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 Q1 2020."
We currently rate 102 covered bond programs and 12 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, "first-quarter 2020" means between Dec. 13, 2019, and March 31, 2020, inclusive.
Global Covered Bonds Core Characteristics And Risk Indicators
The ratings in the following tables are as of March 31, 2020.
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
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 | Q4 Surveillance Report | Mortgage | AT | N/A | N/A | aa | aaa | aaa | N/A | AA/--/-- | |||||||||||||
KA Finanz FBS - Fundierte Bankschuldverschreibungen | 1412729 | Q4 Surveillance Report | Public | AT | aa+ | aa+ | W/H | W/H | aaa | 0 | AA+/Stable/-- | |||||||||||||
Kommunalkredit Austria Public Sector Covered Bonds | 1488062 | Q4 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 | Q4 Surveillance Report | Mortgage | AT | aa- | aa+ | aaa | aaa | aaa | 2 | AAA/Stable/-- | |||||||||||||
Oberösterreichische Landesbank AG Mortgage Covered Bond Program | 1458125 | Q4 Surveillance Report | Mortgage | AT | a+ | aa+ | aa+ | aaa | aaa | 0 | AA+/Stable/-- | |||||||||||||
Oesterreichische Kontrollbank AG Public Sector Covered Bonds | 1592871 | Q4 Surveillance Report | Public | AT | aa+ | aa+ | aa+ | aa+ | aa+ | 0 | AA+/Stable/-- | |||||||||||||
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program | 1599999 | Q4 Surveillance Report | Mortgage | AT | W/H | W/H | aaa | aaa | aaa | N/A | AAA/Stable/-- | |||||||||||||
Belfius Bank SA/NV | 1238141 | Q4 Surveillance Report | Mortgage | BE | a+ | aa | aaa | aaa | aaa | 1 | AAA/Stable/-- | |||||||||||||
Belfius Bank SA/NV | 1362876 | Q4 Surveillance Report | Public | BE | a+ | aa | aaa | aaa | aaa | 2 | AAA/Stable/-- | |||||||||||||
BNP Paribas Fortis Mortgage Pandbrieven | 1458876 | Q4 Surveillance Report | Mortgage | BE | aa | aa | aaa | aaa | aaa | 3 | AAA/Stable/-- | |||||||||||||
Deutsche Apotheker- und Aerztebank eG | 1449555 | Q4 Surveillance Report | Mortgage | DE | aa+ | aaa | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
DZ BANK AG Deutsche Zentral-Genossenschaftsbank | 1449561 | Q4 Surveillance Report | Public | DE | aa+ | aa+ | aa+ | aaa | aaa | 3 | AA+/Stable/A-1+ | |||||||||||||
DZ HYP AG Mortgage Sector Covered Bond Program | 1449557 | Q4 Surveillance Report | Mortgage | DE | aa+ | aaa | aaa | aaa | aaa | 5 | AAA/Stable/A-1+ | |||||||||||||
DZ HYP AG Public Sector Covered Bond Program | 1449559 | Q4 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 | Q4 Surveillance Report | Mortgage | DE | a+ | aa+ | aaa | aaa | aaa | 2 | AAA/Stable/-- | |||||||||||||
Jyske Realkredit A/S- Capital Center B | 1191482 | N/A | Mortgage | DK | aa- | aaa | aaa | aaa | aaa | 3 | AAA/Stable/A-1+ | |||||||||||||
Jyske Realkredit A/S - Capital Center E | 1191434 | Q4 Surveillance Report | Mortgage | DK | aa- | aaa | aaa | aaa | aaa | 3 | AAA/Stable/A-1+ | |||||||||||||
Jyske Realkredit A/S - General Capital Center | 1211781 | N/A | Mortgage | DK | aa- | aaa | aaa | aaa | aaa | 3 | AAA/Stable/A-1+ | |||||||||||||
Danmarks Skibskredit | 1425986 | N/A | Ship | DK | a- | a | a | a | aaa | 0 | A/Stable/-- | |||||||||||||
Danmarks Skibskredit A | 1563287 | Q4 Surveillance Report | Ship | DK | a- | a | a | a | aaa | N/A | A/Stable/-- | |||||||||||||
Danske Bank A/S - Pool C | 1449548 | Q4 Surveillance Report | Mortgage | DK | aa- | aaa | aaa | aaa | aaa | 1 | AAA/Stable/-- | |||||||||||||
Danske Bank A/S - Pool D | 874454 | Q4 Surveillance Report | Mortgage | DK | aa- | aaa | aaa | aaa | aaa | 3 | AAA/Stable/-- | |||||||||||||
Danske Bank A/S - Pool I | 1449550 | Q4 Surveillance Report | Mortgage | DK | aa- | aaa | aaa | aaa | aaa | 1 | AAA/Stable/-- | |||||||||||||
DLR Kredit A/S - Capital Center B | 1232307 | Q4 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 | Q4 Surveillance Report | Mortgage | DK | aa+ | aaa | aaa | aaa | aaa | 5 | AAA/Stable/A-1+ | |||||||||||||
Nordea Kredit Realkredit A/S - Capital Center 2 | 871896 | Q4 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 | 4 | AAA/Stable/-- | |||||||||||||
Nykredit Realkredit A/S - Capital Center D | 1255707 | Q4 Surveillance Report | Mortgage | DK | aa | aaa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
Nykredit Realkredit A/S - Capital Center E | 1133306 | Q4 Surveillance Report | Mortgage | DK | aa | aaa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
Nykredit Realkredit A/S - Capital Center G | 1213560 | Q4 Surveillance Report | Mortgage | DK | aa | aaa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
Nykredit Realkredit A/S - Capital Center General | 611565 | N/A | Mortgage | DK | aa | aaa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
Nykredit Realkredit A/S - Capital Center H | 1186584 | Q4 Surveillance Report | Mortgage | DK | aa | aaa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
Nykredit Realkredit A/S - Capital Center I | 1222561 | Q4 Surveillance Report | Mortgage | DK | aa | aaa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
Realkredit Danmark A/S - Capital Center S | 846629 | Q4 Surveillance Report | Mortgage | DK | aa- | aaa | aaa | aaa | aaa | 3 | AAA/Stable/A-1+ | |||||||||||||
Realkredit Danmark A/S - Capital Center T | 1195178 | Q4 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 | 4 | AAA/Stable/-- | |||||||||||||
Abanca Corporacion Bancaria SA | 1449278 | Q4 Surveillance Report | Mortgage | ES | bbb | a | aa+ | aaa | aa+ | 0 | AA+/Stable/-- | |||||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | 1449540 | Q4 Surveillance Report | Mortgage | ES | a+ | a+ | aa+ | aaa | aa+ | 0 | AA+/Negative/-- | |||||||||||||
Bankia S.A. | 1449598 | Q4 Surveillance Report | Mortgage | ES | a- | a | aa | aaa | aa+ | 2 | AA/Stable/-- | |||||||||||||
Bankinter S.A. | 1449546 | Q4 Surveillance Report | Mortgage | ES | a | a | aa+ | aaa | aa+ | 3 | AA+/Stable/-- | |||||||||||||
CaixaBank S.A. | 1449280 | Q4 Surveillance Report | Mortgage | ES | a | a | aa | aaa | aa+ | 3 | AA/Stable/-- | |||||||||||||
Cajamar Caja Rural, S.C.C. | 1449282 | Q4 Surveillance Report | Mortgage | ES | W/H | W/H | W/H | aaa | aa | W/H | AA/Stable/-- | |||||||||||||
Ibercaja Banco S.A. | 1449506 | Q4 Surveillance Report | Mortgage | ES | bbb | a | aa | aaa | aa+ | 0 | AA/Stable/-- | |||||||||||||
Kutxabank S.A. | 1449508 | Q4 Surveillance Report | Mortgage | ES | a- | a | aa+ | aaa | aa+ | 2 | AA+/Stable/-- | |||||||||||||
Bank of Aland PLC - Category FIN Covered Bonds | 1225744 | Q4 Surveillance Report | Mortgage | FI | a- | aa- | aaa | aaa | aaa | 1 | AAA/Stable/-- | |||||||||||||
Bank of Aland PLC - Category SWE Covered Bonds | 1449544 | Q4 Surveillance Report | Mortgage | FI | a- | aa- | aaa | aaa | aaa | 1 | AAA/Stable/-- | |||||||||||||
OMA Savings Bank | 1507836 | Q4 Surveillance Report | Mortgage | FI | a | aa | aaa | aaa | aaa | 0 | AAA/Stable/-- | |||||||||||||
OP Mortgage Bank (second program 2011) | 1166343 | Q4 Surveillance Report | Mortgage | FI | aa+ | aa+ | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
Sp Mortgage Bank plc | 1463917 | Q4 Surveillance Report | Mortgage | FI | a+ | aa+ | aaa | aaa | aaa | 3 | AAA/Stable/-- | |||||||||||||
