient (TVC) models of each determinant and analyse the temporal dynamics. The baseline determinants of sovereign Bond yield spreads in the Euro area are the bid-ask spread, the VIX, fiscal developments and rating developments, REER, and economic growth. QE measures implemented by the ECB in the aftermath of the crisis are also relevant. From the TVC analysis, the Covered Bond Purchase Programme contributed to reduce yield spreads, particularly in the 2011–2013 period. Longer-term refinancing operations contributed to reduce yield spreads in most countries.
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quantitative easing and sovereign yield spreads euro area time varying evidence
Research Papers in Economics, 2017Co-Authors: Antonio Afonso, Joao Tovar JallesAbstract:We assess the determinants of sovereign Bond yield spreads in the period 1999-2016, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach: i) confirm (by means of model selection methods) and estimate (by means of panel techniques) the determinants of sovereign Bond yield spreads; ii) compute bivariate time-varying coefficient (TVC) models of each determinant on government Bond spreads and analyse the temporal dynamics of resulting estimates. Our results show that the baseline determinants of sovereign Bond yield spreads in the Euro area are the bid-ask spread, the VIX, fiscal developments and rating developments, REER, and economic growth. In recent years, additional relevant determinants became the QE measures implemented by the ECB in the aftermath of the economic and financial crisis. From the TVC analysis, the Covered Bond Purchase Programme contributed to reduce yield spreads in all Euro area countries in the analysis, particularly in the crisis period, 2011-2013. In addition, longer-term refinancing operations contributed to reduce yield spreads in most countries.
