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COMMENTS

Global Covered Bond Characteristics And Rating Summary Q3 2019


Global Covered Bond Characteristics And Rating Summary Q3 2019

This article provides our assessment of the characteristics of listed covered bond programs that contribute to our rating opinions. For our overview on recent developments in the global covered bond markets and rating trends, see "Global Covered Bond Insights Q3 2019."

We currently rate 101 covered bond programs and 15 Spanish "multicédulas" transactions.

Unless otherwise noted, the reporting date for covered bond program ratings, issuer credit ratings, reference rating level (RRL), jurisdiction-supported rating level (JRL), and other indicators is the publication date of this report, not the end of the calendar quarter. In this publication, "third-quarter 2019" means between June 28, 2019, and Sept. 10, 2019, inclusive.

Global Covered Bonds Core Characteristics And Risk Indicators

The ratings in the following tables are as of Sept. 10, 2019.

The characteristics of the mortgage covered bonds listed in tables 5 and 6 in this quarterly summary are for those mortgage programs for which the majority of assets are residential and/or commercial mortgage loans. The risk indicators in tables 7 and 8 refer only to the majority of assets from the respective category.

Certain figures in this article may have been subject to S&P Global Ratings' analytical adjustments and therefore do not necessarily equal publicly available information on the respective covered bond programs. For example, actual credit enhancement figures may differ because we have made value adjustments to outstanding asset/liability amounts for swaps, or zero bonds.

The data for each table can be exported to Microsoft Excel on www.capitaliq.com. After downloading the tables, you can collate the information on one covered bond program spread over several tables, by using its program ID number.

For the purposes of eligibility with the Eurosystem credit assessment framework (ECAF), S&P Global Ratings is required to publish surveillance reports on covered bond programs no later than eight weeks after the end of each quarter. To publish these reports, we use internal proprietary data and quarterly portfolio information from the issuers, typically in the form of the Covered Bond Label Foundation's Harmonized Transparency Template (HTT) or similar templates.

The surveillance reports are available on www.capitaliq.com, under the program name and "S&P Deals" and can be downloaded in MS Excel and MS Word format. In order to facilitate market participants' access to these reports, we have included hyperlinks to the latest published surveillance reports in table 1.

Table 1  |  View Expanded Table

Global Covered Bond Characteristics And Rating Summary
Issuer/CB program Program ID Link to surveillance report Asset type Country of issuer RRL JRL Max CB rating - considering CB criteria* Max CB rating according to counterparty risk§ Max CB rating according to country risk† Unused notches of uplift‡ CB rating
Anadi Bank Covered Bond Program 1422246 Q2 Surveillance Report Mortgage AT N/A N/A aa aaa aaa N/A AA/--/--
KA Finanz FBS - Fundierte Bankschuldverschreibungen 1412729 Q2 Surveillance Report Public AT aa+ aa+ W/H W/H aaa 0 AA+/Stable/--
Kommunalkredit Austria Public Sector Covered Bonds 1488062 Q2 Surveillance Report Public AT W/H W/H W/H a aaa 0 A/Stable/--
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) 1477198 Q2 Surveillance Report Mortgage AT aa- aa+ aaa aaa aaa 2 AAA/Stable/--
Oberösterreichische Landesbank AG Mortgage Covered Bond Program 1458125 Q2 Surveillance Report Mortgage AT a+ aa+ aa+ aaa aaa 0 AA+/Stable/--
Belfius Bank SA/NV 1238141 Q2 Surveillance Report Mortgage BE a+ aa aaa aaa aaa 1 AAA/Stable/--
Belfius Bank SA/NV 1362876 Q2 Surveillance Report Public BE a+ aa aaa aaa aaa 1 AAA/Stable/--
BNP Paribas Fortis Mortgage Pandbrieven 1458876 Q2 Surveillance Report Mortgage BE aa aa aaa aaa aaa 3 AAA/Stable/--
Deutsche Apotheker- und Aerztebank eG 1449555 Q2 Surveillance Report Mortgage DE aa+ aaa aaa aaa aaa 5 AAA/Stable/--
KOFIBA-Kommunalfinanzierungsbank GmbH 1239158 Q2 Surveillance Report Public DE W/H W/H aa+ aaa aaa W/H AA+/Stable/--
DZ BANK AG Deutsche Zentral-Genossenschaftsbank 1449561 Q2 Surveillance Report Public DE aa+ aa+ aa+ aaa aaa 3 AA+/Stable/A-1+
DZ HYP AG Mortgage Sector Covered Bond Program 1449557 Q2 Surveillance Report Mortgage DE aa+ aaa aaa aaa aaa 5 AAA/Stable/A-1+
DZ HYP AG Public Sector Covered Bond Program 1449559 Q2 Surveillance Report Public DE aa+ aaa aaa aaa aaa 5 AAA/Stable/--
NRW.BANK 1449510 N/A Public DE aa- aaa aaa aaa aaa 2 AAA/Stable/--
Wuestenrot Bausparkasse AG 1289051 Q2 Surveillance Report Mortgage DE a+ aa+ aaa aaa aaa 2 AAA/Stable/--
Jyske Realkredit A/S- Capital Center B 1191482 N/A Mortgage DK a+ aa+ aaa aaa aaa 2 AAA/Stable/A-1+
Jyske Realkredit A/S - Capital Center E 1191434 Q2 Surveillance Report Mortgage DK a+ aa+ aaa aaa aaa 2 AAA/Stable/A-1+
Jyske Realkredit A/S - General Capital Center 1211781 N/A Mortgage DK a+ aa+ aaa aaa aaa 2 AAA/Stable/A-1+
Danmarks Skibskredit 1425986 N/A Ship DK a- a a a aaa 0 A/Stable/--
Danmarks Skibskredit A 1563287 Q2 Surveillance Report Ship DK a- a a a aaa 0 A/Stable/--
Danske Bank A/S - Pool C 1449548 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Danske Bank A/S - Pool D 874454 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Danske Bank A/S - Pool I 1449550 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 2 AAA/Stable/--
DLR Kredit A/S - Capital Center B 1232307 Q2 Surveillance Report Mortgage DK a+ aa+ aaa aaa aaa 2 AAA/Stable/--
DLR Kredit A/S - General Capital Center 1240364 N/A Mortgage DK a+ aa+ aaa aaa aaa 2 AAA/Stable/--
Nordea Kredit Realkredit A/S - Capital Center 1 1272839 Q2 Surveillance Report Mortgage DK aa+ aaa aaa aaa aaa 5 AAA/Stable/A-1+
Nordea Kredit Realkredit A/S - Capital Center 2 871896 Q2 Surveillance Report Mortgage DK aa+ aaa aaa aaa aaa 5 AAA/Stable/A-1+
Nykredit Realkredit A/S - Capital Center C 1255708 N/A Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center D 1255707 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center E 1133306 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 2 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center G 1213560 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center General 611565 N/A Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center H 1186584 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center I 1222561 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Realkredit Danmark A/S - Capital Center S 846629 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/A-1+
Realkredit Danmark A/S - Capital Center T 1195178 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/A-1+