The Mortgage Society of Finland | 1432951 | Q4 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 | Q4 Surveillance Report | Mortgage | FR | aa | aa | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
BPCE SFH | 1170257 | Q4 Surveillance Report | Mortgage | FR | aa | aa | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
Caisse Francaise de Financement Local | 511462 | Q4 Surveillance Report | Public | FR | aa | aa | aa+ | aa+ | aaa | 0 | AA+/Stable/-- | |||||||||||||
Compagnie de Financement Foncier | 521707 | Q4 Surveillance Report | Mixed | FR | aa | aa | aaa | aaa | aaa | 4 | AAA/Stable/A-1+ | |||||||||||||
Credit Agricole Home Loan SFH Covered Bond Program | 1029007 | Q4 Surveillance Report | Mortgage | FR | aa | aa | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
Credit Agricole Public Sector SCF | 1229766 | Q4 Surveillance Report | Public | FR | aa | aa | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
Credit Mutuel Home Loan SFH | 843192 | Q4 Surveillance Report | Mortgage | FR | aa- | aa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
GE SCF S.C.A | 1069452 | Q4 Surveillance Report | Public | FR | W/H | W/H | W/H | W/H | W/H | W/H | AA/Stable/-- | |||||||||||||
HSBC SFH (France) | 1028586 | Q4 Surveillance Report | Mortgage | FR | aa+ | aa+ | aaa | aaa | aaa | 6 | AAA/Stable/-- | |||||||||||||
La Banque Postale Home Loan SFH | 1275188 | Q4 Surveillance Report | Mortgage | FR | aa- | aa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
MMB SCF Covered Bond Program | 1542457 | Q4 Surveillance Report | Mortgage | FR | bbb+ | a+ | aaa | aaa | aaa | 0 | AAA/Stable/-- | |||||||||||||
Societe Generale SCF | 893038 | Q4 Surveillance Report | Public | FR | aa- | aa | aaa | aaa | aaa | 4 | AAA/Stable/A-1+ | |||||||||||||
Eurobank Covered Bond Programme I | 1544953 | Q4 Surveillance Report | Mortgage | GR | bb- | bb- | a | aa- | bbb+ | N/A | BBB+/--/-- | |||||||||||||
Eurobank Covered Bond Programme III | 1547351 | Q4 Surveillance Report | Mortgage | GR | bb- | bb- | a | aa- | bbb+ | N/A | BBB+/--/-- | |||||||||||||
National Bank Of Greece CB2 Mortgage | 1535236 | Q4 Surveillance Report | Mortgage | GR | bb- | bb- | a | aa | bbb+ | N/A | BBB+/--/-- | |||||||||||||
National Bank Of Greece CB1 Mortgage | 1554489 | Q4 Surveillance Report | Mortgage | GR | bb- | bb- | a | aa | bbb+ | N/A | BBB+/--/-- | |||||||||||||
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program | 1557419 | Q4 Surveillance Report | Mortgage | HU | bbb- | bbb | bbb | bbb | bbb | 1 | BBB/Positive/-- | |||||||||||||
AIB Mortgage Bank | 871323 | Q4 Surveillance Report | Mortgage | IE | a | aa- | aaa | aaa | aaa | 2 | AAA/Stable/-- | |||||||||||||
UniCredit SpA Obbligazioni Bancarie Garantite Programme | 1034488 | Q4 Surveillance Report | Mortgage | IT | a- | a- | aa | aa | aa- | 1 | AA-/Negative/-- | |||||||||||||
Korea Housing Finance Corp. Social Covered Bonds 1 | 1571251 | N/A | Mortgage | KR | aa | aa | aaa | aaa | aaa | 0 | AAA/Stable/-- | |||||||||||||
Korea Housing Finance Corp. Social Covered Bonds 2 | 1602388 | N/A | Mortgage | KR | aa | aa | aaa | aaa | aaa | 0 | AAA/Stable/-- | |||||||||||||
AEGON Bank N.V. Covered Bond Programme | 1418738 | Q4 Surveillance Report | Mortgage | NL | aa | aaa | aaa | aaa | aaa | N/A | AAA/--/-- | |||||||||||||
Van Lanschot N.V. Covered Bond Programme | 1384684 | Q4 Surveillance Report | Mortgage | NL | a | aa | aaa | aaa | aaa | N/A | AAA/--/-- | |||||||||||||
ING Bank N.V. | 1062988 | Q4 Surveillance Report | Mortgage | NL | aa | aaa | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
ING Bank N.V. Soft Bullet Covered Bond Programme | 1389274 | Q4 Surveillance Report | Mortgage | NL | aa | aaa | aaa | aaa | aaa | 5 | AAA/Stable/-- | |||||||||||||
NN Bank N.V. Covered Bond Programme | 1499877 | Q4 Surveillance Report | Mortgage | NL | a+ | aa+ | aaa | aaa | aaa | N/A | AAA/--/-- | |||||||||||||
NIBC Bank N.V. Covered Bond Programme | 1277257 | Q4 Surveillance Report | Mortgage | NL | a | aa | aaa | aaa | aaa | N/A | AAA/--/-- | |||||||||||||
DNB Boligkreditt AS | 844118 | Q4 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/-- | |||||||||||||
Nordea Direct AS | 1449504 | Q4 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 | 2 | AAA/Stable/-- | |||||||||||||
Danske Hypotek | 1496867 | Q4 Surveillance Report | Mortgage | SE | aa- | aaa | aaa | aaa | aaa | 4 | AAA/Stable/-- | |||||||||||||
Landshypotek Bank AB | 850448 | Q4 Surveillance Report | Mortgage | SE | aa- | aaa | aaa | aaa | aaa | 2 | AAA/Stable/A-1+ | |||||||||||||
Lansforsakringar Hypotek | 840843 | Q4 Surveillance Report | Mortgage | SE | aa- | aaa | aaa | aaa | aaa | 2 | AAA/Stable/A-1+ | |||||||||||||
Nordea Hypotek AB | 1022386 | Q4 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 | Q4 Surveillance Report | Mortgage | SE | aa | aaa | aaa | aaa | aaa | 3 | AAA/Stable/A-1+ | |||||||||||||
United Overseas Bank Ltd. Global Covered Bond Programme | 141 | N/A | Mortgage | SG | aa- | aa | aaa | aaa | aaa | 0 | AAA/Stable/-- | |||||||||||||
Bank of Scotland PLC Covered Bond Programme | 622563 | Q4 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 | Q4 Surveillance Report | Mortgage | UK | a+ | aa- | aaa | aaa | aaa | 1 | AAA/Stable/-- | |||||||||||||
Nationwide Building Society Global Covered Bond Programme | 752769 | Q4 Surveillance Report | Mortgage | UK | a+ | aa- | aaa | aaa | aaa | 1 | AAA/Stable/-- | |||||||||||||
Santander UK PLC Global Covered Bond Programme | 722867 | Q4 Surveillance Report | Mortgage | UK | a+ | aa- | aaa | aaa | aaa | 1 | 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
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+ | |||||||||
Oesterreichische Kontrollbank AG Public Sector Covered Bonds | Public | AT | AA+/Stable/A-1+ | N/A | very strong | 0 | aa+ | |||||||||
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program | Mortgage | AT | NR/NR/NR | N/A | very strong | 2 | W/H | |||||||||
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 | very 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-/Negative/A-1+ | N/A | very strong | 2 | aa+ | |||||||||
DZ BANK AG Deutsche Zentral-Genossenschaftsbank | Public | DE | AA-/Negative/A-1+ | N/A | very strong | 2 | aa+ | |||||||||
DZ HYP AG Mortgage Sector Covered Bond Program | Mortgage | DE | AA-/Negative/A-1+ | N/A | very strong | 2 | aa+ | |||||||||
DZ HYP AG Public Sector Covered Bond Program | Public | DE | AA-/Negative/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/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Jyske Realkredit A/S - Capital Center E | Mortgage | DK | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Jyske Realkredit A/S - General Capital Center | Mortgage | DK | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
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/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Danske Bank A/S - Pool D | Mortgage | DK | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Danske Bank A/S - Pool I | Mortgage | DK | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
DLR Kredit A/S - Capital Center B | Mortgage | DK | A-/Stable/A-2 | A | very strong | 2 | a+ | |||||||||
