فردریک چه دانش مهمی در مورد مهندسی مالی بوجود آورد؟ بررسی تحولات و پژوهش اخیر بازار اوراق قرضه تحت پوشش

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.

A covered bond is a debt obligation that is secured by a pool of cover assets, typically consisting of residential mortgages. The key characteristic that differentiates covered bonds from traditional types of mortgage backed securities is that underlying cover assets are held on the balance sheet of the issuer. Covered bond holders thus retain dual-recourse, with claims against the issuer and the cover pool in the case of issuer insolvency. Covered bonds are used in European countries primarily to finance both private and commercial mortgages.1 The European market for covered bonds is large, and has grown to represent nearly 20% of total EU private mortgages with a size of over 2.5 trillion Euros (European Covered Bond Council, 2011). Covered bonds have also been introduced in other parts of the world such as New Zealand, Australia, and Canada, all of which recently passed key legislation needed to jumpstart their own domestic markets.2 In 2006 and 2007, Washington Mutual and Bank of America became the first U.S. institutions to issue covered bonds.3 In contrast to the long history of covered bonds in many European countries, they remain a relatively recent development in the U.S. If Wall Street is one of the biggest financial hubs of the world, then how is it possible that covered bonds are financing both private and commercial mortgages in a variety of countries, both in Europe and around the world, but not in the United States?4 Though it is naïve to attribute this to one sole cause, a large barrier to the establishment of a U.S. covered bond market is the lack of good, clear, and easy to follow regulations that face potential issuers and investors. To see why public covered bond markets require some sort of regulation to exist, it is helpful to first understand how the European market is set up.5 In Europe, there are two types of frameworks under which covered bonds are issued. First, countries such as Germany, France, and Denmark have specific legislation set up for covered bonds. Financial institutions in these countries issue “legislative” covered bonds, which are issued under specific legislative frameworks that act to enforce a common set of rules and regulations over all traded covered bonds. These universal standards are good for a number of reasons, among them being the ability of investors to easily compare one covered bond with another (standardization), as well as the clarity afforded to investors regarding bankruptcy and default procedures. Second, financial institutions that operate in countries without specific covered bond legislation—for example the United States6—leave it to the covered bond issuers to set up the proper contracts and structures needed to replicate the ring-fencing of cover assets that is achieved through legislation in other countries. These are commonly referred to as “structured covered bonds”, and although they lack the same level of standardization and clarity of recourse in the event of an issuer default, they do have the potential to be more flexible to the needs of issuers and investors.7 What if a U.S. bank wanted to start issuing covered bonds? Because there is no legislation in place, as of yet, any covered bonds issued in the United Sates would have to be created as structured covered bonds. Hitherto, there are four issues of covered bonds by U.S. banks, all of them coming before the financial crisis of 2007–2008.8 There have, however, been a large number of European issuers marketing U.S. dollar denominated covered bonds to U.S. investors, with about $30 billion of covered bonds being issued in the U.S. in 2010 (Marlatt, 2011). Despite this investor demand and a seemingly strong interest among U.S. banks to issue covered bonds, these first four issues are, at the time of writing, also the last four covered bonds issued in recent history in the United States. One of the chief reasons why U.S. financial institutions have been reluctant to start issuing covered bonds is because it is uncertain how the FDIC would prioritize the claims of the covered bond investors against those of depositors and other claimants in the case of bank failure. Although the FDIC has released a covered bond policy statement (discussed in Section 4), investors face uncertainty about the important issue of knowing what will happen to their investment in the case that the issuer enters receivership or conservatorship under the FDIC. Bhanot and Larsson (2012a) show how regulatory uncertainty caused investors to impute higher risk premiums in market prices in the case of a Washington Mutual U.S. covered bond that briefly traded around 70% of face value, even though it was rated AAA by Fitch and Aaa by Moody's at issuance. This happened as Washington Mutual went into the receivership of the FDIC in mid-September, 2008, leaving investors uncertain about the extent to which their covered bonds would be honored. On April 23, 2008, the Board of Directors of the Federal Deposit Insurance Corporation (FDIC) released an “Interim Final Covered Bond Policy”, and, after receiving public feedback, the FDIC subsequently released a “Final Covered Bond Policy Statement” on July 15 of the same year. The FDIC's policy statement provided some minimum covered bond underwriting standards, and also gave some general guidelines about what steps would be taken in compensating covered bond holders in the case of an issuer default. The U.S. Treasury then followed suit in the same month of July and published a “Best Practices for Residential Covered Bonds” to supplement the FDIC's policy statement. The two documents released by the FDIC and the Treasury are a good starting point for establishing some agreed upon guidelines in the nascent U.S. covered bond market, but neither one has come close to providing the same level of clarity afforded in Europe. One goal of this paper is to bring the pertinent issues that need to be addressed for a covered bond market to exist in the U.S. to the reader's attention. There is an active conversation going on between lawmakers, bankers, academics, and politicians on the future of covered bonds in the United States; this paper will provide a review of the main ideas currently under debate. This involves looking at both the extant policies that have guided existing covered bond markets in the past, as well as the most recent developments taking place in the United States as lawmakers and potential covered bond issuers work toward bringing covered bonds to American soil. This paper also surveys recent academic studies focusing on covered bonds. There are already a small number of published papers on covered bonds focused on topics that range from legal issues to asset pricing tests. Thus, the reader should leave with an understanding of the legal underpinnings and asset pricing dynamics of covered bonds, as well some insight into what is being done within the U.S. toward creating a more hospitable environment for covered bond issuers. Section 2 presents a brief history of the covered bond from its roots in 18th Century Prussia to its current day status as one of the most common financing instrument for private and commercial mortgages in some places, like Europe, but not in others, like the United States. Section 3 addresses the basic characteristics and legal considerations of covered bonds. I compare covered bonds to more familiar debt instruments such as mortgage backed securities, unsecured debt, and secured debt. Section 4 discusses current policy measures and the impending U.S. covered bond legislation. Section 5 provides a review of the academic literature. Section 6 concludes.

After a long and successful history in Europe—spanning as far back as 18th Century Prussia and the reign of Frederick the Great—will covered bonds ever catch on in the U.S.? With the high investor protection provided by ring-fenced and dynamically managed cover pools, covered bonds potentially present a low-cost, alternative source of financing for U.S. financial institutions. Before this can be realized, however, a number of regulatory issues must first be sorted out. The all-important feature of any covered bond is the dual-recourse security it provides investors through a ring-fenced and dynamically managed cover pool. These investor protections can be attained through legislative, as well as structured, covered bond issues. The simplicity of legislative covered bonds, however, provides a relative cost advantage for issuers over more complex structured covered bonds. Additionally, the clarity provided by covered bond legislation on how covered bonds are to be treated in the case of issuer default further increases the price that investors are willing to pay for these highly rated securities. The FDIC's final policy statement, released in 2008, was a good first step toward creating a viable regulatory framework for U.S. covered bond issuers. Comparing the huge market for European issued covered bonds—a growing portion of which are denominated in U.S. dollars—to the utter lack of U.S. issued covered bonds seems to suggest that more action is needed. Recent research points to the benefits of covered bond financing when the essential regulatory frameworks are in place. The pending U.S. House and Senate bills on covered bonds, then, hold the potential to finally make simpler, more clear-cut, standardized, and cost-effective covered bond issues a reality for U.S. financial institutions.