Realkredit Danmark A/S - General Capital Center 1200257 N/A Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Totalkredit A/S - Capital Center C 1041139 N/A Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Abanca Corporacion Bancaria SA 1449278 Q2 Surveillance Report Mortgage ES bbb a- aa aaa aa 1 AA/Positive/--
Banco Bilbao Vizcaya Argentaria S.A. 1449540 Q2 Surveillance Report Mortgage ES a+ a+ aa+ aaa aa 1 AA/Positive/--
Bankia S.A. 1449598 Q2 Surveillance Report Mortgage ES a- a- aa- aaa aa 3 AA-/Positive/--
Bankinter S.A. 1449546 Q2 Surveillance Report Mortgage ES a a aa+ aaa aa 4 AA/Positive/--
CaixaBank S.A. 1449280 Q2 Surveillance Report Mortgage ES a a aa aaa aa 0 AA/Stable/--
Cajamar Caja Rural, S.C.C. 1449282 Q2 Surveillance Report Mortgage ES W/H W/H W/H aaa aa W/H AA/Stable/--
Ibercaja Banco S.A. 1449506 Q2 Surveillance Report Mortgage ES bbb a- aa- aaa aa 1 AA-/Positive/--
Kutxabank S.A. 1449508 Q2 Surveillance Report Mortgage ES a- a- aa aaa aa 3 AA/Positive/--
Bank of Aland PLC - Category FIN Covered Bonds 1225744 Q2 Surveillance Report Mortgage FI a- aa- aaa aaa aaa 1 AAA/Stable/--
Bank of Aland PLC - Category SWE Covered Bonds 1449544 Q2 Surveillance Report Mortgage FI a- aa- aaa aaa aaa 1 AAA/Stable/--
OMA Savings Bank 1507836 Q2 Surveillance Report Mortgage FI a aa aaa aaa aaa 2 AAA/Stable/--
OP Mortgage Bank (second program 2011) 1166343 Q2 Surveillance Report Mortgage FI aa+ aa+ aaa aaa aaa 5 AAA/Stable/--
Sp Mortgage Bank plc 1463917 Q2 Surveillance Report Mortgage FI a+ aa+ aaa aaa aaa 3 AAA/Stable/--
The Mortgage Society of Finland 1432951 Q2 Surveillance Report Mortgage FI a- aa- aaa aaa aaa 1 AAA/Stable/--
AXA Home Loan SFH 1574917 N/A Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
BNP Paribas Home Loan SFH 805470 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
BNP Paribas Public Sector SCF 1047038 Q2 Surveillance Report Public FR aa aa aaa aaa aaa 5 AAA/Stable/--
BPCE SFH 1170257 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
Caisse Francaise de Financement Local 511462 Q2 Surveillance Report Public FR aa aa aa+ aa+ aaa 0 AA+/Stable/--
Compagnie de Financement Foncier 521707 Q2 Surveillance Report Mixed FR aa aa aaa aaa aaa 4 AAA/Stable/A-1+
Credit Agricole Home Loan SFH Covered Bond Program 1029007 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
Credit Agricole Public Sector SCF 1229766 Q2 Surveillance Report Public FR aa aa aaa aaa aaa 5 AAA/Stable/--
Credit Mutuel-CIC Home Loan SFH 843192 Q2 Surveillance Report Mortgage FR aa- aa aaa aaa aaa 4 AAA/Stable/--
GE SCF S.C.A 1069452 Q2 Surveillance Report Public FR W/H W/H W/H W/H W/H W/H AA/Stable/--
HSBC SFH (France) 1028586 Q2 Surveillance Report Mortgage FR aa+ aa+ aaa aaa aaa 6 AAA/Stable/--
La Banque Postale Home Loan SFH 1275188 Q2 Surveillance Report Mortgage FR aa- aa aaa aaa aaa 3 AAA/Stable/--
MMB SCF Covered Bond Program 1542457 Q2 Surveillance Report Mortgage FR bbb+ a+ aaa aaa aaa 0 AAA/Stable/--
Societe Generale SCF 893038 Q2 Surveillance Report Public FR aa- aa aaa aaa aaa 4 AAA/Stable/A-1+
Eurobank Ergasias Covered Bond Programme I 1544953 Q2 Surveillance Report Mortgage GR b+ b+ aaa aa- bbb- N/A BBB-/--/--
Eurobank Ergasias Covered Bond Programme III 1547351 Q2 Surveillance Report Mortgage GR b+ b+ aaa aa- bbb- N/A BBB-/--/--
National Bank Of Greece CB2 Mortgage 1535236 Q2 Surveillance Report Mortgage GR b+ b+ a aa bbb- N/A BBB-/--/--
National Bank Of Greece CB1 Mortgage 1554489 Q2 Surveillance Report Mortgage GR b+ b+ a aa bbb- N/A BBB-/--/--
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program 1557419 Q2 Surveillance Report Mortgage HU bbb- bbb bbb bbb bbb 1 BBB/Stable/--
AIB Mortgage Bank 871323 Q2 Surveillance Report Mortgage IE a a+ aaa aaa aaa 2 AAA/Stable/--
UniCredit SpA Obbligazioni Bancarie Garantite Programme 1034488 Q2 Surveillance Report Mortgage IT a- a- aa aa aa- 1 AA-/Negative/--
AEGON Bank N.V. Covered Bond Programme 1418738 Q2 Surveillance Report Mortgage NL aa aaa aaa aaa aaa N/A AAA/--/--
Van Lanschot N.V. Covered Bond Programme 1384684 Q2 Surveillance Report Mortgage NL a aa- aaa aaa aaa N/A AAA/--/--
ING Bank N.V. 1062988 Q2 Surveillance Report Mortgage NL aa aaa aaa aaa aaa 4 AAA/Stable/--
ING Bank N.V. Soft Bullet Covered Bond Programme 1389274 Q2 Surveillance Report Mortgage NL aa aaa aaa aaa aaa 4 AAA/Stable/--
NN Bank N.V. Covered Bond Programme 1499877 Q2 Surveillance Report Mortgage NL a- a+ aaa aaa aaa N/A AAA/--/--
NIBC Bank N.V. Covered Bond Programme 1277257 Q2 Surveillance Report Mortgage NL a aa- aaa aaa aaa N/A AAA/--/--
DNB Boligkreditt AS 844118 Q2 Surveillance Report Mortgage NO aa+ aaa aaa aaa aaa 4 AAA/Stable/--
Eiendomskreditt AS 1449298 N/A Mortgage NO a- aa- aaa aaa aaa 1 AAA/Stable/--
Gjensidige Bank Boligkreditt AS 1449504 Q2 Surveillance Report Mortgage NO aa aaa aaa aaa aaa 3 AAA/Stable/--
Storebrand Boligkreditt AS 1446823 N/A Mortgage NO a+ aa+ aaa aaa aaa 1 AAA/Stable/--
Danske Hypotek 1496867 Q2 Surveillance Report Mortgage SE aa- aaa aaa aaa aaa 4 AAA/Stable/--
Landshypotek Bank AB 850448 Q2 Surveillance Report Mortgage SE a+ aa+ aaa aaa aaa 1 AAA/Stable/A-1+
Lansforsakringar Hypotek 840843 Q2 Surveillance Report Mortgage SE aa- aaa aaa aaa aaa 2 AAA/Stable/A-1+
Nordea Hypotek AB 1022386 Q2 Surveillance Report Mortgage SE aa+ aaa aaa aaa aaa 4 AAA/Stable/--
Sparbank Skane 1498794 N/A Mortgage SE a+ aa+ aaa aaa aaa 1 AAA/Stable/--
Swedbank Mortgage AB 897450 Q2 Surveillance Report Mortgage SE aa+ aaa aaa aaa aaa 4 AAA/Stable/A-1+
Bank of Scotland PLC Covered Bond Programme 622563 Q2 Surveillance Report Mortgage UK aa- aa aaa aaa aaa 2 AAA/Stable/--
Bank of Scotland PLC Social Housing Covered Bond Programme 695952 N/A Public UK aa- aa aaa aaa aaa 2 AAA/Negative/--
Barclays Bank PLC Global Covered Bond Programme 1018677 Q2 Surveillance Report Mortgage UK a+ aa- aaa aaa aaa 1 AAA/Stable/--
Nationwide Building Society Global Covered Bond Programme 752769 Q2 Surveillance Report Mortgage UK a+ aa- aaa aaa aaa 1 AAA/Stable/--
Santander UK PLC Global Covered Bond Programme 722867 Q2 Surveillance Report Mortgage UK a+ aa- aaa aaa aaa 1 AAA/Stable/--
Korea Housing Finance Corp. Social Covered Bonds 649757 N/A Mortgage KR aa aa aaa aaa aaa 0 AAA/Stable/--
United Overseas Bank Ltd. Global Covered Bond Programme 141 N/A Mortgage SG aa- aa aaa aaa aaa 0 AAA/Stable/--
*As per our criteria "Covered Bonds Criteria," published Dec. 9, 2014. §This figure reflects our counterparty risk assessment (see "Counterparty Risk Framework: Methodology And Assumptions," published March 9, 2019). †This figure reflects our country risk assessment (see "Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions," published Jan. 30, 2019). ‡Unused notches is the sum of the unused notches for jurisdictional support (see table 3) plus the unused collateral-based uplift (see table 4). N/A--Not applicable. W/H--Withheld at the issuer's request.

