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COMMENTS

Global Covered Bond Insights Q3 2019


Global Covered Bond Insights Q3 2019

During the third quarter, S&P Global Ratings has raised its credit ratings on one covered bond program and affirmed its credit ratings on 14 programs.

We have also assigned our rating to AXA Home Loan SFH's covered bond program (see "AXA Home Loan SFH's French Covered Bonds Assigned 'AAA' Rating; Outlook Stable ," published on July 5, 2019).

Covered Bond Programs No Longer Under Criteria Observation

On March 8, 2019, we published our criteria for analyzing counterparty risk in structured finance transactions (see "Counterparty Risk Framework: Methodology And Assumptions," published on March 8, 2019). As a consequence, we placed under criteria observation the ratings on 14 programs that could potentially be affected (see "Ratings Placed Under Criteria Observation Due To Revised Counterparty Risk Criteria," published on March 8, 2019). Following our review, our ratings on these covered bond programs are no longer under criteria observation. We have affirmed the ratings on these covered bonds.

We have also raised our ratings on one Spanish covered bond program, following the issuer's commitment to maintain a minimum level of overcollateralization commensurate with the maximum potential notches of collateral-based uplift (see "Kutxabank's Spanish Mortgage Covered Bond Program Ratings Raised; Outlook Positive" published on July 19, 2019).

2019 Issuance Expected To Be In Line With 2018

European covered bond issuance had a strong first part of 2019, supported by record low interest rates, the implementation of a common EU legislative framework, increasing interest from new legislations, and the growth of green and sustainable covered bonds (see "Harmonization Accomplished: A New European Covered Bond Framework," published on April 18, 2019, "New Covered Bond Markets Set To Expand Amid Legislative And Market Developments," published on March 21, 2019, and "Are Covered Bonds Becoming More Sustainable?" published on Sept. 6, 2019).

Issuance to date this year has increased compared with previous years, but favorable market conditions could push financial institutions to issue more junior instruments in their capital structure, and new central bank funding could also lower covered bond volumes. Therefore we expect year-end issuance to be aligned with 2018.

Chart 1

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Key Recent Publications

The issuance of environmental and social-themed covered bonds has steadily risen in the past 12 months. On Sept. 6, 2019, we published an article titled "Are Covered Bonds Becoming More Sustainable?" which describes the recent developments, opportunities, and challenges facing the sustainable covered bond market. It also discusses the nature of the collateral backing social bonds and how we measure the social impact. We have considered the benefits of the covered bond structure in enabling environmental and social finance and how the structure supports good governance. Additionally, our article describes how we capture green and social factors and overall environmental, social, and governance (ESG) performance in our credit rating criteria.

S&P Global Ratings has received several questions about its analytical approach to rating Japanese covered bonds. In a report published on Sept. 6, 2019, we explain how the uplift above the issuer credit rating will be determined by the jurisdictional support and collateral analysis, how we assess the jurisdictional support as moderate, and how we can assign up to four notches of collateral-based uplift to covered bonds exposed to refinancing risks (see "Credit FAQ: How We Rate Japanese Covered Bonds," published on Sept. 6, 2019).

We've also published a series of reports taking a closer look at specific covered bond markets. In each article, we present the local covered bond market, we explain how the relevant legal framework works, we provide an overview on the local mortgage market, we compare key characteristics of the existing programs, and we present the results of a scenario analysis. In July we published our report on the Danish market, in which we review how it has developed, its key features, and its prospects (see "Danish Covered Bond Market Insights," published on July 12, 2019). This article followed our reports on the Netherlands, Spain, France, Germany, and Sweden (see "Dutch Covered Bond Market Insights," published on Sept. 7, 2018; "Spanish Covered Bond Market Insights," published on Jan. 10, 2019; "French Covered Bond Market Insights 2019," published on Jan. 31, 2019; "German Covered Bond Market Insights 2019" published on Feb. 28, 2019, and "Swedish Covered Bond Market Insights 2019," published on April 29, 2019).

