'Pricing Covered Bonds'

According to Chris Kenyon of DEPFA Bank plc, "there is no detailed examination of how covered bonds should be priced taking into account the features that make them attractive to investors: i.e. over-collateralization of the reference pool and covenants by the pool manager (issuer) on asset replacement."  Kenyon's 25-page academic paper (dated June 19), Pricing Covered Bonds (version 1.09) steps into the gap.  Its approach is based on a "Triggered Refreshed CDO model."

To download a PDF, click on "Kenyon-Pricing CBs" under "Attachment" below.