DLR Kredit A/S - General Capital Center | Mortgage | DK | A-/Stable/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+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Nykredit Realkredit A/S - Capital Center D | Mortgage | DK | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Nykredit Realkredit A/S - Capital Center E | Mortgage | DK | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Nykredit Realkredit A/S - Capital Center G | Mortgage | DK | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Nykredit Realkredit A/S - Capital Center General | Mortgage | DK | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Nykredit Realkredit A/S - Capital Center H | Mortgage | DK | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Nykredit Realkredit A/S - Capital Center I | Mortgage | DK | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Realkredit Danmark A/S - Capital Center S | Mortgage | DK | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Realkredit Danmark A/S - Capital Center T | Mortgage | DK | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Realkredit Danmark A/S - General Capital Center | Mortgage | DK | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Totalkredit A/S - Capital Center C | Mortgage | DK | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
Abanca Corporacion Bancaria SA | Mortgage | ES | BB+/Positive/-- | 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/-- | BBB+ | very strong | 2 | a- | |||||||||
Bankinter S.A. | Mortgage | ES | BBB+/Negative/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 | N/A | 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 | |||||||||
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 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/Stable/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 Covered Bond Programme I | Mortgage | GR | B/Stable/B | B | very strong | 2 | bb- | |||||||||
Eurobank Covered Bond Programme III | Mortgage | GR | B/Stable/B | B | very strong | 2 | bb- | |||||||||
National Bank Of Greece CB2 Mortgage | Mortgage | GR | B/Stable/B | B | very strong | 2 | bb- | |||||||||
National Bank Of Greece CB1 Mortgage | Mortgage | GR | B/Stable/B | B | very strong | 2 | bb- | |||||||||
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program | Mortgage | HU | NR/NR/NR | 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- | |||||||||
Korea Housing Finance Corp. Social Covered Bonds 1 | Mortgage | KR | AA/Stable/A-1+ | N/A | weak | 0 | aa | |||||||||
Korea Housing Finance Corp. Social Covered Bonds 2 | Mortgage | KR | AA/Stable/A-1+ | N/A | weak | 0 | aa | |||||||||
AEGON Bank N.V. Covered Bond Programme | Mortgage | NL | A+/Negative/A-1+ | N/A | very strong | 2 | aa | |||||||||
Van Lanschot N.V. Covered Bond Programme | Mortgage | NL | BBB+/Stable/A-2 | N/A | very strong | 2 | a | |||||||||
ING Bank N.V. | Mortgage | NL | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
ING Bank N.V. Soft Bullet Covered Bond Programme | Mortgage | NL | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
NN Bank N.V. Covered Bond Programme | Mortgage | NL | A-/Stable/A-1 | N/A | very strong | 2 | a+ | |||||||||
NIBC Bank N.V. Covered Bond Programme | Mortgage | NL | BBB+/Stable/A-2 | A- | very 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- | |||||||||
Nordea Direct 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/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
Landshypotek Bank AB | Mortgage | SE | A/Stable/A-1 | A+ | very strong | 2 | aa- | |||||||||
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 | A+/Stable/A-1 | AA- | very strong | 2 | aa | |||||||||
United Overseas Bank Ltd. Global Covered Bond Programme | Mortgage | SG | AA-/Stable/A-1+ | N/A | moderate | 0 | 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+ | |||||||||
*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 Mar. 4, 2020. W/H--Withheld at the issuer's request. NR--Not rated. N/A--No RCR assigned. |
Table 3
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+ | ||||||||||
Oesterreichische Kontrollbank AG Public Sector Covered Bonds | Public | AT | aa+ | very strong | 0 | AA+ | 0 | aa+ | ||||||||||
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program | Mortgage | AT | W/H | very strong | 3 | AA+ | W/H | W/H | ||||||||||
Belfius Bank SA/NV | Mortgage | BE | a+ | strong | 2 | AA | 0 | aa | ||||||||||
Belfius Bank SA/NV | Public | BE | a+ | very strong | 3 | AA | 1 | 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 | ||||||||||
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 | aa- | very strong | 3 | AAA | 0 | aaa | ||||||||||
Jyske Realkredit A/S - Capital Center E | Mortgage | DK | aa- | very strong | 3 | AAA | 0 | aaa | ||||||||||
Jyske Realkredit A/S - General Capital Center | Mortgage | DK | aa- | very strong | 3 | AAA | 0 | aaa | ||||||||||
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 | 1 | aaa | ||||||||||
Nykredit Realkredit A/S - Capital Center D | Mortgage | DK | aa | very strong | 3 | AAA | 1 | aaa | ||||||||||
Nykredit Realkredit A/S - Capital Center E | Mortgage | DK | aa | very strong | 3 | AAA | 1 | aaa | ||||||||||
Nykredit Realkredit A/S - Capital Center G | Mortgage | DK | aa | very strong | 3 | AAA | 1 | aaa | ||||||||||
Nykredit Realkredit A/S - Capital Center General | Mortgage | DK | aa | very strong | 3 | AAA | 1 | aaa | ||||||||||
Nykredit Realkredit A/S - Capital Center H | Mortgage | DK | aa | very strong | 3 | AAA | 1 | aaa | ||||||||||
Nykredit Realkredit A/S - Capital Center I | Mortgage | DK | aa | very strong | 3 | AAA | 1 | 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 | 1 | aaa | ||||||||||
Abanca Corporacion Bancaria SA | Mortgage | ES | bbb | very strong | 3 | A | 0 | a | ||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | Mortgage | ES | a+ | very strong | 3 | A | 0 | a+ | ||||||||||
Bankia S.A. | Mortgage | ES | a- | very strong | 3 | A | 2 | a | ||||||||||
Bankinter S.A. | Mortgage | ES | a | very strong | 3 | A | 3 | a | ||||||||||
CaixaBank S.A. | Mortgage | ES | a | very strong | 3 | A | 3 | 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 | 0 | a | ||||||||||
Kutxabank S.A. | Mortgage | ES | a- | very strong | 3 | A | 2 | 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 | AAA | 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 | ||||||||||
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 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 Covered Bond Programme I | Mortgage | GR | bb- | moderate | 1 | BB- | 1 | bb- | ||||||||||
Eurobank Covered Bond Programme III | Mortgage | GR | bb- | moderate | 1 | BB- | 1 | bb- | ||||||||||
National Bank Of Greece CB2 Mortgage | Mortgage | GR | bb- | moderate | 1 | BB- | 1 | bb- | ||||||||||
National Bank Of Greece CB1 Mortgage | Mortgage | GR | bb- | moderate | 1 | BB- | 1 | bb- | ||||||||||
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 | AA- | 1 | aa- | ||||||||||
UniCredit SpA Obbligazioni Bancarie Garantite Programme | Mortgage | IT | a- | very strong | 0 | BBB | 0 | a- | ||||||||||
Korea Housing Finance Corp. Social Covered Bonds 1 | Mortgage | KR | aa | weak | 0 | AA | 0 | aa | ||||||||||
Korea Housing Finance Corp. Social Covered Bonds 2 | Mortgage | KR | aa | weak | 0 | AA | 0 | aa | ||||||||||
AEGON Bank N.V. Covered Bond Programme | Mortgage | NL | aa | very strong | 3 | AAA | 0 | aaa | ||||||||||