Credit Conditions In Europe

Heightened near-term (mainly geopolitical) risks are feeding uncertainty and weighing on economic fundamentals. Financial markets have certainly welcomed the proactive policy response of the Federal Reserve and European Central Bank to counter the risk of an accelerating trade-induced slowdown in the global economy, but how long this persists in the face of heightened uncertainty and growing near-term risks remains an open question. The geopolitical and political landscape is becoming more divisive and unpredictable, with Brexit, trade, and fiscal imbalances in Italy being the most material known risks for the region. The EU growth outlook remains subdued mainly due to external demand weakness, with domestic demand held up by a vibrant labor market and high capacity utilization. We see no signs of inflation picking up anytime soon. The macroeconomic outlook will prevent the ECB from raising rates until second-quarter 2021 in our view. While beneficial for servicing and raising debt, this also reflects the underlying economic fragility across the system and presents business challenges for banks' profitability, insurers' earnings, and activity in structured finance (see "The Eurozone's Open Economy Makes It More Vulnerable To Escalating Trade Conflicts," published on June 26, 2019, and "Credit Conditions EMEA: Double, Double Toil And Trouble," published on June 27, 2019.

Table 1

Main European Economic Indicators
Central forecast
Germany France Italy Spain Netherlands Eurozone U.K.
Real GDP (% change)
2018 1.5 1.7 0.7 2.6 2.6 1.9 1.4
2019(f) 0.6 1.4 0.1 2.3 1.7 1.1 1.2
2020(f) 1.1 1.4 0.5 1.9 1.6 1.3 1.4
2021(f) 1.2 1.4 0.7 1.7 1.5 1.3 1.3
2022(f) 1.1 1.4 0.8 1.5 1.4 1.3 1.8
Unemployment rate (%)
2018 3.4 9.1 10.6 15.3 3.8 8.2 4.1
2019(f) 3.2 8.8 10.3 13.8 3.3 7.7 3.8
2020(f) 3.2 8.8 10.1 13 3.2 7.5 4.2
2021(f) 3.1 8.7 10 12.3 3.2 7.3 4.5
2022(f) 3 8.7 9.9 11.9 3.2 7.2 4.6
f--S&P Global Ratings' European Economic Forecast, June 2019. Source: S&P Global Ratings.

We expect that housing prices will increase further over our forecast horizon through 2021, but at a slower pace than previously. Among the main European countries, only Italy is an exception to this trend. Economic and financial conditions should remain broadly supportive of housing demand. Although economic momentum is abating in the eurozone and is set to remain moderate in the U.K., we expect wage growth to accelerate further on the back of tight labor markets. Moreover, mortgage interest rates should edge up only slowly, as European central banks are very gradually reducing the degree of monetary accommodation. We do not expect credit standards on housing loans to tighten anytime soon. Higher real disposable income, very gradual rises in interest rates, and fierce competition among banks suggest that credit standards should remain relatively favorable (see "Europe's Housing Markets Ease Off The Accelerator," published on Feb. 19, 2019).

Table 2

European Housing Market Forecasts
Nominal house prices, % change Y/Y 2016 2017 2018e 2019f 2020f 2021f
Belgium 2.5 3.6 2.8 2.8 2.3 2
France 1.6 3.3 2.8 2.4 2 2
Germany 6.8 4.5 4.5 3.9 3.3 3
Ireland 8.6 11.9 7.5 5.5 4.5 4
Italy 0.2 -1.2 -0.7 0.5 1.3 1.6
Netherlands 6.7 8.5 9.2 6.3 5.3 4.2
Portugal 7.7 10.5 7.9 5 4 4
Spain 4.5 7.3 6.6 4.5 3.4 3
United Kingdom 5.3 4.7 2.4 1.5 2.5 4
Sources: S&P Global Ratings, OECD, Hypoport. Y/Y--Year on year as of fourth-quarter. e--estimate. f--Forecast.

