At the beginning of the XXI century, Serbia entered into transition process toward open market economy. One of the segments which should be developed in accordance with market economy principles was financial markets, more precisely capital market. Recovery of the Belgrade Stock Exchange and increasing trend in the first half of the XXI century gave optimism in prospective development of the Serbian capital market. Unfortunately, Serbian capital market did not make expected progress. In this paper, the situation on the Belgrade Stock Exchange is analyzed, trading with equity and debt instruments, emphasizing deficiencies which caused insufficient level of development of the Serbian capital market. As many opportunities for growth have been  missed and capital markets are at the stagnant level for years, there are new, sophisticated products which could give an impulse to further development of financial markets. An example of such products is covered bonds, type of debt instruments with widespread use in the European Union. In this paper the main characteristics of those products are elaborated with experiences in other countries that could be very useful for Serbia.