Van Lanschot N.V. Covered Bond Programme | Mortgage | NL | a | very strong | 3 | AAA | 0 | aa | ||||||||||
ING Bank N.V. | Mortgage | NL | aa | very strong | 3 | AAA | 1 | aaa | ||||||||||
ING Bank N.V. Soft Bullet Covered Bond Programme | Mortgage | NL | aa | very strong | 3 | AAA | 1 | aaa | ||||||||||
NN Bank N.V. Covered Bond Programme | Mortgage | NL | a+ | very strong | 3 | AAA | 0 | aa+ | ||||||||||
NIBC Bank N.V. Covered Bond Programme | Mortgage | NL | a | very strong | 3 | 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- | ||||||||||
Nordea Direct 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 | aa- | very strong | 3 | AAA | 0 | aaa | ||||||||||
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 | 1 | aaa | ||||||||||
United Overseas Bank Ltd. Global Covered Bond Programme | Mortgage | SG | aa- | moderate | 1 | AAA | 0 | aa | ||||||||||
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- | ||||||||||
*As per our "Assessments For Jurisdictional Support According To Our Covered Bonds Criteria," published Mar. 3, 2020. §We equalize our rating on SFIL with that on France. N/A--Not applicable. W/H--Withheld at the issuer's request. |
Table 4
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 | 13.35 | 23.41 | N/A | No | No | N/A | 13.35 | |||||||||||
KA Finanz FBS - Fundierte Bankschuldverschreibungen | Public | AT | N/A | 52.61 | N/A | N/A | N/A | N/A | 0.00 | |||||||||||
Kommunalkredit Austria Public Sector Covered Bonds | Public | AT | 24.75 | 12.17 | 0 | Yes | Yes | 0 | 1.50 | |||||||||||
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) | Mortgage | AT | 24.45 | 221.37 | 4 | Yes | Yes | 2 | 22.01 | |||||||||||
Oberösterreichische Landesbank AG Mortgage Covered Bond Program | Mortgage | AT | 29.41 | 40.33 | 0 | Yes | No | 0 | 2.00 | |||||||||||
Oesterreichische Kontrollbank AG Public Sector Covered Bonds | Public | AT | N/A | 63.54 | 0 | Yes | Yes | 0 | N/A | |||||||||||
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program | Mortgage | AT | 17.20 | 127.46 | 4 | Yes | Yes | 2 | 17.20 | |||||||||||
Belfius Bank SA/NV | Mortgage | BE | 8.82 | 20.68 | 4 | No | Yes | 3 | 7.83 | |||||||||||
Belfius Bank SA/NV | Public | BE | 14.55 | 32.55 | 4 | No | Yes | 3 | 9.86 | |||||||||||
BNP Paribas Fortis Mortgage Pandbrieven | Mortgage | BE | 7.95 | 27.90 | 4 | No | Yes | 3 | 6.49 | |||||||||||
Deutsche Apotheker- und Aerztebank eG | Mortgage | DE | 8.23 | 17.86 | 4 | No | Yes | 3 | 5.09 | |||||||||||
DZ BANK AG Deutsche Zentral-Genossenschaftsbank | Public | DE | W/H | 125.98 | 0 | Yes | Yes | 0 | 5.71 | |||||||||||
DZ HYP AG Mortgage Sector Covered Bond Program | Mortgage | DE | 9.85 | 15.37 | 4 | No | Yes | 3 | 7.57 | |||||||||||
DZ HYP AG Public Sector Covered Bond Program | Public | DE | 16.92 | 20.90 | 4 | No | Yes | 3 | 12.83 | |||||||||||
NRW.BANK | Public | DE | 44.39 | 74.41 | 4 | Yes | Yes | 2 | 20.60 | |||||||||||
Wuestenrot Bausparkasse AG | Mortgage | DE | 9.42 | 24.19 | 4 | No | Yes | 3 | 8.22 | |||||||||||
Jyske Realkredit A/S- Capital Center B | Mortgage | DK | 11.21 | 21.09 | 4 | No | Yes | 3 | 11.21 | |||||||||||
Jyske Realkredit A/S - Capital Center E | Mortgage | DK | 4.34 | 6.35 | 4 | No | Yes | 3 | 3.62 | |||||||||||
Jyske Realkredit A/S - General Capital Center | Mortgage | DK | 7.14 | 10.26 | 4 | No | Yes | 3 | 6.04 | |||||||||||
Danmarks Skibskredit | Ship | DK | 0.00 | 18.19 | N/A | Yes | Yes | N/A | 1.50 | |||||||||||
Danmarks Skibskredit A | Ship | DK | N/A | 22.76 | N/A | N/A | Yes | N/A | W/H | |||||||||||
Danske Bank A/S - Pool C | Mortgage | DK | 21.81 | 18.26 | 2 | No | Yes | 1 | 13.17 | |||||||||||
Danske Bank A/S - Pool D | Mortgage | DK | 8.21 | 8.85 | 4 | No | Yes | 3 | 2.50 | |||||||||||
Danske Bank A/S - Pool I | Mortgage | DK | 22.21 | 16.86 | 2 | No | Yes | 1 | 8.64 | |||||||||||
DLR Kredit A/S - Capital Center B | Mortgage | DK | 11.69 | 16.26 | 4 | No | Yes | 3 | 10.70 | |||||||||||
DLR Kredit A/S - General Capital Center | Mortgage | DK | 2.87 | 9.55 | 4 | No | Yes | 3 | 2.87 | |||||||||||
Nordea Kredit Realkredit A/S - Capital Center 1 | Mortgage | DK | 15.32 | 56.94 | 4 | No | Yes | 3 | 7.50 | |||||||||||
Nordea Kredit Realkredit A/S - Capital Center 2 | Mortgage | DK | 4.59 | 22.41 | 4 | No | Yes | 3 | 2.50 | |||||||||||
Nykredit Realkredit A/S - Capital Center C | Mortgage | DK | 9.77 | 10.62 | 4 | No | Yes | 3 | 7.65 | |||||||||||
Nykredit Realkredit A/S - Capital Center D | Mortgage | DK | 13.93 | 17.28 | 4 | No | Yes | 3 | 13.93 | |||||||||||
Nykredit Realkredit A/S - Capital Center E | Mortgage | DK | 3.43 | 3.84 | 4 | No | Yes | 3 | 2.62 | |||||||||||
Nykredit Realkredit A/S - Capital Center G | Mortgage | DK | 29.40 | 30.13 | 4 | No | Yes | 3 | 28.25 | |||||||||||
Nykredit Realkredit A/S - Capital Center General | Mortgage | DK | 12.65 | 2,313.53 | 4 | No | Yes | 3 | 12.65 | |||||||||||
Nykredit Realkredit A/S - Capital Center H | Mortgage | DK | 2.89 | 3.34 | 4 | No | Yes | 3 | 2.89 | |||||||||||
Nykredit Realkredit A/S - Capital Center I | Mortgage | DK | 38.05 | 42.93 | 4 | No | Yes | 3 | 38.05 | |||||||||||
Realkredit Danmark A/S - Capital Center S | Mortgage | DK | 6.46 | 7.29 | 4 | No | Yes | 3 | 5.56 | |||||||||||
Realkredit Danmark A/S - Capital Center T | Mortgage | DK | 4.42 | 8.02 | 4 | No | Yes | 3 | 3.36 | |||||||||||
Realkredit Danmark A/S - General Capital Center | Mortgage | DK | 12.69 | 14.27 | 4 | No | Yes | 3 | 12.69 | |||||||||||
Totalkredit A/S - Capital Center C | Mortgage | DK | 2.50 | 51.07 | 4 | No | Yes | 3 | 2.50 | |||||||||||
Abanca Corporacion Bancaria SA | Mortgage | ES | 46.88 | 438.06 | 4 | No | No | 4 | 46.88 | |||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | Mortgage | ES | 36.72 | 107.72 | 4 | No | Yes | 3 | 36.72 | |||||||||||
Bankia S.A. | Mortgage | ES | 40.24 | 174.22 | 4 | No | Yes | 3 | 40.24 | |||||||||||
Bankinter S.A. | Mortgage | ES | 24.75 | 121.41 | 4 | No | No | 4 | 24.75 | |||||||||||
CaixaBank S.A. | Mortgage | ES | 31.77 | 63.44 | 4 | No | Yes | 3 | 31.77 | |||||||||||
Cajamar Caja Rural, S.C.C. | Mortgage | ES | 53.28 | 137.00 | N/A | No | No | W/H | 53.28 | |||||||||||
Ibercaja Banco S.A. | Mortgage | ES | 38.10 | 228.26 | 4 | No | Yes | 3 | 38.10 | |||||||||||
Kutxabank S.A. | Mortgage | ES | 42.87 | 720.76 | 4 | No | No | 4 | 42.87 | |||||||||||
Bank of Aland PLC - Category FIN Covered Bonds | Mortgage | FI | 24.10 | 47.32 | 4 | No | No | 4 | 20.94 | |||||||||||
Bank of Aland PLC - Category SWE Covered Bonds | Mortgage | FI | 50.43 | 60.51 | 4 | No | No | 4 | 42.12 | |||||||||||
OMA Savings Bank | Mortgage | FI | 34.37 | 26.36 | 2 | No | No | 2 | 22.15 | |||||||||||
OP Mortgage Bank (second program 2011) | Mortgage | FI | 4.96 | 29.61 | 4 | No | Yes | 3 | 2.50 | |||||||||||
Sp Mortgage Bank plc | Mortgage | FI | 19.23 | 24.92 | 4 | No | No | 4 | 10.34 | |||||||||||
The Mortgage Society of Finland | Mortgage | FI | 18.10 | 21.77 | 4 | No | No | 4 | 14.30 | |||||||||||
AXA Home Loan SFH | Mortgage | FR | 2.50 | 30.04 | 4 | No | No | 2 | 2.50 | |||||||||||
BNP Paribas Home Loan SFH | Mortgage | FR | 19.24 | 26.04 | 4 | No | No | 4 | 11.54 | |||||||||||
BPCE SFH | Mortgage | FR | 5.95 | 46.93 | 4 | No | No | 4 | 5.42 | |||||||||||