Global Covered Bonds Core Characteristics And Risk Indicators

Since second-quarter 2019, we have assigned our ratings to AXA Home Loan SFH's covered bond program. We have raised our ratings on one Spanish covered bond program, and we have affirmed our rating on 14 covered bond programs.

Table 3

Covered Bond Rating Actions This Quarter
Issuer Country of issuer Covered bond type Asset type Current covered bond rating Covered bond rating in Q2 2019 ICR
Upgraded
Kutxabank S.A. Spain LCB/CH Mortgage AA/Positive/-- AA-/Positive/-- BBB/Positive/A-2
Affirmed
KOFIBA-Kommunalfinanzierungsbank GmbH Germany LCB/OPF Public AA+/Stable/-- AA+/Positive/-- NR/NR/NR
Jyske Realkredit A/S - Capital Center E Denmark LCB/SDO Mortgage AAA/Stable/A-1+ AAA/Stable/A-1+ A-/Positive/A-2
Danmarks Skibskredit A/S Denmark LCB/RO Ship A/Stable/-- A/Negative/-- BBB+/Stable/A-2
Danmarks Skibskredit A/S Capital Centre A (Særligt Dækkede Obligationer) Covered Program Denmark LCB/SDO Ship A/Stable/-- A/Negative/-- BBB+/Stable/A-2
Danske Bank A/S - Pool D Denmark LCB/SDO Mortgage AAA/Stable/-- AAA/Stable/-- A/Negative/A-1
Danske Bank A/S - Pool I Denmark LCB/SDO Mortgage AAA/Stable/-- AAA/Stable/-- A/Negative/A-1
Bank of Aland PLC - Category FIN Covered Bonds Finland LCB/FCB Mortgage AAA/Stable/-- AAA/Stable/-- BBB/Positive/A-2
The Mortgage Society of Finland Finland LCB/FCB Mortgage AAA/Stable/-- AAA/Stable/-- BBB/Stable/A-2
Eiendomskreditt AS Norway LCB/OMF Mortgage AAA/Stable/-- AAA/Stable/-- BBB/Negative/A-2
Danske Hypotek Covered Bond Program Sweden LCB/SO Mortgage AAA/Stable/-- AAA/Stable/-- A/Negative/A-1
Bank of Scotland PLC Covered Bond Programme U.K. SCB Mortgage AAA/Stable/-- AAA/Stable/-- A+/Stable/A-1
Barclays Bank PLC Global Covered Bond Programme U.K. SCB Mortgage AAA/Stable/-- AAA/Stable/-- A/Stable/A-1
Nationwide Building Society Global Covered Bond Programme U.K. SCB Mortgage AAA/Stable/-- AAA/Stable/-- A/Positive/A-1
Santander UK PLC Global Covered Bond Programme U.K. SCB Mortgage AAA/Stable/-- AAA/Stable/-- A/Stable/A-1
New issue
AXA Home Loan SFH France LCB/OFH Mortgage AAA/Stable/-- NR A+/Stable/A-1+
ICR--Issuer credit rating. LCB--Legislation-enabled covered bond. CH--Cédulas Hipotecarias. SDO--Saerligt daekkede obligationer. RO--Realkreditobligationer. FCB--Finnish covered bond. OMF--Obligasjoner med fortnnrett. SO--Saekkerstaellda obligationer. SCB--Structured covered bonds. OPF--Öffentlicher pfandbrief. NR--Not rated. Source: S&P Global Ratings.

Chart 2

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Chart 3

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Looking ahead to the rest of 2019, we anticipate limited pressure on our covered bond ratings due to a historically low proportion of covered bond programs with negative outlooks.

