We show that pass-through funding of mortgages with covered bonds supported by strong creditor rights is one way of providing highly liquid mortgage bonds. Despite a 30% drop in house prices during the 2008 crisis, these mortgage bonds remained as liquid as comparable government bonds with high trading volume and low bid-ask spreads. Market liquidity of these covered bonds is primarily driven by the availability of funding liquidity. Funding liquidity is the main concern because the pass-through funding approach effectively eliminates other types of risks from the investor’s perspective. Banking regulators should take into account the implications of these findings, particularly when it comes to the interplay between liquidity and capital requirements.

中文翻译：

---

使用匹配资金原则的高流动性抵押债券

我们表明，由强大的债权人权利支持的担保债券通过抵押贷款融资是提供高流动性抵押债券的一种方式。尽管在 2008 年危机期间房价下跌了 30%，但这些抵押债券仍然与具有高交易量和低买卖价差的可比政府债券一样具有流动性。这些担保债券的市场流动性主要由资金流动性的可用性驱动。资金流动性是主要问题，因为从投资者的角度来看，通过资金方式有效地消除了其他类型的风险。银行业监管机构应考虑这些调查结果的影响，尤其是在流动性和资本要求之间的相互作用方面。