Caisse Francaise de Financement Local | Public | FR | 23.34 | 13.00 | 2 | No | Yes | 1 | 8.58 | |||||||||||
Compagnie de Financement Foncier | Mixed | FR | 10.39 | 17.20 | 4 | No | Yes | 3 | 9.73 | |||||||||||
Credit Agricole Home Loan SFH Covered Bond Program | Mortgage | FR | 7.27 | 50.91 | 4 | No | No | 4 | 5.57 | |||||||||||
Credit Agricole Public Sector SCF | Public | FR | 12.69 | 42.42 | 4 | No | No | 4 | 9.85 | |||||||||||
Credit Mutuel Home Loan SFH | Mortgage | FR | 5.62 | 53.69 | 4 | No | No | 4 | 5.62 | |||||||||||
GE SCF S.C.A | Public | FR | W/H | 59.66 | W/H | W/H | W/H | N/A | 22.86 | |||||||||||
HSBC SFH (France) | Mortgage | FR | 25.75 | 33.88 | 4 | No | No | 4 | 9.20 | |||||||||||
La Banque Postale Home Loan SFH | Mortgage | FR | 6.73 | 41.40 | 4 | No | No | 4 | 5.39 | |||||||||||
MMB SCF Covered Bond Program | Mortgage | FR | 6.25 | 33.84 | 4 | No | No | 4 | 6.25 | |||||||||||
Societe Generale SCF | Public | FR | 14.54 | 42.38 | 4 | No | No | 4 | 7.03 | |||||||||||
Eurobank Covered Bond Programme I | Mortgage | GR | 9.43 | 33.50 | N/A | No | No | N/A | 9.43 | |||||||||||
Eurobank Covered Bond Programme III | Mortgage | GR | 10.13 | 24.69 | N/A | No | No | N/A | 10.13 | |||||||||||
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 | 16.08 | 58.79 | N/A | No | No | N/A | 16.08 | |||||||||||
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program | Mortgage | HU | N/A | 10.35 | 0 | N/A | N/A | 0 | 4.00 | |||||||||||
AIB Mortgage Bank | Mortgage | IE | 14.47 | 54.00 | 4 | No | No | 4 | 11.28 | |||||||||||
UniCredit SpA Obbligazioni Bancarie Garantite Programme | Mortgage | IT | 27.20 | 40.00 | 4 | No | No | 4 | 23.90 | |||||||||||
Korea Housing Finance Corp. Social Covered Bonds 1 | Mortgage | KR | N/A | 6.24 | N/A | No | No | 2 | 5.10 | |||||||||||
Korea Housing Finance Corp. Social Covered Bonds 2 | Mortgage | KR | N/A | 25.14 | N/A | No | No | 2 | 4.17 | |||||||||||
AEGON Bank N.V. Covered Bond Programme | Mortgage | NL | 2.50 | 21.64 | N/A | No | No | N/A | 2.50 | |||||||||||
Van Lanschot N.V. Covered Bond Programme | Mortgage | NL | 4.29 | 16.40 | N/A | No | No | N/A | 4.29 | |||||||||||
ING Bank N.V. | Mortgage | NL | 18.44 | 19.40 | 4 | No | No | 4 | 2.56 | |||||||||||
ING Bank N.V. Soft Bullet Covered Bond Programme | Mortgage | NL | 18.65 | 31.39 | 4 | No | No | 4 | 4.46 | |||||||||||
NN Bank N.V. Covered Bond Programme | Mortgage | NL | 2.50 | 16.43 | N/A | No | No | N/A | 2.50 | |||||||||||
NIBC Bank N.V. Covered Bond Programme | Mortgage | NL | 2.50 | 21.81 | N/A | No | No | N/A | 2.50 | |||||||||||
DNB Boligkreditt AS | Mortgage | NO | 19.09 | 42.65 | 4 | Yes | Yes | 2 | 4.83 | |||||||||||
Eiendomskreditt AS | Mortgage | NO | 23.29 | 24.26 | 4 | No | No | 4 | 23.29 | |||||||||||
Nordea Direct AS | Mortgage | NO | 28.75 | 19.23 | 2 | No | No | 2 | 10.09 | |||||||||||
Storebrand Boligkreditt AS | Mortgage | NO | 18.23 | 16.97 | 3 | No | No | 3 | 9.99 | |||||||||||
Danske Hypotek | Mortgage | SE | 27.70 | 30.47 | 4 | No | No | 4 | 9.07 | |||||||||||
Landshypotek Bank AB | Mortgage | SE | 26.27 | 38.23 | 4 | Yes | Yes | 2 | 5.78 | |||||||||||
Lansforsakringar Hypotek | Mortgage | SE | 21.54 | 34.46 | 4 | Yes | Yes | 2 | 7.31 | |||||||||||
Nordea Hypotek AB | Mortgage | SE | 19.94 | 62.59 | 4 | Yes | Yes | 2 | 6.33 | |||||||||||
Sparbank Skane | Mortgage | SE | 35.69 | 32.16 | 3 | Yes | No | 2 | 21.44 | |||||||||||
Swedbank Mortgage AB | Mortgage | SE | 22.61 | 77.44 | 4 | Yes | Yes | 2 | 5.30 | |||||||||||
United Overseas Bank Ltd. Global Covered Bond Programme | Mortgage | SG | 24.22 | 96.36 | 4 | No | No | 2 | 14.06 | |||||||||||
Bank of Scotland PLC Covered Bond Programme | Mortgage | UK | 20.03 | 62.64 | 4 | No | No | 4 | 13.36 | |||||||||||
Bank of Scotland PLC Social Housing Covered Bond Programme | Public | UK | 42.65 | 70.97 | 4 | No | No | 4 | 42.65 | |||||||||||
Barclays Bank PLC Global Covered Bond Programme | Mortgage | UK | 12.53 | 67.04 | 4 | No | No | 4 | 10.26 | |||||||||||
Nationwide Building Society Global Covered Bond Programme | Mortgage | UK | 8.34 | 60.05 | 4 | No | No | 4 | 7.90 | |||||||||||
Santander UK PLC Global Covered Bond Programme | Mortgage | UK | 10.28 | 46.18 | 4 | No | No | 4 | 9.75 | |||||||||||
TCE--Target credit enhancement. ACE--Actual credit enhancement. WH--Withheld at the issuer's request. N/A--Not applicable. |
Table 5
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 | 12/31/2019 | 67.93 | 30.30 | 0.00 | 1.77 | 20.91 | 27.96 | 5.85 | 2.17 | 78.39 | 13.35 | ||||||||||||||
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) | AT | 9/30/2019 | 74.42 | 25.58 | 0.00 | 0.00 | 24.85 | 38.67 | 9.61 | 2.28 | 57.85 | 14.70 | ||||||||||||||
Oberösterreichische Landesbank AG Mortgage Covered Bond Program | AT | 10/1/2019 | 77.13 | 21.27 | 1.60 | 0.00 | 13.05 | 11.71 | 1.53 | 2.28 | 35.29 | 25.12 | ||||||||||||||
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program | AT | 9/30/2019 | 98.01 | 0.00 | 1.99 | 0.00 | 26.60 | 46.50 | 12.37 | 2.50 | 50.20 | 9.21 | ||||||||||||||
Belfius Bank SA/NV | BE | 10/1/2019 | 98.80 | 0.00 | 1.20 | 0.00 | 13.90 | 21.59 | 3.00 | 3.00 | 43.95 | 4.84 | ||||||||||||||
BNP Paribas Fortis Mortgage Pandbrieven | BE | 9/30/2019 | 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 | 9/30/2019 | 75.71 | 21.60 | 0.00 | 2.69 | 24.55 | 23.24 | 5.71 | 2.25 | 55.70 | 5.09 | ||||||||||||||
DZ HYP AG Mortgage Sector Covered Bond Program | DE | 10/31/2019 | 31.14 | 66.02 | 0.00 | 2.84 | 19.30 | 32.79 | 6.33 | 1.84 | 43.72 | 7.57 | ||||||||||||||
Wuestenrot Bausparkasse AG | DE | 10/1/2019 | 80.23 | 13.27 | 0.00 | 6.50 | 8.72 | 6.80 | 0.59 | 2.11 | 56.68 | 7.02 | ||||||||||||||
Jyske Realkredit A/S- Capital Center B | DK | 9/30/2019 | 58.68 | 21.81 | 0.00 | 19.51 | 13.62 | 23.44 | 3.19 | 1.35 | 65.60 | 11.21 | ||||||||||||||
Jyske Realkredit A/S - Capital Center E | DK | 9/30/2019 | 55.74 | 32.53 | 5.76 | 5.97 | 16.16 | 35.03 | 5.66 | 1.32 | 58.84 | 3.62 | ||||||||||||||
Jyske Realkredit A/S - General Capital Center | DK | 12/31/2018 | 44.71 | 17.78 | 0.00 | 37.51 | 13.80 | 32.90 | 6.85 | 1.04 | 67.42 | 6.04 | ||||||||||||||
Danske Bank A/S - Pool C | DK | 10/1/2019 | 0.00 | 100.00 | 0.00 | 0.00 | 24.78 | 45.66 | 11.31 | 1.00 | 51.02 | 13.17 | ||||||||||||||
Danske Bank A/S - Pool D | DK | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 11.07 | 52.79 | 5.84 | 1.50 | 58.72 | 2.50 | ||||||||||||||
Danske Bank A/S - Pool I | DK | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 13.88 | 44.49 | 6.18 | 1.50 | 58.88 | 8.64 | ||||||||||||||
DLR Kredit A/S - Capital Center B | DK | 9/30/2019 | 10.95 | 74.97 | 0.00 | 14.08 | 31.27 | 47.24 | 14.77 | 1.07 | 68.36 | 9.70 | ||||||||||||||
DLR Kredit A/S - General Capital Center | DK | 9/30/2019 | 44.73 | 46.52 | 0.00 | 8.75 | 19.05 | 12.49 | 2.38 | 1.24 | 42.34 | 2.87 | ||||||||||||||
Nordea Kredit Realkredit A/S - Capital Center 1 | DK | 9/30/2019 | 57.46 | 6.23 | 0.00 | 36.31 | 21.25 | 20.36 | 4.33 | 1.45 | 49.11 | 7.50 | ||||||||||||||
Nordea Kredit Realkredit A/S - Capital Center 2 | DK | 9/30/2019 | 55.28 | 26.41 | 0.00 | 18.31 | 14.43 | 43.19 | 6.23 | 1.34 | 72.66 | 2.50 | ||||||||||||||
Nykredit Realkredit A/S - Capital Center C | DK | 9/30/2019 | 51.67 | 27.55 | 11.19 | 9.59 | 13.16 | 10.99 | 1.45 | 1.33 | 13.02 | 7.65 | ||||||||||||||