Chart 4

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Chart 5

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The presence of "unused notches of uplift" reduces the risk of covered bond downgrades if we were to lower our rating on the issuing bank. At the same time, the availability of more credit enhancement than is required to reach the maximum collateral-based uplift under our covered bond criteria reduces the risk that covered bonds could be downgraded due to deteriorating cover pool quality.

Chart 6

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Chart 7

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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. Therefore, in this publication, "third-quarter 2019" means between June 28, 2019, and Sept. 10, 2019, inclusive.

Country Focus

Belgian and Dutch mortgage programs

Table 5

Belgian And Dutch Mortgage Covered Bond Programs
issuer covered bond type country asset type covered bond rating available OC OC in line with rating number of unused notches
Belfius Bank SA/NV (mortgage) LCB/BMP Belgium Mortgage AAA/Stable/-- 17.31 10.26 1
BNP Paribas Fortis SA/NV LCB/BMP Belgium Mortgage AAA/Stable/-- 27.15 6.44 3
ING Bank N.V. SCB The Netherlands Mortgage AAA/Stable/-- 22.49 2.89 4
ING Bank N.V. Soft Bullet SCB The Netherlands Mortgage AAA/Stable/-- 22.97 4.40 4
AEGON Bank N.V. SCB The Netherlands Mortgage AAA/--/-- 18.41 2.50 N/A
NIBC Bank N.V. SCB The Netherlands Mortgage AAA/--/-- 18.59 2.50 N/A
NN Bank N.V. SCB The Netherlands Mortgage AAA/--/-- 19.39 3.87 N/A
Van Lanschot N.V. SCB The Netherlands Mortgage AAA/--/-- 15.95 4.35 N/A
LCB--Legislation enabled covered bonds. BMP--Belgian mortgage program. SCB--Structured covered bond. OC--Overcollateralization. N/A--Not applicable.

Chart 8

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Austrian and German mortgage programs

Table 6

Austrian And German Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Unused notches
Austrian Anadi Bank LCB Austria Mortgage AA/--/-- 23.72 14.14 N/A
Oberbank AG LCB/HYPF Austria Mortgage AAA/Stable/-- 135.75 21.07 2
Oberösterreichische Landesbank LCB/HYPF Austria Mortgage AA+/Stable/-- 40.39 2.00 0
Deutsche Apotheker- und Aerztebank eG LCB/HYPF Germany Mortgage AAA/Stable/-- 15.13 5.99 5
DZ HYP AG Mortg LCB/HYPF Germany Mortgage AAA/Stable/A-1+ 15.97 7.86 5
Wuestenrot Bausparkasse AG LCB/HYPF Germany Mortgage AAA/Stable/-- 26.33 7.92 2
LCB--Legislation-enabled covered bonds. HYPF--Hypothekenpfandbrief. OC--Overcollateralization. N/A--Not applicable. W/H--Withheld.

Chart 9

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Austrian and German public sector programs

Table 7

Austrian And German Public Sector Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
KA Finanz FBS LCB/OPF Austria Public AA+/Stable/-- 58.23 0.00 0
Kommunalkredit Austria AG LCB/OPF Austria Public A/Stable/N/A 14.68 1.50 0
DZ HYP AG Public Sector Covered Bond Program Public LCB/OPF Germany Public AAA/Stable/N/A 20.39 12.16 5
KOFIBA-Kommunalfinanzierungsbank LCB/OPF Germany Public AA+/Stable/-- 2.42 1.81 W/H
DZ BANK AG Deutsche Zentral-Genossenschaftsbank LCB/OPF Germany Public AA+/Stable/A-1+ 104.76 6.38 3
NRW.BANK LCB/OPF Germany Public AAA/Stable/N/A 86.00 21.98 2
OC--Overcollateralization. LCB--Legislation-enabled covered bonds. OPF--Öffentlicher pfandbrief. N/A--Not available. W/H--Withheld.