Table 2  |  View Expanded Table

Reference Rating Level (RRL)
Issuer/CB program Asset type Country of issuer ICR * RCR Systemic importance† Notches of uplift for resolution regime RRL
Anadi Bank Covered Bond Program Mortgage AT --/--/-- N/A very strong 2 N/A
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT AA+/Stable/A-1+ N/A very strong 0 aa+
Kommunalkredit Austria Public Sector Covered Bonds Public AT NR/NR/NR N/A very strong 2 W/H
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) Mortgage AT A/Stable/A-1 A+ very strong 2 aa-
Oberösterreichische Landesbank AG Mortgage Covered Bond Program Mortgage AT A+/Stable/A-1 N/A very strong 2 a+
Belfius Bank SA/NV Mortgage BE A-/Stable/A-2 A strong 2 a+
Belfius Bank SA/NV Public BE A-/Stable/A-2 A strong 2 a+
BNP Paribas Fortis Mortgage Pandbrieven Mortgage BE A+/Stable/A-1 AA- strong 2 aa
Deutsche Apotheker- und Aerztebank eG Mortgage DE AA-/Stable/A-1+ N/A very strong 2 aa+
KOFIBA-Kommunalfinanzierungsbank GmbH Public DE NR/NR/NR N/A very strong 2 W/H
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE AA-/Stable/A-1+ N/A very strong 2 aa+
DZ HYP AG Mortgage Sector Covered Bond Program Mortgage DE AA-/Stable/A-1+ N/A very strong 2 aa+
DZ HYP AG Public Sector Covered Bond Program Public DE AA-/Stable/A-1+ N/A very strong 2 aa+
NRW.BANK Public DE AA-/Positive/A-1+ N/A very strong 0 aa-
Wuestenrot Bausparkasse AG Mortgage DE A-/Stable/A-1 N/A very strong 2 a+
Jyske Realkredit A/S- Capital Center B Mortgage DK A-/Positive/A-2 A very strong 2 a+
Jyske Realkredit A/S - Capital Center E Mortgage DK A-/Positive/A-2 A very strong 2 a+
Jyske Realkredit A/S - General Capital Center Mortgage DK A-/Positive/A-2 A very strong 2 a+
Danmarks Skibskredit Ship DK BBB+/Stable/A-2 N/A moderate 1 a-
Danmarks Skibskredit A Ship DK BBB+/Stable/A-2 N/A moderate 1 a-
Danske Bank A/S - Pool C Mortgage DK A/Negative/A-1 A+ very strong 2 aa-
Danske Bank A/S - Pool D Mortgage DK A/Negative/A-1 A+ very strong 2 aa-
Danske Bank A/S - Pool I Mortgage DK A/Negative/A-1 A+ very strong 2 aa-
DLR Kredit A/S - Capital Center B Mortgage DK A-/Positive/A-2 A very strong 2 a+
DLR Kredit A/S - General Capital Center Mortgage DK A-/Positive/A-2 A very strong 2 a+
Nordea Kredit Realkredit A/S - Capital Center 1 Mortgage DK AA-/Stable/A-1+ AA- very strong 2 aa+
Nordea Kredit Realkredit A/S - Capital Center 2 Mortgage DK AA-/Stable/A-1+ AA- very strong 2 aa+
Nykredit Realkredit A/S - Capital Center C Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Nykredit Realkredit A/S - Capital Center D Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Nykredit Realkredit A/S - Capital Center E Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Nykredit Realkredit A/S - Capital Center G Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Nykredit Realkredit A/S - Capital Center General Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Nykredit Realkredit A/S - Capital Center H Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Nykredit Realkredit A/S - Capital Center I Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Realkredit Danmark A/S - Capital Center S Mortgage DK A/Negative/A-1 A+ very strong 2 aa-
Realkredit Danmark A/S - Capital Center T Mortgage DK A/Negative/A-1 A+ very strong 2 aa-
Realkredit Danmark A/S - General Capital Center Mortgage DK A/Negative/A-1 A+ very strong 2 aa-
Totalkredit A/S - Capital Center C Mortgage DK A/Positive/A-1 A+ very strong 2 aa-
Abanca Corporacion Bancaria SA Mortgage ES BB+/Positive/B N/A very strong 2 bbb
Banco Bilbao Vizcaya Argentaria S.A. Mortgage ES A-/Negative/A-2 A very strong 2 a+
Bankia S.A. Mortgage ES BBB/Stable/A-2 BBB+ very strong 2 a-
Bankinter S.A. Mortgage ES BBB+/Stable/A-2 N/A very strong 2 a
CaixaBank S.A. Mortgage ES BBB+/Stable/A-2 A- very strong 2 a
Cajamar Caja Rural, S.C.C. Mortgage ES NR/NR/NR NR very strong 2 W/H
Ibercaja Banco S.A. Mortgage ES BB+/Stable/B N/A very strong 2 bbb
Kutxabank S.A. Mortgage ES BBB/Positive/A-2 N/A very strong 2 a-
Bank of Aland PLC - Category FIN Covered Bonds Mortgage FI BBB/Positive/A-2 N/A very strong 2 a-
Bank of Aland PLC - Category SWE Covered Bonds Mortgage FI BBB/Positive/A-2 N/A very strong 2 a-
OMA Savings Bank Mortgage FI BBB+/Stable/A-2 N/A very strong 2 a
OP Mortgage Bank (second program 2011) Mortgage FI AA-/Stable/A-1+ AA- very strong 2 aa+
Sp Mortgage Bank plc Mortgage FI A-/Stable/A-2 N/A very strong 2 a+
The Mortgage Society of Finland Mortgage FI BBB/Stable/A-2 N/A very strong 2 a-
AXA Home Loan SFH Mortgage FR A+/Stable/A-1+ N/A very strong 2 aa
BNP Paribas Home Loan SFH Mortgage FR A+/Stable/A-1 AA- very strong 2 aa
BNP Paribas Public Sector SCF Public FR A+/Stable/A-1 AA- very strong 2 aa
BPCE SFH Mortgage FR A+/Stable/A-1 AA- very strong 2 aa
Caisse Francaise de Financement Local Public FR AA/Stable/A-1+ N/A very strong 0 aa
Compagnie de Financement Foncier Mixed FR A+/Stable/A-1 AA- very strong 2 aa
Credit Agricole Home Loan SFH Covered Bond Program Mortgage FR A+/Stable/A-1 AA- very strong 2 aa
Credit Agricole Public Sector SCF Public FR A+/Stable/A-1 AA- very strong 2 aa
Credit Mutuel-CIC Home Loan SFH Mortgage FR A/Stable/A-1 A+ very strong 2 aa-
GE SCF S.C.A Public FR BBB+/Stable/A-2 N/A W/H W/H W/H
HSBC SFH (France) Mortgage FR AA-/Stable/A-1+ AA- very strong 2 aa+
La Banque Postale Home Loan SFH Mortgage FR A/Positive/A-1 N/A very strong 2 aa-
MMB SCF Covered Bond Program Mortgage FR BBB-/Stable/A-3 N/A very strong 2 bbb+
Societe Generale SCF Public FR A/Positive/A-1 A+ very strong 2 aa-
Eurobank Ergasias Covered Bond Programme I Mortgage GR B-/Stable/B B- strong 2 b+
Eurobank Ergasias Covered Bond Programme III Mortgage GR B-/Stable/B B- strong 0 b-
National Bank Of Greece CB2 Mortgage Mortgage GR B-/Stable/B B- strong 2 b+
National Bank Of Greece CB1 Mortgage Mortgage GR B-/Stable/B B- strong 2 b+
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program Mortgage HU BB/Stable/B N/A strong W/H bbb-
AIB Mortgage Bank Mortgage IE BBB+/Stable/A-2 A- very strong 2 a
UniCredit SpA Obbligazioni Bancarie Garantite Programme Mortgage IT BBB/Stable/A-2 BBB+ very strong 2 a-
AEGON Bank N.V. Covered Bond Programme Mortgage NL A+/Negative/A-1+ N/A strong 2 aa
Van Lanschot N.V. Covered Bond Programme Mortgage NL BBB+/Stable/A-2 N/A strong 2 a
ING Bank N.V. Mortgage NL A+/Stable/A-1 AA- strong 2 aa
ING Bank N.V. Soft Bullet Covered Bond Programme Mortgage NL A+/Stable/A-1 AA- strong 2 aa
NN Bank N.V. Covered Bond Programme Mortgage NL A-/Stable/A-1 N/A strong 0 a-
NIBC Bank N.V. Covered Bond Programme Mortgage NL BBB+/Stable/A-2 A- strong 2 a
DNB Boligkreditt AS Mortgage NO AA-/Stable/A-1+ AA- very strong 2 aa+
Eiendomskreditt AS Mortgage NO BBB/Negative/A-2 N/A very strong 2 a-
Gjensidige Bank Boligkreditt AS Mortgage NO A+/Positive/A-1 N/A very strong 2 aa
Storebrand Boligkreditt AS Mortgage NO A-/Stable/A-2 N/A very strong 2 a+
Danske Hypotek Mortgage SE A/Negative/A-1 A+ very strong 2 aa-
Landshypotek Bank AB Mortgage SE A-/Stable/A-2 N/A very strong 2 a+
Lansforsakringar Hypotek Mortgage SE A/Stable/A-1 N/A very strong 2 aa-
Nordea Hypotek AB Mortgage SE AA-/Stable/A-1+ AA- very strong 2 aa+
Sparbank Skane Mortgage SE A-/Stable/A-2 N/A very strong 2 a+
Swedbank Mortgage AB Mortgage SE AA-/Watch Neg/A-1+ AA- very strong 2 aa+
Bank of Scotland PLC Covered Bond Programme Mortgage UK A+/Stable/A-1 AA- moderate 1 aa-
Bank of Scotland PLC Social Housing Covered Bond Programme Public UK A+/Stable/A-1 AA- moderate 1 aa-
Barclays Bank PLC Global Covered Bond Programme Mortgage UK A/Stable/A-1 A+ moderate 1 a+
Nationwide Building Society Global Covered Bond Programme Mortgage UK A/Positive/A-1 A+ moderate 1 a+
Santander UK PLC Global Covered Bond Programme Mortgage UK A/Stable/A-1 A+ moderate 1 a+
Korea Housing Finance Corp. Social Covered Bonds Mortgage KR AA/Stable/A-1+ N/A weak 0 aa
United Overseas Bank Ltd. Global Covered Bond Programme Mortgage SG AA-/Stable/A-1+ N/A moderate 0 aa-
*When applicable, we have indicated here the rating on the parent bank from which we uplift the rating. §Government support or intervention. †As per our "Assessments For Jurisdictional Support According To Our Covered Bonds Criteria," published Oct. 16, 2018. W/H--Withheld at the issuer's request. NR--Not rated. N/A--No RCR assigned.

