Covered bonds and senior bonds are prominent securities in the euro bond market. Senior bonds are unsecured, while covered bonds are secured—backed by collateral. Our results show that the presence of collateral reduces the total risk in individual bonds by more than 70%. Compared to diversified portfolios of senior bonds, diversified portfolios of covered bonds have a significantly lower level of systematic risk. However, the fraction of systematic risk to total risk is higher for covered bonds. By decomposing the variance of bond returns, we find that around 33% of the risk in senior bonds is systematic, versus 53% in covered bonds. Both types of bonds contain instrument-specific risk.

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抵押品影响回报风险：来自欧元债券市场的证据

担保债券和优先债券是欧元债券市场上的重要证券。优先债券是无担保的，而担保债券是有担保的——由抵押品支持。我们的结果表明，抵押品的存在将单个债券的总风险降低了 70% 以上。与高级债券的多元化投资组合相比，担保债券多元化的投资组合具有明显较低的系统风险水平。然而，担保债券的系统风险占总风险的比例更高。通过分解债券回报的方差，我们发现高级债券中大约 33% 的风险是系统性的，而担保债券中则为 53%。两种类型的债券都包含特定于工具的风险。