Chart 10

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Danish særligt dækkede obligationer (SDO) and særligt dækkede realkredit obligationer (SDRO) programs

Table 8

Danish SDO And SDRO Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
Jyske Realkredit A/S - Capital Center E LCB/SDO Denmark Mortgage AAA/Stable/A-1+ 6 3.67 2
Danske Bank A/S - Pool C LCB/SDO Denmark Mortgage AAA/Stable/N/A 23.23 13.25 3
Danske Bank A/S - Pool D LCB/SDO Denmark Mortgage AAA/Stable/-- 9.44 2.5 3
Danske Bank A/S - Pool I LCB/SDO Denmark Mortgage AAA/Stable/N/A 20.94 9.94 2
DLR Kredit A/S - Capital Center B LCB/SDO Denmark Mortgage AAA/Stable/N/A 15.37 11.64 2
Nordea Kredit Realkredit A/S - Capital Center 2 LCB/SDRO Denmark Mortgage AAA/Stable/A-1+ 14.78 2.98 5
Nykredit Realkredit A/S - Capital Center E LCB/SDO Denmark Mortgage AAA/Stable/N/A 3.37 2.73 2
Nykredit Realkredit A/S - Capital Center H LCB/SDO Denmark Mortgage AAA/Stable/N/A 3.35 2.5 3
Realkredit Danmark A/S - Capital Center S LCB/SDRO Denmark Mortgage AAA/Stable/A-1+ 7.01 5.59 3
Realkredit Danmark A/S - Capital Center T LCB/SDRO Denmark Mortgage AAA/Stable/A-1+ 6.63 3.31 3
LCB--Legislation-enabled covered bonds. SDO--Saerligt daekkede obligationer. SDRO--Saerligt daekkede realkredit obligationer. OC--Overcollateralization.

Chart 11

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Danish realkreditobligationer (RO) mortgage programs

Table 9

Danish RO Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Unused notches
Jyske Realkredit A/S - Capital Center B LCB/RO Denmark Mortgage AAA/Stable/A-1+ 24.31 14.29 2
Jyske Realkredit A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/A-1+ 10.26 6.04 2
DLR Kredit A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/N/A 10.19 2.56 2
Nordea Kredit Realkredit A/S - Capital Center 1 LCB/RO Denmark Mortgage AAA/Stable/A-1+ 42.49 7.93 5
Nykredit Realkredit A/S - Capital Center C LCB/RO Denmark Mortgage AAA/Stable/N/A 34.80 14.96 3
Nykredit Realkredit A/S - Capital Center D LCB/RO Denmark Mortgage AAA/Stable/N/A 16.64 13.39 3
Nykredit Realkredit A/S - Capital Center G LCB/RO Denmark Mortgage AAA/Stable/N/A 32.62 27.22 3
Nykredit Realkredit A/S - Capital Center General LCB/RO Denmark Mortgage AAA/Stable/N/A 3,188.45 11.43 3
Nykredit Realkredit A/S - Capital Center I LCB/RO Denmark Mortgage AAA/Stable/N/A 47.44 23.17 3
Realkredit Danmark A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/N/A 11.37 10.25 3
Totalkredit A/S - Capital Center C LCB/RO Denmark Mortgage AAA/Stable/N/A 48.61 4.54 3
LCB--Legislation-enabled covered bonds. RO--Realkreditobligationer. OC--Overcollateralization.

Chart 12

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Spanish mortgage programs

Table 10

Spanish Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
Abanca Corporacion Bancaria SA LCB/CH Spain Mortgage AA/Positive/-- 454.30 43.63 1
Banco Bilbao Vizcaya Argentaria S.A. (mortgage) LCB/CH Spain Mortgage AA/Positive/-- 136.97 34.74 1
Bankia S.A. LCB/CH Spain Mortgage AA-/Positive/-- 142.09 45.41 3
Bankinter S.A. LCB/CH Spain Mortgage AA/Positive/-- 122.34 25.33 4
CaixaBank S.A. LCB/CH Spain Mortgage AA/Stable/-- 64.96 29.21 0
Cajamar Caja Rural LCB/CH Spain Mortgage AA/Stable/-- 130.52 47.94 W/H
Ibercaja Banco S.A. LCB/CH Spain Mortgage AA-/Positive/-- 211.80 36.09 1
Kutxabank S.A. LCB/CH Spain Mortgage AA/Positive/-- 641.32 45.01 3
LCB--Legislation-enabled covered bonds. CH--Cédulas hipotecarias. W/H--Withheld. OC--Overcollateralization.