Nykredit Realkredit A/S - Capital Center D | DK | 6/30/2019 | 49.72 | 34.65 | 0.00 | 15.63 | 21.20 | 29.25 | 6.20 | 1.19 | 64.38 | 13.93 | ||||||||||||||
Nykredit Realkredit A/S - Capital Center E | DK | 9/30/2019 | 81.27 | 18.70 | 0.00 | 0.03 | 11.27 | 31.10 | 3.50 | 1.43 | 76.05 | 2.62 | ||||||||||||||
Nykredit Realkredit A/S - Capital Center G | DK | 9/30/2019 | 4.07 | 72.62 | 0.16 | 23.15 | 27.53 | 85.25 | 23.47 | 1.04 | 58.92 | 28.25 | ||||||||||||||
Nykredit Realkredit A/S - Capital Center General | DK | 9/30/2019 | 1.55 | 1.11 | 0.00 | 97.34 | 15.50 | 20.20 | 3.13 | 1.29 | 26.48 | 12.65 | ||||||||||||||
Nykredit Realkredit A/S - Capital Center H | DK | 9/30/2019 | 59.91 | 36.86 | 3.20 | 0.03 | 15.13 | 35.49 | 5.37 | 1.34 | 77.25 | 2.89 | ||||||||||||||
Nykredit Realkredit A/S - Capital Center I | DK | 9/30/2019 | 11.55 | 56.39 | 0.00 | 32.06 | 24.17 | 80.86 | 19.54 | 1.12 | 60.92 | 38.05 | ||||||||||||||
Realkredit Danmark A/S - Capital Center S | DK | 9/30/2019 | 64.77 | 22.96 | 0.00 | 12.27 | 15.78 | 31.18 | 4.92 | 1.37 | 63.15 | 5.56 | ||||||||||||||
Realkredit Danmark A/S - Capital Center T | DK | 9/30/2019 | 52.34 | 38.22 | 2.74 | 6.70 | 17.19 | 33.68 | 5.79 | 1.29 | 50.61 | 3.36 | ||||||||||||||
Realkredit Danmark A/S - General Capital Center | DK | 9/30/2019 | 36.05 | 26.62 | 25.96 | 11.37 | 17.03 | 24.21 | 4.12 | 1.31 | 46.20 | 12.69 | ||||||||||||||
Totalkredit A/S - Capital Center C | DK | 6/30/2019 | 65.73 | 0.00 | 0.00 | 34.27 | 7.08 | 2.00 | 0.14 | 1.50 | 32.50 | 2.50 | ||||||||||||||
Abanca Corporacion Bancaria SA | ES | 12/30/2019 | 80.77 | 19.23 | 0.00 | 0.00 | 31.70 | 42.32 | 13.42 | 3.20 | 65.00 | 37.84 | ||||||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | ES | 10/1/2019 | 84.70 | 15.30 | 0.00 | 0.00 | 25.44 | 36.37 | 9.25 | 3.27 | 73.74 | 16.64 | ||||||||||||||
Bankia S.A. | ES | 12/31/2019 | 88.38 | 11.62 | 0.00 | 0.00 | 28.26 | 39.49 | 11.16 | 3.33 | 58.61 | 29.66 | ||||||||||||||
Bankinter S.A. | ES | 12/31/2019 | 75.29 | 24.71 | 0.00 | 0.00 | 21.70 | 33.87 | 7.35 | 3.12 | 53.74 | 9.29 | ||||||||||||||
CaixaBank S.A. | ES | 10/1/2019 | 77.14 | 22.86 | 0.00 | 0.00 | 28.06 | 36.61 | 10.27 | 3.16 | 52.33 | 20.94 | ||||||||||||||
Cajamar Caja Rural, S.C.C. | ES | 12/30/2019 | 72.73 | 27.27 | 0.00 | 0.00 | 28.50 | 34.33 | 9.78 | 3.09 | 55.46 | 17.57 | ||||||||||||||
Ibercaja Banco S.A. | ES | 12/30/2019 | 86.25 | 13.75 | 0.00 | 0.00 | 20.45 | 37.22 | 7.61 | 3.29 | 59.87 | 19.76 | ||||||||||||||
Kutxabank S.A. | ES | 12/31/2019 | 92.27 | 7.73 | 0.00 | 0.00 | 20.53 | 34.88 | 7.16 | 3.38 | 58.13 | 15.47 | ||||||||||||||
Bank of Aland PLC - Category FIN Covered Bonds | FI | 10/1/2019 | 90.51 | 0.00 | 0.00 | 9.49 | 12.17 | 12.41 | 1.51 | 2.00 | 56.20 | 11.46 | ||||||||||||||
Bank of Aland PLC - Category SWE Covered Bonds | FI | 10/1/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 18.55 | 60.93 | 11.30 | 1.50 | 52.96 | 17.20 | ||||||||||||||
OMA Savings Bank | FI | 10/1/2019 | 92.50 | 7.50 | 0.00 | 0.00 | 24.44 | 18.88 | 4.61 | 1.93 | 56.18 | 9.93 | ||||||||||||||
OP Mortgage Bank (second program 2011) | FI | 7/1/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 17.87 | 7.23 | 1.29 | 2.00 | 44.20 | 2.50 | ||||||||||||||
Sp Mortgage Bank plc | FI | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 16.20 | 16.09 | 2.61 | 2.00 | 55.86 | 7.38 | ||||||||||||||
The Mortgage Society of Finland | FI | 10/1/2019 | 34.18 | 65.82 | 0.00 | 0.00 | 16.42 | 12.08 | 1.98 | 1.17 | 32.80 | 2.90 | ||||||||||||||
AXA Home Loan SFH | FR | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 12.01 | 36.75 | 4.41 | 3.13 | 69.40 | 2.50 | ||||||||||||||
BNP Paribas Home Loan SFH | FR | 9/30/2019 | 97.94 | 0.00 | 0.00 | 2.06 | 12.17 | 24.94 | 3.04 | 2.92 | 54.90 | 11.54 | ||||||||||||||
BPCE SFH | FR | 12/30/2019 | 95.16 | 0.00 | 0.00 | 0.00 | 13.08 | 38.89 | 5.09 | 3.30 | 64.60 | 5.42 | ||||||||||||||
Compagnie de Financement Foncier | FR | 9/30/2019 | 55.80 | 0.57 | 31.75 | 11.88 | 15.37 | 46.22 | 7.10 | 2.89 | 89.90 | 7.73 | ||||||||||||||
Credit Agricole Home Loan SFH Covered Bond Program | FR | 12/31/2019 | 97.70 | 0.00 | 0.00 | 2.30 | 15.16 | 28.31 | 4.29 | 3.08 | 61.20 | 5.57 | ||||||||||||||
Credit Mutuel Home Loan SFH | FR | 12/11/2019 | 96.55 | 0.00 | 0.00 | 3.45 | 12.41 | 28.47 | 3.53 | 3.08 | 60.09 | 5.62 | ||||||||||||||
HSBC SFH (France) | FR | 10/31/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 20.00 | 36.79 | 7.36 | 3.00 | 62.84 | 9.20 | ||||||||||||||
La Banque Postale Home Loan SFH | FR | 9/30/2019 | 99.68 | 0.00 | 0.00 | 0.32 | 10.39 | 31.67 | 3.29 | 2.39 | 60.40 | 4.04 | ||||||||||||||
MMB SCF Covered Bond Program | FR | 10/1/2019 | 97.74 | 0.00 | 0.00 | 2.26 | 30.49 | 21.50 | 6.56 | 3.00 | 54.76 | 2.50 | ||||||||||||||
Eurobank Covered Bond Programme I | GR | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 12.13 | 23.57 | 2.86 | 7.00 | 59.51 | 9.43 | ||||||||||||||
Eurobank Covered Bond Programme III | GR | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 22.68 | 24.80 | 5.62 | 7.00 | 54.80 | 10.13 | ||||||||||||||
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 | 10/1/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 27.02 | 34.18 | 9.24 | 7.00 | 66.78 | 16.08 | ||||||||||||||
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program | HU | 9/30/2019 | 84.11 | 1.56 | 0.00 | 14.33 | 20.94 | 6.52 | 1.37 | 5.00 | N/A | N/A | ||||||||||||||
AIB Mortgage Bank | IE | 9/30/2019 | 99.86 | 0.00 | 0.00 | 0.14 | 21.05 | 26.82 | 5.65 | 3.50 | 58.30 | 2.50 | ||||||||||||||
UniCredit SpA Obbligazioni Bancarie Garantite Programme | IT | 9/30/2019 | 94.88 | 0.00 | 0.00 | 5.12 | 10.40 | 13.22 | 1.37 | 5.25 | 49.87 | 14.01 | ||||||||||||||
Korea Housing Finance Corp. Social Covered Bonds 1 | KR | 12/31/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 17.44 | 40.96 | 7.15 | 1.50 | 59.54 | 5.10 | ||||||||||||||
Korea Housing Finance Corp. Social Covered Bonds 2 | KR | 12/16/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 10.57 | 32.99 | 3.49 | 1.50 | 54.00 | 4.17 | ||||||||||||||
AEGON Bank N.V. Covered Bond Programme | NL | 11/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 9.66 | 13.03 | 1.26 | 1.50 | 63.60 | 2.50 | ||||||||||||||
Van Lanschot N.V. Covered Bond Programme | NL | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 16.47 | 39.42 | 6.49 | 1.50 | 67.89 | 4.29 | ||||||||||||||
ING Bank N.V. | NL | 12/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 9.27 | 29.51 | 2.74 | 1.50 | 64.12 | 2.56 | ||||||||||||||
ING Bank N.V. Soft Bullet Covered Bond Programme | NL | 12/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 14.29 | 44.03 | 6.29 | 1.50 | 84.33 | 4.46 | ||||||||||||||
NN Bank N.V. Covered Bond Programme | NL | 10/31/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 12.42 | 36.35 | 4.51 | 1.50 | 81.20 | 2.50 | ||||||||||||||
NIBC Bank N.V. Covered Bond Programme | NL | 11/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 18.13 | 34.04 | 6.17 | 1.50 | 79.20 | 2.50 | ||||||||||||||
DNB Boligkreditt AS | NO | 9/30/2019 | 97.00 | 3.00 | 0.00 | 0.00 | 11.15 | 35.69 | 3.98 | 1.49 | 54.30 | 4.83 | ||||||||||||||
Eiendomskreditt AS | NO | 9/30/2019 | 0.00 | 95.17 | 0.00 | 4.83 | 25.19 | 39.55 | 9.96 | 1.00 | 42.82 | 23.29 | ||||||||||||||
