Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/229007 
Year of Publication: 
2020
Series/Report no.: 
ECB Working Paper No. 2393
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
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.
Subjects: 
covered bonds
risk monitoring
risk indicators
covered bond transparency data
credit ratings
JEL: 
G12
G24
G21
C30
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4036-8
Document Type: 
Working Paper

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