Chart 13

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French mortgage programs

Table 11

French Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
AXA Home Loan SFH LCB/OFH France Mortgage AAA/Stable/N/A 35.39 2.5 5
BNP Paribas Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 23.93 12.86 5
BPCE SFH LCB/OFH France Mortgage AAA/Stable/-- 31.73 8.29 5
Credit Agricole Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 41.52 6.85 5
Credit Mutuel-CIC Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 39.91 8.71 4
HSBC SFH (France) LCB/OFH France Mortgage AAA/Stable/-- 37.88 10.58 6
La Banque Postale SFH LCB/OFH France Mortgage AAA/Stable/-- 40.53 7.50 3
MMB SCF LCB/OFH France Mortgage AAA/Stable/-- 26.71 22.64 0
LCB--Legislation-enabled covered bonds. OFH--Obligations de financement de l'habitat. SCB--Structured covered bonds. OC--Overcollateralization.

Chart 14

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French public sector programs

Table 12

French Public Sector Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
BNP Paribas Public Sector SCF LCB/OF France Public AAA/Stable/-- 41.59 29.69 5
Caisse Francaise de Financement Local LCB/OF France Public AA+/Stable/-- 12.12 8.72 0
Compagnie de Financement Foncier LCB/OF France Mixed AAA/Stable/A-1+ 17.94 11.63 4
Credit Agricole Public Sector SCF LCB/OF France Public AAA/Stable/-- 45.56 12.75 5
GE SCF S.C.A LCB/OF France Public AA/Stable/-- 60.58 23.56 W/H
Societe Generale SCF LCB/OF France Public AAA/Stable/A-1+ 85.71 2.50 4
LCB--Legislation-enabled covered bonds. OF--Obligations foncieres. W/H--Withheld. OC--Overcollateralization. N/A--Not applicable.

Chart 15

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Finnish mortgage programs

Table 13

Finnish Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
Bank of Aland PLC - Category FIN Covered Bonds LCB/FCB Finland Mortgage AAA/Stable/-- 44.96 22.33 1
Bank of Aland PLC - Category SWE Covered Bonds LCB/FCB Finland Mortgage AAA/Stable/-- 109.61 39.31 1
Mortgage Society of Finland LCB/FCB Finland Mortgage AAA/Stable/-- 22.77 12.21 1
OMA Savings Bank LCB/FCB Finland Mortgage AAA/Stable/-- 34.62 21.49 2
OP Mortgage Bank (second program 2011) LCB/FCB Finland Mortgage AAA/Stable/-- 21.60 2.50 5
Sp Mortgage Bank PLC LCB/FCB Finland Mortgage AAA/Stable/-- 80.79 12.54 3
LCB--Legislation-enabled covered bonds. FCB--Finnish covered bond. OC--Overcollateralization.

Chart 16

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Norwegian mortgage programs

Table 14

Norwegian Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
DNB Boligkreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 37.55 4.33 4
Eiendomskreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 25.77 21.77 1
Gjensidige Bank Boligkreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 22.26 9.57 3
Storebrand Boligkreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 18.30 13.51 1
LCB--Legislation-enabled covered bonds. OMF--Obligasjoner med fortnnrett. OC--Overcollateralization.