Table 3  |  View Expanded Table

Jurisdiction-Supported Rating Level (JRL)
Issuer/CB program Asset type Country of issuer RRL JSA* Max uplift for jurisdictional support Sovereign rating Unused notches of jurisdictional support JRL
Anadi Bank Covered Bond Program Mortgage AT N/A N/A 3 AA+ N/A N/A
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT aa+ very strong 0 AA+ 0 aa+
Kommunalkredit Austria Public Sector Covered Bonds Public AT W/H very strong 3 AA+ W/H W/H
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) Mortgage AT aa- very strong 3 AA+ 1 aa+
Oberösterreichische Landesbank AG Mortgage Covered Bond Program Mortgage AT a+ very strong 3 AA+ 0 aa+
Belfius Bank SA/NV Mortgage BE a+ strong 2 AA 0 aa
Belfius Bank SA/NV Public BE a+ strong 2 AA 0 aa
BNP Paribas Fortis Mortgage Pandbrieven Mortgage BE aa strong 2 AA 2 aa
Deutsche Apotheker- und Aerztebank eG Mortgage DE aa+ very strong 3 AAA 2 aaa
KOFIBA-Kommunalfinanzierungsbank GmbH Public DE W/H very strong 3 AAA W/H W/H
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE aa+ very strong 3 AAA 3 aa+
DZ HYP AG Mortgage Sector Covered Bond Program Mortgage DE aa+ very strong 3 AAA 2 aaa
DZ HYP AG Public Sector Covered Bond Program Public DE aa+ very strong 3 AAA 2 aaa
NRW.BANK Public DE aa- very strong 3 AAA 0 aaa
Wuestenrot Bausparkasse AG Mortgage DE a+ very strong 3 AAA 0 aa+
Jyske Realkredit A/S- Capital Center B Mortgage DK a+ very strong 3 AAA 0 aa+
Jyske Realkredit A/S - Capital Center E Mortgage DK a+ very strong 3 AAA 0 aa+
Jyske Realkredit A/S - General Capital Center Mortgage DK a+ very strong 3 AAA 0 aa+
Danmarks Skibskredit Ship DK a- moderate 1 AAA 0 a
Danmarks Skibskredit A Ship DK a- moderate 1 AAA 0 a
Danske Bank A/S - Pool C Mortgage DK aa- very strong 3 AAA 0 aaa
Danske Bank A/S - Pool D Mortgage DK aa- very strong 3 AAA 0 aaa
Danske Bank A/S - Pool I Mortgage DK aa- very strong 3 AAA 0 aaa
DLR Kredit A/S - Capital Center B Mortgage DK a+ very strong 3 AAA 0 aa+
DLR Kredit A/S - General Capital Center Mortgage DK a+ very strong 3 AAA 0 aa+
Nordea Kredit Realkredit A/S - Capital Center 1 Mortgage DK aa+ very strong 3 AAA 2 aaa
Nordea Kredit Realkredit A/S - Capital Center 2 Mortgage DK aa+ very strong 3 AAA 2 aaa
Nykredit Realkredit A/S - Capital Center C Mortgage DK aa- very strong 3 AAA 0 aaa
Nykredit Realkredit A/S - Capital Center D Mortgage DK aa- very strong 3 AAA 0 aaa
Nykredit Realkredit A/S - Capital Center E Mortgage DK aa- very strong 3 AAA 0 aaa
Nykredit Realkredit A/S - Capital Center G Mortgage DK aa- very strong 3 AAA 0 aaa
Nykredit Realkredit A/S - Capital Center General Mortgage DK aa- very strong 3 AAA 0 aaa
Nykredit Realkredit A/S - Capital Center H Mortgage DK aa- very strong 3 AAA 0 aaa
Nykredit Realkredit A/S - Capital Center I Mortgage DK aa- very strong 3 AAA 0 aaa
Realkredit Danmark A/S - Capital Center S Mortgage DK aa- very strong 3 AAA 0 aaa
Realkredit Danmark A/S - Capital Center T Mortgage DK aa- very strong 3 AAA 0 aaa
Realkredit Danmark A/S - General Capital Center Mortgage DK aa- very strong 3 AAA 0 aaa
Totalkredit A/S - Capital Center C Mortgage DK aa- very strong 3 AAA 0 aaa
Abanca Corporacion Bancaria SA Mortgage ES bbb very strong 3 A- 1 a-
Banco Bilbao Vizcaya Argentaria S.A. Mortgage ES a+ very strong 0 A- 0 a+
Bankia S.A. Mortgage ES a- very strong 3 A- 3 a-
Bankinter S.A. Mortgage ES a very strong 3 A- 3 a
CaixaBank S.A. Mortgage ES a very strong 0 A- 0 a
Cajamar Caja Rural, S.C.C. Mortgage ES W/H very strong 3 A- W/H W/H
Ibercaja Banco S.A. Mortgage ES bbb very strong 3 A- 1 a-
Kutxabank S.A. Mortgage ES a- very strong 3 A- 3 a-
Bank of Aland PLC - Category FIN Covered Bonds Mortgage FI a- very strong 3 AA+ 0 aa-
Bank of Aland PLC - Category SWE Covered Bonds Mortgage FI a- very strong 3 AA+ 0 aa-
OMA Savings Bank Mortgage FI a very strong 3 AA+ 0 aa
OP Mortgage Bank (second program 2011) Mortgage FI aa+ very strong 3 AA+ 3 aa+
Sp Mortgage Bank plc Mortgage FI a+ very strong 3 AA+ 0 aa+
The Mortgage Society of Finland Mortgage FI a- very strong 3 AA+ 0 aa-
AXA Home Loan SFH Mortgage FR aa very strong 0 AA 3 aa
BNP Paribas Home Loan SFH Mortgage FR aa very strong 3 AA 3 aa
BNP Paribas Public Sector SCF Public FR aa very strong 3 AA 3 aa
BPCE SFH Mortgage FR aa very strong 3 AA 3 aa
Caisse Francaise de Financement Local Public FR aa very strong W/H AA 0 aa
Compagnie de Financement Foncier Mixed FR aa very strong 3 AA 3 aa
Credit Agricole Home Loan SFH Covered Bond Program Mortgage FR aa very strong 3 AA 3 aa
Credit Agricole Public Sector SCF Public FR aa very strong 3 AA 3 aa
Credit Mutuel-CIC Home Loan SFH Mortgage FR aa- very strong 3 AA 2 aa
GE SCF S.C.A Public FR W/H W/H W/H AA W/H W/H
HSBC SFH (France) Mortgage FR aa+ very strong 3 AA 3 aa+
La Banque Postale Home Loan SFH Mortgage FR aa- very strong 3 AA 2 aa
MMB SCF Covered Bond Program Mortgage FR bbb+ very strong 3 AA 0 a+
Societe Generale SCF Public FR aa- very strong 3 AA 2 aa
Eurobank Ergasias Covered Bond Programme I Mortgage GR b+ weak 0 B+ 0 b+
Eurobank Ergasias Covered Bond Programme III Mortgage GR b- weak 0 B+ 0 b-
National Bank Of Greece CB2 Mortgage Mortgage GR b+ weak 0 B+ 0 b+
National Bank Of Greece CB1 Mortgage Mortgage GR b+ weak 0 B+ 0 b+
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program Mortgage HU bbb- strong 2 BBB 1 bbb
AIB Mortgage Bank Mortgage IE a very strong 3 A+ 2 a+
UniCredit SpA Obbligazioni Bancarie Garantite Programme Mortgage IT a- very strong 3 BBB 0 a-
AEGON Bank N.V. Covered Bond Programme Mortgage NL aa strong 2 AAA 0 aaa
Van Lanschot N.V. Covered Bond Programme Mortgage NL a strong 2 AAA 0 aa-
ING Bank N.V. Mortgage NL aa strong 2 AAA 0 aaa
ING Bank N.V. Soft Bullet Covered Bond Programme Mortgage NL aa strong 2 AAA 0 aaa
NN Bank N.V. Covered Bond Programme Mortgage NL a- strong 2 AAA 0 a+
NIBC Bank N.V. Covered Bond Programme Mortgage NL a strong 2 AAA 0 aa-
DNB Boligkreditt AS Mortgage NO aa+ very strong 3 AAA 2 aaa
Eiendomskreditt AS Mortgage NO a- very strong 3 AAA 0 aa-
Gjensidige Bank Boligkreditt AS Mortgage NO aa very strong 3 AAA 1 aaa
Storebrand Boligkreditt AS Mortgage NO a+ very strong 3 AAA 0 aa+
Danske Hypotek Mortgage SE aa- very strong 3 AAA 0 aaa
Landshypotek Bank AB Mortgage SE a+ very strong 3 AAA 0 aa+
Lansforsakringar Hypotek Mortgage SE aa- very strong 3 AAA 0 aaa
Nordea Hypotek AB Mortgage SE aa+ very strong 3 AAA 2 aaa
Sparbank Skane Mortgage SE a+ very strong 3 AAA 0 aa+
Swedbank Mortgage AB Mortgage SE aa+ very strong 3 AAA 2 aaa
Bank of Scotland PLC Covered Bond Programme Mortgage UK aa- moderate 1 AA 0 aa
Bank of Scotland PLC Social Housing Covered Bond Programme Public UK aa- moderate 1 AA 0 aa
Barclays Bank PLC Global Covered Bond Programme Mortgage UK a+ moderate 1 AA 0 aa-
Nationwide Building Society Global Covered Bond Programme Mortgage UK a+ moderate 1 AA 0 aa-
Santander UK PLC Global Covered Bond Programme Mortgage UK a+ moderate 1 AA 0 aa-
Korea Housing Finance Corp. Social Covered Bonds Mortgage KR aa weak 0 AA 0 aa
United Overseas Bank Ltd. Global Covered Bond Programme Mortgage SG aa- moderate 1 AAA 0 aa
*As per our "Assessments For Jurisdictional Support According To Our Covered Bonds Criteria," published Oct. 16, 2018. §We equalize our rating on SFIL with that on France. N/A--Not applicable. W/H--Withheld at the issuer's request.

