RT Journal Article SR Electronic T1 The Dollar Denominated Covered Bond Market: A Cross-Country Analysis of Credit Spreads JF The Journal of Fixed Income FD Institutional Investor Journals SP 26 OP 43 DO 10.3905/jfi.2019.29.2.026 VO 29 IS 2 A1 Karan Bhanot A1 Carl F. Larsson YR 2019 UL https://pm-research.com/content/29/2/26.abstract AB 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 managementKey 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.