Chart 17

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Swedish mortgage programs

Table 15

Swedish Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
Danske Hypotek LCB/SO Sweden Mortgage AAA/Stable/-- 41.67 8.85 4
Landshypotek Bank AB LCB/SO Sweden Mortgage AAA/Stable/A-1+ 38.24 22.01 1
Lansforsakringar Hypotek LCB/SO Sweden Mortgage AAA/Stable/A-1+ 28.60 8.16 2
Nordea Hypotek AB LCB/SO Sweden Mortgage AAA/Stable/-- 54.53 7.18 4
Sparbank Skane LCB/SO Sweden Mortgage AAA/Stable/N/A 30.77 20.06 1
Swedbank Mortgage AB LCB/SO Sweden Mortgage AAA/Stable/A-1+ 89.40 6.96 4
LCB--Legislation-enabled covered bonds. SO--Saekerstaellda obligationer. OC--Overcollateralization.

Chart 18

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U.K. mortgage programs

Table 16

U.K. Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
Santander UK PLC SCB U.K. Mortgage AAA/Stable/-- 46.32 6.02 1
Bank of Scotland PLC SCB U.K. Mortgage AAA/Stable/-- 42.86 16.26 2
Barclays Bank PLC Global SCB U.K. Mortgage AAA/Stable/-- 48.64 11.81 1
Nationwide Building Society SCB U.K. Mortgage AAA/Stable/-- 46.17 9.83 1
SCB--Structured covered bonds. OC--Overcollateralization.

Chart 19

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Other mortgage covered bond programs

Table 17

Other Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
AIB Mortgage Bank LCB/MCS Ireland Mortgage AAA/Stable/-- 51.76 14.97 2
UniCredit SpA SCB Italy Mortgage AA-/Negative/-- 52.28 22.32 1
United Overseas Bank Ltd. SCB Singapore Mortgage AAA/Stable/-- 75.84 13.93 0
Eurobank CB I LCB/GCB Greece Mortgage BBB-/--/-- 37.82 11.10 N/A
Eurobank CB III LCB/GCB Greece Mortgage BBB-/--/-- 19.66 11.35 N/A
National Bank Of Greece CB2 LCB/GCB Greece Mortgage BBB-/--/-- 28.44 12.90 N/A
National Bank Of Greece CB1 LCB/GCB Greece Mortgage BBB-/--/-- 41.79 15.95 N/A
Takarek Mortgage Bank LCB/JL Hungary Mortgage BBB/Stable/-- 17.75 4.00 1
Korea Housing Finance LCB South-Korea Mortgage AAA/Stable/-- 15.00 5.15 0
LCB--Legislation-enabled covered bonds. GCB--Greek covered bonds. MCS--Mortgage covered securities. SCB--Structured covered bonds. OC--Overcollateralization. N/A--Not applicable.

Chart 20

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Other non-mortgage covered bond programs

Table 18

Other Non-Mortgage Covered Bond Programs
Issuer Covered bond type Country Asset type Covered bond rating Available OC (%) OC in line with rating (%) Number of unused notches
Belfius Bank SA/NV (public) LCB/BPP Belgium Public AAA/Stable/-- 32.89 18.50 1
Bank of Scotland PLC SCB United Kingdom Public AAA/Negative/-- 80.96 42.65 2
LCB--Legislation-enabled covered bonds. BPP--Belgian public sector program. SCB--Structured covered bond. OC--Overcollateralization.