Nordea Direct AS | NO | 9/30/2019 | 97.59 | 0.00 | 0.28 | 2.13 | 13.11 | 33.42 | 4.38 | 1.50 | 62.49 | 10.09 | ||||||||||||||
Storebrand Boligkreditt AS | NO | 12/31/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 20.73 | 39.77 | 8.24 | 1.50 | 57.56 | 7.24 | ||||||||||||||
Danske Hypotek | SE | 10/1/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 15.74 | 56.47 | 8.89 | 1.50 | 57.40 | 9.07 | ||||||||||||||
Landshypotek Bank AB | SE | 9/26/2019 | 47.10 | 48.06 | 0.00 | 4.85 | 18.26 | 30.41 | 5.55 | 1.25 | 43.76 | 5.78 | ||||||||||||||
Lansforsakringar Hypotek | SE | 9/30/2019 | 95.83 | 0.00 | 4.17 | 0.00 | 13.17 | 53.35 | 7.03 | 1.50 | 62.39 | 7.31 | ||||||||||||||
Nordea Hypotek AB | SE | 9/30/2019 | 81.00 | 17.00 | 2.00 | 0.00 | 14.75 | 41.13 | 6.07 | 1.42 | 68.54 | 6.33 | ||||||||||||||
Sparbank Skane | SE | 11/14/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 14.87 | 48.01 | 7.14 | 1.50 | 54.00 | 7.19 | ||||||||||||||
Swedbank Mortgage AB | SE | 9/30/2019 | 84.27 | 15.13 | 0.60 | 0.00 | 11.29 | 41.70 | 4.71 | 1.42 | 0.00 | 5.30 | ||||||||||||||
United Overseas Bank Ltd. Global Covered Bond Programme | SG | 11/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 5.49 | 49.18 | 2.70 | 1.65 | 57.10 | 3.90 | ||||||||||||||
Bank of Scotland PLC Covered Bond Programme | UK | 9/30/2019 | 100.00 | 0.00 | 0.00 | 0.00 | 8.23 | 24.52 | 2.02 | 1.50 | 45.32 | 6.69 | ||||||||||||||
Barclays Bank PLC Global Covered Bond Programme | UK | 12/31/2019 | 99.68 | 0.00 | 0.00 | 0.32 | 7.46 | 36.34 | 2.71 | 1.50 | 44.62 | 3.46 | ||||||||||||||
Nationwide Building Society Global Covered Bond Programme | UK | 2/28/2020 | 99.81 | 0.00 | 0.00 | 0.19 | 15.51 | 30.78 | 4.77 | 1.50 | 49.95 | 6.59 | ||||||||||||||
Santander UK PLC Global Covered Bond Programme | UK | 11/30/2019 | 87.77 | 0.00 | 0.00 | 12.23 | 11.33 | 35.76 | 4.05 | 1.50 | 68.71 | 8.30 | ||||||||||||||
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
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 | 31/12/2019 | 17.28 | N/A | N/A | CPT | W/H | 13.35 | 23.41 | |||||||||||
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) | AT | 30/09/2019 | 9.25 | 10.75 | -1.50 | Mixed | 550.37 | 24.45 | 221.37 | |||||||||||
Oberösterreichische Landesbank AG Mortgage Covered Bond Program | AT | 01/10/2019 | 8.75 | 9.08 | -0.33 | No | 552.95 | 29.41 | 40.33 | |||||||||||
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program | AT | 30/09/2019 | 15.09 | 18.23 | -3.14 | No | 425.00 | 17.20 | 127.46 | |||||||||||
Belfius Bank SA/NV | BE | 01/10/2019 | 6.44 | 6.86 | -0.42 | Yes | 425.00 | 8.82 | 20.68 | |||||||||||
BNP Paribas Fortis Mortgage Pandbrieven | BE | 30/09/2019 | 7.45 | 7.28 | 0.17 | Yes | 425.00 | 7.95 | 27.90 | |||||||||||
Deutsche Apotheker- und Aerztebank eG | DE | 30/09/2019 | 5.78 | 8.61 | -2.83 | No | 629.39 | 8.23 | 17.86 | |||||||||||
DZ HYP AG Mortgage Sector Covered Bond Program | DE | 31/10/2019 | 7.29 | 8.05 | -0.76 | No | 786.14 | 9.85 | 15.37 | |||||||||||
Wuestenrot Bausparkasse AG | DE | 01/10/2019 | 4.32 | 5.47 | -1.15 | No | 506.58 | 9.42 | 24.19 | |||||||||||
Jyske Realkredit A/S- Capital Center B | DK | 30/09/2019 | 7.51 | 8.74 | -1.23 | Mixed | 559.50 | 11.21 | 21.09 | |||||||||||
Jyske Realkredit A/S - Capital Center E | DK | 30/09/2019 | 13.39 | 14.34 | -0.95 | Mixed | 634.98 | 4.34 | 6.35 | |||||||||||
Jyske Realkredit A/S - General Capital Center | DK | 31/12/2018 | 10.72 | 11.75 | -1.79 | Mixed | 590.89 | 7.14 | 10.26 | |||||||||||
Danske Bank A/S - Pool C | DK | 01/10/2019 | 2.15 | 4.45 | -2.30 | Yes | 1,000.00 | 21.81 | 18.26 | |||||||||||
Danske Bank A/S - Pool D | DK | 30/09/2019 | 11.33 | 5.64 | 5.69 | Yes | 425.00 | 8.21 | 8.85 | |||||||||||
Danske Bank A/S - Pool I | DK | 30/09/2019 | 11.94 | 3.88 | 8.06 | Yes | 425.00 | 22.21 | 16.86 | |||||||||||
DLR Kredit A/S - Capital Center B | DK | 30/09/2019 | 11.64 | 13.14 | -1.50 | Mixed | 915.36 | 11.69 | 16.26 | |||||||||||
DLR Kredit A/S - General Capital Center | DK | 30/09/2019 | 6.88 | 7.29 | -0.41 | No | 719.13 | 2.87 | 9.55 | |||||||||||
Nordea Kredit Realkredit A/S - Capital Center 1 | DK | 30/09/2019 | 5.67 | 8.10 | -2.43 | No | 481.18 | 15.32 | 56.94 | |||||||||||
Nordea Kredit Realkredit A/S - Capital Center 2 | DK | 30/09/2019 | 12.74 | 14.12 | -1.38 | Mixed | 611.00 | 4.59 | 22.41 | |||||||||||
Nykredit Realkredit A/S - Capital Center C | DK | 30/09/2019 | 4.25 | 4.28 | -0.03 | Mixed | 620.10 | 9.77 | 10.62 | |||||||||||
Nykredit Realkredit A/S - Capital Center D | DK | 30/06/2019 | 8.67 | 9.47 | -0.80 | Mixed | 781.59 | 13.93 | 17.28 | |||||||||||
Nykredit Realkredit A/S - Capital Center E | DK | 30/09/2019 | 14.31 | 14.74 | -0.43 | Mixed | 505.70 | 3.43 | 3.84 | |||||||||||
Nykredit Realkredit A/S - Capital Center G | DK | 30/09/2019 | 9.50 | 11.18 | -1.68 | Mixed | 951.78 | 29.40 | 30.13 | |||||||||||
Nykredit Realkredit A/S - Capital Center General | DK | 30/09/2019 | 5.25 | 5.43 | -0.18 | No | 666.00 | 12.65 | 2,313.53 | |||||||||||
Nykredit Realkredit A/S - Capital Center H | DK | 30/09/2019 | 12.91 | 13.23 | -0.32 | Mixed | 605.59 | 2.89 | 3.34 | |||||||||||
Nykredit Realkredit A/S - Capital Center I | DK | 30/09/2019 | 8.96 | 11.32 | -2.36 | Mixed | 862.80 | 38.05 | 42.93 | |||||||||||
Realkredit Danmark A/S - Capital Center S | DK | 30/09/2019 | 13.15 | 13.94 | -0.79 | Mixed | 575.42 | 6.46 | 7.29 | |||||||||||
Realkredit Danmark A/S - Capital Center T | DK | 30/09/2019 | 13.98 | 15.08 | -1.10 | Mixed | 666.13 | 4.42 | 8.02 | |||||||||||
Realkredit Danmark A/S - General Capital Center | DK | 30/09/2019 | 8.65 | 9.51 | -0.86 | Mixed | 644.60 | 12.69 | 14.27 | |||||||||||
Totalkredit A/S - Capital Center C | DK | 30/06/2019 | 6.24 | 7.91 | -1.67 | Mixed | 425.00 | 2.50 | 51.07 | |||||||||||
Abanca Corporacion Bancaria SA | ES | 30/12/2019 | 19.01 | 6.73 | 12.28 | No | 756.51 | 46.88 | 438.06 | |||||||||||
Banco Bilbao Vizcaya Argentaria S.A. | ES | 01/10/2019 | 17.70 | 3.75 | 13.95 | No | 745.89 | 36.72 | 107.72 | |||||||||||
Bankia S.A. | ES | 31/12/2019 | 19.84 | 5.74 | 14.10 | No | 734.30 | 40.24 | 174.22 | |||||||||||
Bankinter S.A. | ES | 31/12/2019 | 18.08 | 5.05 | 13.03 | No | 7.76 | 24.75 | 121.41 | |||||||||||
CaixaBank S.A. | ES | 01/10/2019 | 16.27 | 4.98 | 11.29 | No | 768.58 | 31.77 | 63.44 | |||||||||||
Cajamar Caja Rural, S.C.C. | ES | 30/12/2019 | 19.05 | 2.22 | 16.83 | No | 781.81 | 53.28 | 137.00 | |||||||||||
Ibercaja Banco S.A. | ES | 30/12/2019 | 18.81 | 4.11 | 14.70 | No | 742.47 | 38.10 | 228.26 | |||||||||||
Kutxabank S.A. | ES | 31/12/2019 | 20.58 | 3.29 | 17.29 | No | 723.20 | 42.87 | 720.76 | |||||||||||
Bank of Aland PLC - Category FIN Covered Bonds | FI | 01/10/2019 | 6.51 | 3.82 | 2.69 | Mixed | 425.00 | 24.10 | 47.32 | |||||||||||
Bank of Aland PLC - Category SWE Covered Bonds | FI | 01/10/2019 | 23.87 | 3.33 | 20.54 | Mixed | 425.00 | 50.43 | 60.51 | |||||||||||
OMA Savings Bank | FI | 01/10/2019 | 7.96 | 4.94 | 3.02 | Yes | 464.54 | 34.37 | 26.36 | |||||||||||
OP Mortgage Bank (second program 2011) | FI | 01/07/2019 | 6.58 | 5.86 | 0.72 | Yes | 425.00 | 4.96 | 29.61 | |||||||||||
Sp Mortgage Bank plc | FI | 30/09/2019 | 9.17 | 5.08 | 4.09 | Yes | 425.00 | 19.23 | 24.92 | |||||||||||