Table 4  |  View Expanded Table

Collateral Support
Issuer/CB program Asset type Country of issuer TCE (%) ACE (%) Potential collateral-based uplift 6 month liquidity adjustment OC commitment adjustment Achievable collateral-based uplift Actual O/C level for current rating (%)
Anadi Bank Covered Bond Program Mortgage AT 14.14 23.72 N/A No No N/A 14.14
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT N/A 58.23 N/A N/A N/A N/A 0.00
Kommunalkredit Austria Public Sector Covered Bonds Public AT 23.01 14.68 0 Yes Yes 0 1.50
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) Mortgage AT 23.30 135.75 4 Yes Yes 2 21.07
Oberösterreichische Landesbank AG Mortgage Covered Bond Program Mortgage AT 25.14 40.39 0 Yes No 0 2.00
Belfius Bank SA/NV Mortgage BE 11.57 17.31 4 No Yes 3 10.26
Belfius Bank SA/NV Public BE 25.98 32.89 4 No Yes 3 18.50
BNP Paribas Fortis Mortgage Pandbrieven Mortgage BE 7.92 27.15 4 No Yes 3 6.44
Deutsche Apotheker- und Aerztebank eG Mortgage DE 8.17 15.13 4 No Yes 3 5.99
KOFIBA-Kommunalfinanzierungsbank GmbH Public DE 25.08 2.42 0 No Yes 0 1.81
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE W/H 104.76 0 Yes Yes 0 6.38
DZ HYP AG Mortgage Sector Covered Bond Program Mortgage DE 10.51 15.97 4 No Yes 3 7.86
DZ HYP AG Public Sector Covered Bond Program Public DE 16.42 20.39 4 No Yes 3 12.16
NRW.BANK Public DE 34.58 86.00 4 Yes Yes 2 21.98
Wuestenrot Bausparkasse AG Mortgage DE 9.27 26.33 4 No Yes 3 7.92
Jyske Realkredit A/S- Capital Center B Mortgage DK 14.30 24.31 4 No Yes 3 14.29
Jyske Realkredit A/S - Capital Center E Mortgage DK 4.22 6.00 4 No Yes 3 3.67
Jyske Realkredit A/S - General Capital Center Mortgage DK 7.14 10.26 4 No Yes 3 6.04
Danmarks Skibskredit Ship DK 1.50 20.20 3 Yes Yes 0 1.50
Danmarks Skibskredit A Ship DK 1.50 22.16 3 Yes Yes 0 1.50
Danske Bank A/S - Pool C Mortgage DK 22.52 23.23 4 No Yes 3 13.25
Danske Bank A/S - Pool D Mortgage DK 8.71 9.44 4 No Yes 3 2.50
Danske Bank A/S - Pool I Mortgage DK 23.31 20.94 3 No Yes 2 9.94
DLR Kredit A/S - Capital Center B Mortgage DK 12.70 15.37 4 No Yes 3 11.64
DLR Kredit A/S - General Capital Center Mortgage DK 2.56 10.19 4 No Yes 3 2.56
Nordea Kredit Realkredit A/S - Capital Center 1 Mortgage DK 13.86 42.49 4 No Yes 3 7.93
Nordea Kredit Realkredit A/S - Capital Center 2 Mortgage DK 5.40 14.78 4 No Yes 3 2.98
Nykredit Realkredit A/S - Capital Center C Mortgage DK 17.43 34.80 4 No Yes 3 14.96
Nykredit Realkredit A/S - Capital Center D Mortgage DK 13.39 16.64 4 No Yes 3 13.39
Nykredit Realkredit A/S - Capital Center E Mortgage DK 3.57 3.37 3 No Yes 2 2.73
Nykredit Realkredit A/S - Capital Center G Mortgage DK 28.49 32.62 4 No Yes 3 27.22
Nykredit Realkredit A/S - Capital Center General Mortgage DK 11.43 3,188.45 4 No Yes 3 11.43
Nykredit Realkredit A/S - Capital Center H Mortgage DK 2.50 3.35 4 No Yes 3 2.50
Nykredit Realkredit A/S - Capital Center I Mortgage DK 27.37 47.44 4 No Yes 3 23.17
Realkredit Danmark A/S - Capital Center S Mortgage DK 6.72 7.01 4 No Yes 3 5.59
Realkredit Danmark A/S - Capital Center T Mortgage DK 3.70 6.63 4 No Yes 3 3.31
Realkredit Danmark A/S - General Capital Center Mortgage DK 10.30 11.37 4 No Yes 3 10.25
Totalkredit A/S - Capital Center C Mortgage DK 6.63 48.61 4 No Yes 3 4.54
Abanca Corporacion Bancaria SA Mortgage ES 43.63 454.30 4 No No 4 43.63
Banco Bilbao Vizcaya Argentaria S.A. Mortgage ES 39.44 136.97 4 No Yes 3 34.74
Bankia S.A. Mortgage ES 45.41 142.09 4 No Yes 3 45.41
Bankinter S.A. Mortgage ES 29.51 122.34 4 No No 4 25.33
CaixaBank S.A. Mortgage ES 29.21 64.96 4 No Yes 3 29.21
Cajamar Caja Rural, S.C.C. Mortgage ES 47.94 130.52 N/A No No W/H 47.94
Ibercaja Banco S.A. Mortgage ES 36.09 211.80 4 No Yes 3 36.09
Kutxabank S.A. Mortgage ES 45.01 641.32 4 No No 4 45.01
Bank of Aland PLC - Category FIN Covered Bonds Mortgage FI 25.76 44.96 4 No No 4 22.33
Bank of Aland PLC - Category SWE Covered Bonds Mortgage FI 46.69 109.61 4 No No 4 39.31
OMA Savings Bank Mortgage FI 32.92 34.62 4 No No 4 21.49
OP Mortgage Bank (second program 2011) Mortgage FI 3.48 21.60 4 No Yes 3 2.50
Sp Mortgage Bank plc Mortgage FI 25.93 80.79 4 No No 4 12.54
The Mortgage Society of Finland Mortgage FI 15.37 22.77 4 No No 4 12.21
AXA Home Loan SFH Mortgage FR 3.58 35.39 4 No No 4 2.50
BNP Paribas Home Loan SFH Mortgage FR 23.05 23.93 4 No No 4 12.86
BNP Paribas Public Sector SCF Public FR 29.69 41.59 4 No No 4 29.69
BPCE SFH Mortgage FR 9.73 31.73 4 No No 4 8.29
Caisse Francaise de Financement Local Public FR 20.40 12.12 2 No Yes 1 8.72
Compagnie de Financement Foncier Mixed FR 12.58 17.94 4 No Yes 3 11.63
Credit Agricole Home Loan SFH Covered Bond Program Mortgage FR 8.97 41.52 4 No No 4 6.85
Credit Agricole Public Sector SCF Public FR 15.57 45.56 4 No No 4 12.75
Credit Mutuel-CIC Home Loan SFH Mortgage FR 9.55 39.91 4 No No 4 8.71
GE SCF S.C.A Public FR W/H 60.58 W/H W/H W/H N/A 23.56
HSBC SFH (France) Mortgage FR 26.02 37.88 4 No No 4 10.58
La Banque Postale Home Loan SFH Mortgage FR 8.20 40.53 4 No Yes 3 7.50
MMB SCF Covered Bond Program Mortgage FR 22.64 26.71 4 No No 4 22.64
Societe Generale SCF Public FR 5.57 85.71 4 No No 4 2.50
Eurobank Ergasias Covered Bond Programme I Mortgage GR 11.10 37.82 N/A No No N/A 11.10
Eurobank Ergasias Covered Bond Programme III Mortgage GR 11.35 19.66 N/A No No N/A 11.35
National Bank Of Greece CB2 Mortgage Mortgage GR 12.90 28.44 N/A No No N/A 12.90
National Bank Of Greece CB1 Mortgage Mortgage GR 15.95 41.79 N/A No No N/A 15.95
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program Mortgage HU N/A 17.75 0 N/A N/A 0 4.00
AIB Mortgage Bank Mortgage IE 14.97 51.76 4 No No 4 14.97
UniCredit SpA Obbligazioni Bancarie Garantite Programme Mortgage IT 25.14 52.28 4 No No 4 22.32
AEGON Bank N.V. Covered Bond Programme Mortgage NL 2.50 18.41 N/A No No N/A 2.50
Van Lanschot N.V. Covered Bond Programme Mortgage NL 4.35 15.95 N/A No No N/A 4.35
ING Bank N.V. Mortgage NL 17.22 22.49 4 No No 4 2.89
ING Bank N.V. Soft Bullet Covered Bond Programme Mortgage NL 17.19 22.97 4 No No 4 4.40
NN Bank N.V. Covered Bond Programme Mortgage NL 3.87 19.39 N/A No No N/A 3.87
NIBC Bank N.V. Covered Bond Programme Mortgage NL 2.50 18.59 N/A No No N/A 2.50
DNB Boligkreditt AS Mortgage NO 16.62 37.55 4 Yes Yes 2 4.33
Eiendomskreditt AS Mortgage NO 21.77 25.77 4 No No 4 21.77
Gjensidige Bank Boligkreditt AS Mortgage NO 26.53 22.26 2 No No 2 9.57
Storebrand Boligkreditt AS Mortgage NO 24.65 18.30 2 No No 2 13.51
Danske Hypotek Mortgage SE 27.80 41.67 4 No No 4 8.85
Landshypotek Bank AB Mortgage SE 26.98 38.24 4 Yes Yes 2 22.01
Lansforsakringar Hypotek Mortgage SE 21.14 28.60 4 Yes Yes 2 8.16
Nordea Hypotek AB Mortgage SE 19.13 54.53 4 Yes Yes 2 7.18
Sparbank Skane Mortgage SE 33.21 30.77 3 Yes No 2 20.06
Swedbank Mortgage AB Mortgage SE 23.58 89.40 4 Yes Yes 2 6.96
Bank of Scotland PLC Covered Bond Programme Mortgage UK 24.72 42.86 4 No No 4 16.26
Bank of Scotland PLC Social Housing Covered Bond Programme Public UK 42.65 80.96 4 No No 4 42.65
Barclays Bank PLC Global Covered Bond Programme Mortgage UK 14.29 48.64 4 No No 4 11.81
Nationwide Building Society Global Covered Bond Programme Mortgage UK 10.34 46.17 4 No No 4 9.83
Santander UK PLC Global Covered Bond Programme Mortgage UK 7.14 46.32 4 No No 4 6.02
Korea Housing Finance Corp. Social Covered Bonds Mortgage KR N/A 15.00 N/A No No 2 5.15
United Overseas Bank Ltd. Global Covered Bond Programme Mortgage SG 22.96 75.84 4 No No 2 13.93
TCE--Target credit enhancement. ACE--Actual credit enhancement. WH--Withheld at the issuer's request. N/A--Not applicable.