Chart 21

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Rating Actions This Quarter

  • Santander UK PLC Global Covered Bond Program Ratings Affirmed At 'AAA'; Outlook Stable, Sept. 6, 2019
  • The Mortgage Society of Finland Covered Bond Ratings Affirmed At 'AAA'; Outlook Stable, Sept. 4, 2019
  • Nationwide Building Society Global Covered Bond Programme Ratings Affirmed At 'AAA'; Outlook Stable, Sept. 3, 2019
  • Outlook On Danmarks Skibskredit's Two Danish Ship Covered Bond Programs Revised To Stable; 'A' Ratings Affirmed, Sept. 2, 2019
  • Eiendomskreditt Mortgage Covered Bond Ratings Affirmed At 'AAA'; Outlook Stable, Aug. 28, 2019
  • Bank of Aland PLC Category FIN Mortgage Covered Bonds Affirmed At 'AAA'; Outlook Stable, Aug. 23, 2019
  • KOFIBA-Kommunalfinanzierungsbank German Public Sector Covered Bonds Outlook Revised To Stable; 'AA+' Ratings Affirmed, Aug. 22, 2019
  • Jyske Realkredit's Capital Center E Danish Mortgage Covered Bonds Ratings Affirmed; Outlook Stable, Aug. 19, 2019
  • Danske Bank’s Cover Pool I Danish Mortgage Covered Bonds Ratings Affirmed; Outlook Stable, Aug. 19, 2019
  • Danske Bank’s Cover Pool D Danish Mortgage Covered Bonds Ratings Affirmed; Outlook Stable, Aug. 19, 2019
  • Barclays Bank UK PLC Global Covered Bond Program Ratings Affirmed At 'AAA'; Outlook Stable, Aug. 16, 2019
  • Danske Hypotek AB Mortgage Covered Bond Ratings Affirmed At 'AAA'; Outlook Stable, Aug. 14, 2019
  • Bank of Scotland U.K. Residential Mortgage Covered Bond Ratings Affirmed At 'AAA'; Outlook Stable, Aug. 6, 2019
  • Kutxabank's Spanish Mortgage Covered Bond Program Ratings Raised; Outlook Positive, July 19, 2019
  • AXA Home Loan SFH's French Covered Bonds Assigned 'AAA' Rating; Outlook Stable, July 5, 2019

Related Criteria

  • Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
  • Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
  • Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019
  • Methodology And Assumptions: Assessing Pools Of European Residential Loans, Aug. 4, 2017
  • Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017
  • Covered Bond Ratings Framework: Methodology And Assumptions, June 30, 2015
  • Methodology And Assumptions: Analyzing European Commercial Real Estate Collateral In European Covered Bonds, March 31, 2015
  • Criteria for Rating Government-Related Entities, March 25, 2015
  • Covered Bonds Criteria, Dec. 9, 2014
  • Methodology And Assumptions For Assessing Portfolios Of International Public Sector And Other Debt Obligations Backing Covered Bonds And Structured Finance Securities, Dec. 9, 2014
  • Banks: Rating Methodology And Assumptions, Nov. 9, 2011
  • Methodology: Credit Stability Criteria, May 3, 2010
  • Use Of CreditWatch And Outlooks, Sept. 14, 2009

Related Research

  • Are Covered Bonds Becoming More Sustainable?, Sept. 6, 2019
  • Credit FAQ: How We Rate Japanese Covered Bonds, Sept. 6, 2019
  • Danish Covered Bond Market Insights 2019, July 12, 2019
  • S&P Global Ratings' Covered Bonds Primer, June 20, 2019
  • Credit FAQ: Understanding The Role Of European Secured Notes In Funding SME And Infrastructure Lending, May 21, 2019
  • Credit FAQ: How We Rate Korean Covered Bonds, May 20, 2019
  • Global Financing Conditions: Bond Issuance Is Expected To Expand 1.2% In 2019, April 29, 2019
  • Swedish Covered Bond Market Insights 2019, April 29, 2019
  • Harmonization Accomplished: A New European Covered Bond Framework, April 18, 2019
  • German Covered Bond Market Insights 2019, Feb. 28, 2019
  • French Covered Bond Market Insights 2019, Jan. 31, 2019
  • Spanish Covered Bond Market Insights, Jan. 10, 2019
  • Assessments For Jurisdictional Support According To Our Covered Bonds Criteria, Oct. 16, 2018
  • Dutch Covered Bond Market Insights, Sept. 7, 2018
  • Glossary Of Covered Bond Terms, April 27, 2018

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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