The Mortgage Society of Finland | FI | 01/10/2019 | 9.49 | 5.12 | 4.37 | Yes | 803.09 | 18.10 | 21.77 | |||||||||||
AXA Home Loan SFH | FR | 30/09/2019 | 8.70 | 11.44 | -2.74 | Yes | 444.55 | 2.50 | 30.04 | |||||||||||
BNP Paribas Home Loan SFH | FR | 30/09/2019 | 13.08 | 4.55 | 8.53 | Mixed | 425.00 | 19.24 | 26.04 | |||||||||||
BPCE SFH | FR | 30/12/2019 | 13.65 | 6.28 | 7.37 | Mixed | 433.93 | 5.95 | 46.93 | |||||||||||
Compagnie de Financement Foncier | FR | 30/09/2019 | 10.20 | 7.72 | 2.48 | No | 467.72 | 10.39 | 17.2 | |||||||||||
Credit Agricole Home Loan SFH Covered Bond Program | FR | 31/12/2019 | 6.56 | 6.39 | 0.17 | Mixed | 425.00 | 7.27 | 50.91 | |||||||||||
Credit Mutuel Home Loan SFH | FR | 11/12/2019 | N/A | 4.94 | N/A | Mixed | 454.17 | 5.62 | 53.69 | |||||||||||
HSBC SFH (France) | FR | 31/10/2019 | 13.93 | 3.24 | 10.69 | Mixed | 425.00 | 25.75 | 33.88 | |||||||||||
La Banque Postale Home Loan SFH | FR | 30/09/2019 | 7.92 | 7.08 | 0.84 | No | 425.00 | 6.73 | 41.4 | |||||||||||
MMB SCF Covered Bond Program | FR | 01/10/2019 | 9.64 | 10.12 | -0.48 | Yes | 460.49 | 6.25 | 33.84 | |||||||||||
Eurobank Covered Bond Programme I | GR | 30/09/2019 | 17.00 | N/A | N/A | CPT | N/A | 9.43 | 33.5 | |||||||||||
Eurobank Covered Bond Programme III | GR | 30/09/2019 | 14.91 | N/A | 14.18 | CPT | 0.00 | 10.13 | 24.69 | |||||||||||
National Bank Of Greece CB2 Mortgage | GR | 31/03/2019 | 11.97 | N/A | N/A | CPT | N/A | 12.90 | 28.44 | |||||||||||
National Bank Of Greece CB1 Mortgage | GR | 01/10/2019 | 21.93 | N/A | N/A | CPT | N/A | 16.08 | 58.79 | |||||||||||
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program | HU | 30/09/2019 | 7.29 | 3.81 | 3.48 | No | N/A | N/A | 10.35 | |||||||||||
AIB Mortgage Bank | IE | 30/09/2019 | 10.75 | 5.55 | 5.20 | Yes | 1,000.00 | 14.47 | 54 | |||||||||||
UniCredit SpA Obbligazioni Bancarie Garantite Programme | IT | 30/09/2019 | 14.69 | 3.56 | 11.13 | N/A | 700.00 | 27.20 | 40 | |||||||||||
Korea Housing Finance Corp. Social Covered Bonds 1 | KR | 31/12/2019 | N/A | N/A | N/A | No | N/A | N/A | 6.24 | |||||||||||
Korea Housing Finance Corp. Social Covered Bonds 2 | KR | 16/12/2019 | N/A | N/A | N/A | No | N/A | N/A | 25.14 | |||||||||||
AEGON Bank N.V. Covered Bond Programme | NL | 30/11/2019 | 26.17 | N/A | N/A | CPT | N/A | 2.50 | 21.64 | |||||||||||
Van Lanschot N.V. Covered Bond Programme | NL | 30/09/2019 | 19.40 | N/A | N/A | CPT | N/A | 4.29 | 16.4 | |||||||||||
ING Bank N.V. | NL | 30/12/2019 | 16.72 | 5.34 | 11.38 | Mixed | 425.00 | 18.44 | 19.4 | |||||||||||
ING Bank N.V. Soft Bullet Covered Bond Programme | NL | 30/12/2019 | 20.15 | 6.58 | 13.57 | Yes | 425.00 | 18.65 | 31.39 | |||||||||||
NN Bank N.V. Covered Bond Programme | NL | 31/10/2019 | 22.45 | N/A | N/A | CPT | N/A | 2.50 | 16.43 | |||||||||||
NIBC Bank N.V. Covered Bond Programme | NL | 30/11/2019 | 22.13 | N/A | N/A | CPT | N/A | 2.50 | 21.81 | |||||||||||
DNB Boligkreditt AS | NO | 30/09/2019 | 12.77 | 5.20 | 7.57 | Mixed | 441.90 | 19.09 | 42.65 | |||||||||||
Eiendomskreditt AS | NO | 30/09/2019 | 5.86 | 4.46 | 1.40 | Yes | 1,000.00 | 23.29 | 24.26 | |||||||||||
Nordea Direct AS | NO | 30/09/2019 | 12.34 | 3.65 | 8.69 | Yes | 425.00 | 28.75 | 19.23 | |||||||||||
Storebrand Boligkreditt AS | NO | 31/12/2019 | 13.41 | 4.02 | 9.39 | Yes | 425.00 | 18.23 | 16.97 | |||||||||||
Danske Hypotek | SE | 01/10/2019 | 13.21 | 3.48 | 9.73 | No | 425.00 | 27.70 | 30.47 | |||||||||||
Landshypotek Bank AB | SE | 26/09/2019 | 20.53 | 3.47 | 17.06 | No | 425.00 | 26.27 | 38.23 | |||||||||||
Lansforsakringar Hypotek | SE | 30/09/2019 | 13.80 | 3.74 | 10.06 | No | 425.00 | 21.54 | 34.46 | |||||||||||
Nordea Hypotek AB | SE | 30/09/2019 | 8.81 | 2.85 | 5.96 | No | 518.00 | 19.94 | 62.59 | |||||||||||
Sparbank Skane | SE | 14/11/2019 | 24.58 | 4.20 | 20.38 | No | 425.00 | 35.69 | 32.16 | |||||||||||
Swedbank Mortgage AB | SE | 30/09/2019 | 12.43 | 3.33 | 9.10 | No | 512.51 | 22.61 | 77.44 | |||||||||||
United Overseas Bank Ltd. Global Covered Bond Programme | SG | 30/11/2019 | 21.14 | 3.71 | 17.43 | Yes | 425.00 | 24.22 | 96.36 | |||||||||||
Bank of Scotland PLC Covered Bond Programme | UK | 30/09/2019 | 12.39 | 2.38 | 10.01 | Yes | 425.00 | 20.03 | 62.64 | |||||||||||
Barclays Bank PLC Global Covered Bond Programme | UK | 31/12/2019 | 12.65 | 4.24 | 8.41 | Mixed | 425.00 | 12.53 | 67.04 | |||||||||||
Nationwide Building Society Global Covered Bond Programme | UK | 28/02/2020 | 17.09 | 5.94 | 11.15 | Yes | 425.00 | 8.34 | 60.05 | |||||||||||
Santander UK PLC Global Covered Bond Programme | UK | 30/11/2019 | 18.17 | 4.22 | 13.95 | Mixed | 425.00 | 10.28 | 46.18 | |||||||||||
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
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 | 30/09/2019 | 0.00 | 0.00 | 100.00 | 0.00 | N/A | N/A | |||||||||||
Kommunalkredit Austria Public Sector Covered Bonds | Public | AT | 30/09/2019 | 0.00 | 0.00 | 100.00 | 0.00 | 24.42 | BBB+ | |||||||||||
Oesterreichische Kontrollbank AG Public Sector Covered Bonds | Public | AT | 11/12/2019 | 0.00 | 0.00 | 100.00 | 0.00 | N/A | N/A | |||||||||||
Belfius Bank SA/NV | Public | BE | 30/09/2019 | 0.00 | 0.00 | 100.00 | 0.00 | 35.91 | BBB- | |||||||||||
DZ BANK AG Deutsche Zentral-Genossenschaftsbank | Public | DE | 30/09/2019 | 0.00 | 0.12 | 99.88 | 0.00 | W/H | W/H | |||||||||||
DZ HYP AG Public Sector Covered Bond Program | Public | DE | 05/11/2019 | 0.00 | 0.00 | 100.00 | 0.00 | 25.88 | A- | |||||||||||
NRW.BANK | Public | DE | 30/09/2019 | 0.00 | 0.00 | 100.00 | 0.00 | 83.18 | B- | |||||||||||
Danmarks Skibskredit | Ship | DK | 31/12/2019 | 0.00 | 0.00 | 0.00 | 100.00 | N/A | N/A | |||||||||||
Danmarks Skibskredit A | Ship | DK | 31/12/2019 | 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
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 | 30/09/2019 | N/A | N/A | N/A | No | N/A | N/A | 52.61 | ||||||||||||
Kommunalkredit Austria Public Sector Covered Bonds | Public | AT | 30/09/2019 | 5.61 | 3.81 | 1.80 | No | 414.53 | 24.75 | 12.17 | ||||||||||||
Oesterreichische Kontrollbank AG Public Sector Covered Bonds | Public | AT | 11/12/2019 | 3.27 | 3.58 | -0.31 | No | N/A | N/A | 63.54 | ||||||||||||
Belfius Bank SA/NV | Public | BE | 30/09/2019 | 7.38 | 6.11 | 1.27 | Yes | 400.00 | 14.55 | 32.55 | ||||||||||||
DZ BANK AG Deutsche Zentral-Genossenschaftsbank | Public | DE | 30/09/2019 | W/H | W/H | W/H | No | 0.00 | W/H | 125.98 | ||||||||||||
DZ HYP AG Public Sector Covered Bond Program | Public | DE | 05/11/2019 | 8.86 | 8.44 | 0.42 | No | 254.10 | 16.92 | 20.90 | ||||||||||||
NRW.BANK | Public | DE | 30/09/2019 | 6.43 | 8.69 | -2.26 | No | 150.00 | 44.39 | 74.41 | ||||||||||||
Danmarks Skibskredit | Ship | DK | 31/12/2019 | N/A | N/A | N/A | No | N/A | N/A | 18.19 | ||||||||||||
Danmarks Skibskredit A | Ship | DK | 31/12/2019 | N/A | N/A | N/A | No | N/A | N/A | 22.76 | ||||||||||||
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: | 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 | |
Secondary Contact: | Adriano Rossi, Milan + 390272111251; adriano.rossi@spglobal.com |
Analytical Manager: | Barbara Florian, Milan (39) 02-72111-265; barbara.florian@spglobal.com |
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