Table 5  |  View Expanded Table

Mortgage Covered Bond Characteristics (Credit Risk)
Issuer/CB program Country of issuer Reporting date Resi (%) Com (%) Pub (%) Other (%) WAFF (%) WALS (%) WAFF & WALS (%) WA time to recovery - mortgage assets (years) WA whole loan LTV (%) AAA credit risk (%)
Anadi Bank Covered Bond Program AT 4/1/2019 63.05 35.22 0.00 1.73 22.01 29.26 6.44 2.17 63.32 14.14
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) AT 3/31/2019 81.74 18.26 0.00 0.00 24.85 38.67 9.61 2.28 57.85 14.38
Oberösterreichische Landesbank AG Mortgage Covered Bond Program AT 4/1/2019 77.42 20.58 2.00 0.00 12.31 11.88 1.46 2.29 35.79 20.84
Belfius Bank SA/NV BE 4/1/2019 100.00 0.00 0.00 0.00 17.91 25.75 4.61 3.00 51.52 6.34
BNP Paribas Fortis Mortgage Pandbrieven BE 3/31/2019 99.55 0.00 0.00 0.45 15.74 26.41 4.16 3.00 58.63 2.50
Deutsche Apotheker- und Aerztebank eG DE 3/31/2019 74.75 21.24 0.00 4.01 24.55 23.24 5.71 2.25 55.70 5.99
DZ HYP AG Mortgage Sector Covered Bond Program DE 4/30/2019 30.94 65.59 0.00 3.47 19.30 32.79 6.33 1.84 43.72 7.86
Wuestenrot Bausparkasse AG DE 3/31/2019 80.77 13.57 0.00 5.66 9.73 8.13 0.79 2.15 42.62 6.56
Jyske Realkredit A/S- Capital Center B DK 3/31/2019 54.77 23.42 0.00 21.81 13.62 23.44 3.19 1.35 65.60 14.30
Jyske Realkredit A/S - Capital Center E DK 3/31/2019 54.53 31.42 8.39 5.66 16.16 35.03 5.66 1.32 58.84 3.59
Jyske Realkredit A/S - General Capital Center DK 12/31/2018 44.71 17.78 0.00 37.51 13.80 32.90 4.54 1.04 67.42 6.04
Danmarks Skibskredit DK 3/31/2019 0.00 0.00 0.00 100.00 N/A N/A N/A N/A N/A N/A
Danmarks Skibskredit A DK 6/30/2019 0.00 0.00 0.00 100.00 N/A N/A N/A N/A N/A N/A
Danske Bank A/S - Pool C DK 4/1/2019 0.00 100.00 0.00 0.00 25.05 48.05 12.04 1.00 51.24 13.25
Danske Bank A/S - Pool D DK 3/31/2019 100.00 0.00 0.00 0.00 10.28 51.26 5.27 1.50 58.28 2.50
Danske Bank A/S - Pool I DK 3/31/2019 100.00 0.00 0.00 0.00 15.61 45.37 7.08 1.50 58.70 9.94
DLR Kredit A/S - Capital Center B DK 3/31/2019 13.17 73.51 0.00 13.32 27.66 52.78 14.60 1.08 61.37 10.57
DLR Kredit A/S - General Capital Center DK 3/31/2019 43.53 48.50 0.00 7.97 19.32 13.68 2.64 1.24 42.77 2.56
Nordea Kredit Realkredit A/S - Capital Center 1 DK 3/31/2019 63.83 6.35 0.00 29.82 21.28 23.28 4.95 1.46 54.21 7.93
Nordea Kredit Realkredit A/S - Capital Center 2 DK 3/31/2019 58.88 28.45 0.00 12.67 14.58 43.32 6.32 1.34 65.12 2.98
Nykredit Realkredit A/S - Capital Center C DK 3/31/2019 43.26 22.22 8.71 25.81 13.16 10.99 1.45 1.33 13.02 14.96
Nykredit Realkredit A/S - Capital Center D DK 3/31/2019 49.72 34.65 0.00 15.63 21.20 29.25 6.20 1.19 64.38 13.39
Nykredit Realkredit A/S - Capital Center E DK 3/31/2019 79.13 12.92 0.00 7.95 11.27 31.10 3.50 1.43 76.05 2.73
Nykredit Realkredit A/S - Capital Center G DK 3/31/2019 4.27 70.98 0.15 24.60 27.53 85.25 23.47 1.04 58.92 27.22
Nykredit Realkredit A/S - Capital Center General DK 3/31/2019 1.55 1.11 0.00 97.34 15.50 20.20 3.13 1.29 26.48 11.43
Nykredit Realkredit A/S - Capital Center H DK 3/31/2019 63.28 31.87 3.27 1.59 15.13 35.49 5.37 1.34 77.25 2.50
Nykredit Realkredit A/S - Capital Center I DK 3/31/2019 14.54 51.94 0.00 33.52 24.17 80.86 19.54 1.12 60.92 23.17
Realkredit Danmark A/S - Capital Center S DK 3/31/2019 63.68 22.56 0.00 13.76 15.78 31.18 4.92 1.37 63.15 5.59
Realkredit Danmark A/S - Capital Center T DK 3/31/2019 48.98 35.65 4.32 11.06 17.19 33.68 5.79 1.29 50.61 3.31
Realkredit Danmark A/S - General Capital Center DK 3/31/2019 38.21 24.00 25.19 12.60 17.03 24.21 4.12 1.31 46.20 10.30
Totalkredit A/S - Capital Center C DK 3/31/2019 67.58 0.00 0.00 32.42 6.69 3.59 0.24 1.50 36.94 4.54
Abanca Corporacion Bancaria SA ES 6/30/2019 79.48 20.52 N/A N/A 31.70 42.32 13.42 3.20 65.00 35.49
Banco Bilbao Vizcaya Argentaria S.A. ES 6/30/2019 84.26 15.74 0.00 N/A 27.22 37.85 10.30 3.26 78.29 20.65
Bankia S.A. ES 5/30/2019 88.51 11.49 N/A N/A 31.73 39.52 12.54 3.32 59.06 35.15
Bankinter S.A. ES 6/30/2019 75.25 24.75 N/A N/A 21.70 33.87 7.35 3.10 53.74 12.79
CaixaBank S.A. ES 4/1/2019 77.38 22.62 0.00 0.00 28.06 36.61 10.27 3.16 52.33 21.74
Cajamar Caja Rural, S.C.C. ES 6/30/2019 78.30 21.70 N/A N/A 31.50 34.87 10.98 3.17 53.41 17.91
Ibercaja Banco S.A. ES 3/31/2019 85.84 14.16 0.00 0.00 20.45 37.22 7.61 3.29 59.87 20.66
Kutxabank S.A. ES 6/30/2019 91.92 8.08 N/A N/A 20.53 34.88 7.16 45.49 58.13 18.13
Bank of Aland PLC - Category FIN Covered Bonds FI 4/1/2019 90.47 N/A N/A 9.53 12.17 12.41 1.51 2.00 56.20 12.02
Bank of Aland PLC - Category SWE Covered Bonds FI 4/1/2019 100.00 N/A N/A N/A 18.55 60.93 11.30 1.50 52.96 17.16
OMA Savings Bank FI 1/4/2019 95.87 4.13 0.00 0.00 25.64 17.17 4.40 1.96 55.61 10.05
OP Mortgage Bank (second program 2011) FI 4/1/2019 100.00 0.00 0.00 0.00 16.53 7.50 1.24 2.00 44.46 2.50
Sp Mortgage Bank plc FI 3/31/2019 100.00 0.00 0.00 0.00 16.45 18.39 3.03 2.00 58.68 8.07
The Mortgage Society of Finland FI 4/1/2019 34.18 65.82 0.00 0.00 16.42 12.08 1.98 1.17 32.80 2.72
AXA Home Loan SFH FR 6/30/2019 100.00 0.00 0.00 0.00 14.27 37.56 5.36 3.13 69.61 2.50
BNP Paribas Home Loan SFH FR 5/30/2019 98.24 0.00 0.00 1.76 12.17 24.94 3.04 2.92 54.90 12.86
BPCE SFH FR 5/31/2019 97.02 N/A N/A N/A 13.08 38.89 5.09 3.30 64.60 8.29
Compagnie de Financement Foncier FR 3/31/2019 54.90 0.55 34.72 9.82 15.37 46.22 7.10 2.89 89.90 8.77
Credit Agricole Home Loan SFH Covered Bond Program FR 4/30/2019 97.70 0.00 0.00 2.30 15.16 28.31 4.29 3.08 61.20 6.85
Credit Mutuel-CIC Home Loan SFH FR 4/30/2019 100.00 0.00 0.00 0.00 12.41 28.47 3.53 3.08 60.09 7.87
HSBC SFH (France) FR 4/30/2019 100.00 0.00 0.00 0.00 20.00 36.79 7.36 3.00 62.84 10.58
La Banque Postale Home Loan SFH FR 2/28/2019 99.72 0.00 0.00 0.28 10.39 31.67 3.29 2.39 60.40 5.40
MMB SCF Covered Bond Program FR 4/9/2019 96.36 0.00 0.00 3.64 27.92 26.86 7.50 3.00 58.74 7.89
Eurobank Ergasias Covered Bond Programme I GR 3/30/2019 100.00 0.00 0.00 0.00 16.59 32.64 5.41 7.00 61.01 11.10
Eurobank Ergasias Covered Bond Programme III GR 4/1/2019 100.00 0.00 0.00 0.00 24.60 27.70 6.81 7.00 58.02 11.35
National Bank Of Greece CB2 Mortgage GR 3/31/2019 100.00 0.00 0.00 0.00 12.78 17.87 2.28 7.00 46.60 12.90
National Bank Of Greece CB1 Mortgage GR 11/30/2018 100.00 0.00 0.00 0.00 26.60 36.60 9.74 7.00 64.76 15.95
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program HU 3/31/2019 88.03 2.93 0.00 9.05 20.94 6.52 1.37 5.00 N/A N/A
AIB Mortgage Bank IE 6/30/2019 99.90 0.00 N/A 0.10 21.05 26.82 5.65 3.50 58.30 2.50
UniCredit SpA Obbligazioni Bancarie Garantite Programme IT 3/31/2019 93.09 0.00 0.00 6.91 10.40 13.22 1.37 5.25 51.03 13.85
AEGON Bank N.V. Covered Bond Programme NL 4/1/2019 100.00 0.00 0.00 0.00 13.70 16.09 2.20 1.50 68.80 2.50
Van Lanschot N.V. Covered Bond Programme NL 3/31/2019 100.00 0.00 N/A N/A 16.47 39.42 6.49 1.50 67.89 4.35
ING Bank N.V. NL 4/30/2019 100.00 0.00 0.00 0.00 9.27 29.51 2.74 1.50 64.12 2.89
ING Bank N.V. Soft Bullet Covered Bond Programme NL 3/31/2019 100.00 0.00 0.00 0.00 14.29 44.03 6.29 1.50 84.33 4.40
NN Bank N.V. Covered Bond Programme NL 5/30/2019 100.00 0.00 0.00 0.00 17.00 45.14 7.67 1.50 81.13 3.87
NIBC Bank N.V. Covered Bond Programme NL 3/31/2019 100.00 0.00 0.00 0.00 18.13 34.04 6.17 1.50 79.20 2.50
DNB Boligkreditt AS NO 3/31/2019 97.00 3.00 0.00 0.00 11.15 35.69 3.98 1.49 54.30 4.33
Eiendomskreditt AS NO 3/31/2019 0.00 95.75 0.00 4.25 25.19 39.55 9.96 1.00 42.82 21.77
Gjensidige Bank Boligkreditt AS NO 3/31/2019 97.59 0.00 0.28 2.13 13.11 33.42 4.38 1.50 62.49 9.57
Storebrand Boligkreditt AS NO 4/30/2019 100.00 0.00 0.00 0.00 20.73 39.77 8.24 1.50 57.56 9.80
Danske Hypotek SE 4/1/2019 100.00 0.00 0.00 0.00 15.78 61.72 9.74 1.50 55.46 8.85
Landshypotek Bank AB SE 3/26/2019 47.63 46.30 0.00 6.07 18.16 36.74 6.67 1.25 43.93 7.09
Lansforsakringar Hypotek SE 3/31/2019 95.37 0.00 4.63 0.00 14.17 49.98 7.08 1.50 60.20 8.16
Nordea Hypotek AB SE 3/31/2019 81.00 17.00 2.00 0.00 14.75 41.13 6.07 1.42 68.54 7.18
Sparbank Skane SE 4/30/2019 100.00 0.00 0.00 0.00 15.17 48.59 7.37 1.50 49.20 6.91
Swedbank Mortgage AB SE 3/31/2019 84.47 14.97 0.56 0.00 11.89 44.37 5.28 1.42 57.81 6.96
Bank of Scotland PLC Covered Bond Programme UK 1/1/2019 100.00 0.00 0.00 0.00 9.58 30.35 2.91 1.50 49.97 7.80
Barclays Bank PLC Global Covered Bond Programme UK 5/31/2019 99.70 N/A N/A 0.30 7.46 36.34 2.71 1.50 44.62 4.36
Nationwide Building Society Global Covered Bond Programme UK 4/1/2019 99.76 0.00 0.00 0.24 17.78 32.74 5.82 1.50 49.95 8.31
Santander UK PLC Global Covered Bond Programme UK 3/31/2019 87.69 0.00 0.00 12.31 11.67 41.04 4.79 1.50 68.71 2.66
Korea Housing Finance Corp. Social Covered Bonds KR 6/18/2019 100.00 0.00 0.00 0.00 17.80 42.10 5.15 1.50 60.90 5.15
United Overseas Bank Ltd. Global Covered Bond Programme SG 6/28/2019 100.00 0.00 0.00 0.00 5.07 48.03 2.44 1.65 55.60 4.89
CB--Covered bond. Resi--Residential assets in the cover pool. Com--Commercial assets in the cover pool. Pub--Public-sector assets in the cover pool. Other--Includes substitute assets and other assets. WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. WA--Weighted-average. LTV--Loan-to-value ratio. N/A--Not applicable/available. W/H--Withheld at the issuer's request.

