Risici ved særligt dækkede obligationer (SDO)

Jonas Brandt Andersen & Adam Grønbeck Andersen

Student thesis: Master thesis


In 2007 a new Danish legislation was rati ed to incorporate CRD-compliant covered bonds in Denmark. From this rati cation, di erent kinds of new risks have arisen compared to the previous well renowned Danish mortgage bonds. Furthermore the CRD-compliant bonds have been blamed to have a negative e ect on the nancial stability in Denmark. This thesis identi es and analyzes the new risks by investigating the background, general structure of the legislation and especially risks following the event of an issuer default. Furthermore the international rating agencies' models for rating covered bonds are being evaluated and compared. Finally the in uence of Danish covered bonds on the nancial stability in Denmark during the recent economic crisis is analyzed. The CRD-compliant bonds have brought new general risks in form of maturity mis-match, currency and interest risk, which have a negative e ect on the transparency of the product. Furthermore, some risk factors remain unclear in the event of an issuer default, but we conclude, that the implementation of CRD-compliant covered bonds was necessary in order to maintain the competitiveness of Danish nancial institutions. Despite the risk factors, the CRDcompliant bonds did help Danish banks in a frozen liquidity market during the economic crisis to raise funds through repo activities. We nd those activities nancial stabilizing. We conclude that the core of the nancial instability is to be found in the huge growth in priority loans in Denmark and not in the CRD-compliant covered bonds.

EducationsMSc in Business Administration and Management Science, (Graduate Programme) Final Thesis
Publication date2009
Number of pages144