Table 6  |  View Expanded Table

Mortgage Covered Bond Characteristics
Issuer/CB program Country of issuer Reporting date WAM assets (years) WAM liabilities (years) WAM assets minus WAM liabilities (years) Soft-bullet WA target asset spread - mortgage assets (bps) Target CE nominal (%) Actual CE nominal (%)
Anadi Bank Covered Bond Program AT 4/1/2019 16.84 N/A N/A CPT W/H 14.14 23.72
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) AT 3/31/2019 9.54 11.25 (1.71) Mixed 550.37 23.30 135.75
Oberösterreichische Landesbank AG Mortgage Covered Bond Program AT 4/1/2019 8.90 9.39 (0.49) No 545.73 25.14 40.39
Belfius Bank SA/NV BE 4/1/2019 6.59 7.36 (0.77) Yes 425.00 11.57 17.31
BNP Paribas Fortis Mortgage Pandbrieven BE 3/31/2019 7.64 7.78 (0.14) Yes 425.00 7.92 27.15
Deutsche Apotheker- und Aerztebank eG DE 3/31/2019 5.79 7.39 (1.60) No 629.39 8.17 15.13
DZ HYP AG Mortgage Sector Covered Bond Program DE 4/30/2019 7.40 8.40 (1.00) No 786.14 10.51 15.97
Wuestenrot Bausparkasse AG DE 3/31/2019 4.27 5.71 (1.44) No 507.12 9.27 26.33
Jyske Realkredit A/S- Capital Center B DK 3/31/2019 7.59 9.12 (1.53) Mixed 559.50 14.30 24.31
Jyske Realkredit A/S - Capital Center E DK 3/31/2019 13.53 14.45 (0.92) Mixed 634.98 4.22 6.00
Jyske Realkredit A/S - General Capital Center DK 12/31/2018 10.72 11.75 (1.03) Mixed 590.89 7.14 10.26
Danmarks Skibskredit DK 3/31/2019 0.00 0.00 0.00 No 0.00 1.50 20.20
Danmarks Skibskredit A DK 6/30/2019 2.35 3.25 (0.90) No N/A 1.50 22.16
Danske Bank A/S - Pool C DK 4/1/2019 2.27 4.48 (2.21) No 1,000.00 22.52 23.23
Danske Bank A/S - Pool D DK 3/31/2019 11.48 4.84 6.64 Yes 425.00 8.71 9.44
Danske Bank A/S - Pool I DK 3/31/2019 12.23 4.16 8.07 Yes 425.00 23.31 20.94
DLR Kredit A/S - Capital Center B DK 3/31/2019 11.41 13.01 (1.60) Mixed 912.74 12.70 15.37
DLR Kredit A/S - General Capital Center DK 3/31/2019 7.05 7.51 (0.46) No 729.59 2.56 10.19
Nordea Kredit Realkredit A/S - Capital Center 1 DK 3/31/2019 6.66 8.36 (1.70) No 477.08 13.86 42.49
Nordea Kredit Realkredit A/S - Capital Center 2 DK 3/31/2019 12.68 14.07 (1.39) Mixed 613.13 5.40 14.78
Nykredit Realkredit A/S - Capital Center C DK 3/31/2019 4.72 4.49 0.23 Mixed 620.10 17.43 34.80
Nykredit Realkredit A/S - Capital Center D DK 3/31/2019 8.83 9.54 (0.71) Mixed 781.59 13.39 16.64
Nykredit Realkredit A/S - Capital Center E DK 3/31/2019 14.20 14.56 (0.36) Mixed 505.70 3.57 3.37
Nykredit Realkredit A/S - Capital Center G DK 3/31/2019 9.76 11.26 (1.50) Mixed 951.78 28.49 32.62
Nykredit Realkredit A/S - Capital Center General DK 3/31/2019 5.51 5.66 (0.15) No 666.00 11.43 3,188.45
Nykredit Realkredit A/S - Capital Center H DK 3/31/2019 12.91 13.21 (0.30) Mixed 605.59 2.50 3.35
Nykredit Realkredit A/S - Capital Center I DK 3/31/2019 8.87 11.06 (2.19) Mixed 862.80 27.37 47.44
Realkredit Danmark A/S - Capital Center S DK 3/31/2019 13.00 13.77 (0.77) Mixed 575.42 6.72 7.01
Realkredit Danmark A/S - Capital Center T DK 3/31/2019 13.85 14.86 (1.01) Mixed 666.13 3.70 6.63
Realkredit Danmark A/S - General Capital Center DK 3/31/2019 8.96 9.66 (0.70) Mixed 644.60 10.30 11.37
Totalkredit A/S - Capital Center C DK 3/31/2019 6.25 7.98 (1.73) Mixed 425.00 6.63 48.61
Abanca Corporacion Bancaria SA ES 6/30/2019 18.35 6.66 11.69 No 759.46 43.63 454.30
Banco Bilbao Vizcaya Argentaria S.A. ES 6/30/2019 17.73 4.55 13.18 No 747.96 39.44 136.97
Bankia S.A. ES 5/30/2019 20.07 5.68 14.39 No 735.31 45.41 142.09
Bankinter S.A. ES 6/30/2019 19.72 4.79 14.93 No 7.80 29.51 122.34
CaixaBank S.A. ES 4/1/2019 16.32 5.77 10.55 No 767.87 29.21 64.96
Cajamar Caja Rural, S.C.C. ES 6/30/2019 18.40 2.67 15.73 No 765.09 47.94 130.52
Ibercaja Banco S.A. ES 3/31/2019 18.89 4.18 14.71 No 742.47 36.09 211.80
Kutxabank S.A. ES 6/30/2019 20.52 3.46 17.06 No 724.25 45.01 641.32
Bank of Aland PLC - Category FIN Covered Bonds FI 4/1/2019 6.87 3.91 2.96 Mixed 425.00 25.76 44.96
Bank of Aland PLC - Category SWE Covered Bonds FI 4/1/2019 22.71 3.83 18.88 Mixed 425.00 46.69 109.61
OMA Savings Bank FI 1/4/2019 7.70 5.44 2.26 Yes 448.75 32.92 34.62
OP Mortgage Bank (second program 2011) FI 4/1/2019 6.64 5.70 0.94 Yes 425.00 3.48 21.60
Sp Mortgage Bank plc FI 3/31/2019 9.54 4.25 5.29 Yes 425.00 25.93 80.79
The Mortgage Society of Finland FI 4/1/2019 9.58 5.75 3.83 Yes 803.09 15.37 22.77
AXA Home Loan SFH FR 6/30/2019 8.44 9.00 (0.56) Yes 463.72 3.58 35.39
BNP Paribas Home Loan SFH FR 5/30/2019 13.08 4.78 8.30 Mixed 425.00 23.05 23.93
BPCE SFH FR 5/31/2019 13.65 7.00 6.65 Mixed 433.93 9.73 31.73
Compagnie de Financement Foncier FR 3/31/2019 10.28 7.56 2.72 No 467.72 12.58 17.94
Credit Agricole Home Loan SFH Covered Bond Program FR 4/30/2019 13.10 6.97 6.13 Mixed 425.00 8.97 41.52
Credit Mutuel-CIC Home Loan SFH FR 4/30/2019 N/A 5.53 N/A Mixed 454.17 9.55 39.91
HSBC SFH (France) FR 4/30/2019 13.58 3.75 9.83 Mixed 425.00 26.02 37.88
La Banque Postale Home Loan SFH FR 2/28/2019 7.78 7.64 0.14 No 425.00 8.20 40.53
MMB SCF Covered Bond Program FR 4/9/2019 9.95 9.18 0.77 Yes 467.46 22.64 26.71
Eurobank Ergasias Covered Bond Programme I GR 3/30/2019 16.67 N/A N/A CPT N/A 11.10 37.82
Eurobank Ergasias Covered Bond Programme III GR 4/1/2019 14.77 N/A 13.57 CPT 0.00 11.35 19.66
National Bank Of Greece CB2 Mortgage GR 3/31/2019 11.97 N/A N/A CPT N/A 12.90 28.44
National Bank Of Greece CB1 Mortgage GR 11/30/2018 20.82 N/A (13.69) CPT 0.00 15.95 41.79
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program HU 3/31/2019 12.73 2.53 10.20 No N/A N/A 17.75
AIB Mortgage Bank IE 6/30/2019 10.71 5.77 4.94 Mixed 1,000.00 14.97 51.76
UniCredit SpA Obbligazioni Bancarie Garantite Programme IT 3/31/2019 14.69 4.06 10.63 N/A 700.00 25.14 52.28
AEGON Bank N.V. Covered Bond Programme NL 4/1/2019 25.97 N/A N/A CPT N/A 2.50 18.41
Van Lanschot N.V. Covered Bond Programme NL 3/31/2019 18.84 N/A N/A CPT 425.00 4.35 15.95
ING Bank N.V. NL 4/30/2019 16.70 5.70 11.00 Mixed 425.00 17.22 22.49
ING Bank N.V. Soft Bullet Covered Bond Programme NL 3/31/2019 20.50 7.30 13.20 Yes 425.00 17.19 22.97
NN Bank N.V. Covered Bond Programme NL 5/30/2019 31.22 6.76 24.46 CPT 425.00 3.87 19.39
NIBC Bank N.V. Covered Bond Programme NL 3/31/2019 22.93 N/A N/A CPT N/A 2.50 18.59
DNB Boligkreditt AS NO 3/31/2019 12.56 5.38 7.18 Mixed 441.90 16.62 37.55
Eiendomskreditt AS NO 3/31/2019 7.20 4.61 2.59 Yes 1,000.00 21.77 25.77
Gjensidige Bank Boligkreditt AS NO 3/31/2019 12.42 3.75 8.67 Yes 425.00 26.53 22.26
Storebrand Boligkreditt AS NO 4/30/2019 13.00 3.77 9.23 Yes 425.00 24.65 18.3
Danske Hypotek SE 4/1/2019 14.50 3.75 10.75 No 425.00 27.80 41.67
Landshypotek Bank AB SE 3/26/2019 20.10 3.63 16.47 No 425.00 26.98 38.24
Lansforsakringar Hypotek SE 3/31/2019 13.77 4.13 9.64 No 425.00 21.14 28.6
Nordea Hypotek AB SE 3/31/2019 8.81 2.96 5.85 No 518.00 19.13 54.53
Sparbank Skane SE 4/30/2019 24.49 4.42 20.07 No 425.00 33.21 30.77
Swedbank Mortgage AB SE 3/31/2019 12.25 3.55 8.70 No 512.78 23.58 89.4
Bank of Scotland PLC Covered Bond Programme UK 1/1/2019 13.11 2.87 10.24 Yes 425.00 24.72 42.86
Barclays Bank PLC Global Covered Bond Programme UK 5/31/2019 12.65 3.75 8.90 Mixed 425.00 14.29 48.64
Nationwide Building Society Global Covered Bond Programme UK 4/1/2019 18.92 6.05 12.87 Mixed 425.00 10.34 46.17
Santander UK PLC Global Covered Bond Programme UK 3/31/2019 18.00 4.42 13.58 Mixed 425.00 7.14 46.32
Korea Housing Finance Corp. Social Covered Bonds KR 6/18/2019 N/A N/A N/A No N/A N/A 15
United Overseas Bank Ltd. Global Covered Bond Programme SG 6/28/2019 20.12 4.12 16.00 Yes 425.00 22.96 75.84
WAM--Weighted-average maturity. WA--Weighted-average. Bps--Basis points. CE--Credit enhancement. N/A--Not applicable. W/H--Withheld at issuer's request. CPT--Conditional pass-through

Table 7  |  View Expanded Table

Non-Mortgage Covered Bond Characteristics (Credit Risk)
Issuer/CB program Asset type Country of issuer Reporting date Resi (%) Com (%) Pub (%) Other (%) SDR (%) WA rating (%)
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT 3/31/2019 0.00 0.00 100.00 0.00 N/A N/A
Kommunalkredit Austria Public Sector Covered Bonds Public AT 3/31/2019 0.00 0.00 100.00 0.00 27.59 BBB+
Belfius Bank SA/NV Public BE 3/31/2019 0.00 0.00 100.00 0.00 35.91 BBB-
KOFIBA-Kommunalfinanzierungsbank GmbH Public DE 3/31/2019 0.00 0.00 100.00 0.00 32.80 A-
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE 3/31/2019 0.00 0.16 99.84 0.00 W/H W/H
DZ HYP AG Public Sector Covered Bond Program Public DE 3/31/2019 0.00 0.00 100.00 0.00 25.88 A-
NRW.BANK Public DE 12/31/2018 0.00 0.00 100.00 0.00 83.18 B-
Danmarks Skibskredit Ship DK 3/31/2019 0.00 0.00 0.00 100.00 N/A N/A
Danmarks Skibskredit A Ship DK 6/30/2019 0.00 0.00 0.00 100.00 N/A N/A
CB--Covered bond. Resi--Residential assets in the cover pool. Com--Commercial assets in the cover pool. Pub--Public-sector assets in the cover pool. Other--Includes substitute assets and other assets. SDR--Scenario default rate. WA--Weighted-average. N/A--Not applicable. W/H--Withheld at the issuer's request.

Table 8  |  View Expanded Table

Non-Mortgage Covered Bond Characteristics
Issuer/CB program Asset type Country of issuer Reporting date WAM assets (years) WAM liabilities (years) WAM assets minus WAM liabilities (years) Soft-bullet WA target asset spread - public assets (bps) Target CE nominal (%) Actual CE nominal (%)
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT 3/31/2019 7.34 3.92 3.42 No N/A N/A 58.23
Kommunalkredit Austria Public Sector Covered Bonds Public AT 3/31/2019 5.99 4.31 1.68 No 394.15 23.01 14.68
Belfius Bank SA/NV Public BE 3/31/2019 6.97 5.56 1.41 Yes 400.00 25.98 32.89
KOFIBA-Kommunalfinanzierungsbank GmbH Public DE 3/31/2019 8.94 6.34 2.60 No 236.83 25.08 2.42
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE 3/31/2019 W/H W/H W/H No 413.69 W/H 104.76
DZ HYP AG Public Sector Covered Bond Program Public DE 3/31/2019 8.94 8.50 0.44 No 254.10 16.42 20.39
NRW.BANK Public DE 12/31/2018 6.48 9.14 (2.66) No 150.00 34.58 86.00
Danmarks Skibskredit Ship DK 3/31/2019 3.40 4.30 (0.90) No N/A 1.50 20.20
Danmarks Skibskredit A Ship DK 6/30/2019 2.35 3.25 (0.90) No N/A 1.50 22.16
CB--Covered bond. WAM--Weighted-average maturities. WA--Weighted-average. Bps--Basis points. CE--Credit enhancement. N/A--Not applicable. W/H--Withheld at the issuer's request.

This report does not constitute a rating action.

Primary Credit Analysts:Antonio Farina, Madrid (34) 91-788-7226;
antonio.farina@spglobal.com
Marta Escutia, Madrid (34) 91 788 7225;
marta.escutia@spglobal.com
Judit O Woelk, Frankfurt (49) 69-33-999-319;
judit.woelk@spglobal.com
Maria Luisa Gomez Grande, Madrid (34) 91-788-7208;
marisa.gomez@spglobal.com
Analytical Manager:Barbara Florian, Milan (39) 02-72111-265;
barbara.florian@spglobal.com

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