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In This List
COMMENTS

Global Covered Bond Insights Q2 2020

COMMENTS

Leveraged Finance: Rated U.S. BSL CLOs: Six Graphical Insights On Second-Quarter 2020 Rating Actions For Widely Referenced Corporate Obligors

COMMENTS

SF Credit Brief: 63 CLO Tranches Downgraded By 1.2 Notches On Average In July 2020

COMMENTS

Tender Option Bond Ratings Recap As Of June 2020: How COVID-19 Has Affected The Secondary Derivative Market

FULL

Servicer Evaluation: NorthMarq Capital LLC


Global Covered Bond Insights Q2 2020

Weak Second Quarter For Covered Bond Issuance

Year-to-date European investor-placed benchmark covered bond issuance is down 30% compared with 2019. The main causes of the decline are issuers' renewed access to competitively priced central bank funding and a reduction in origination volumes for mortgage loans. France, Germany, and the U.K. have led issuance volumes during the first part of the year.

The volume of retained issuances--which increased significantly at the height of the recent market volatility associated with COVID-19--is now normalizing as the market for long-dated covered bonds with maturities of 10 years or more has made a comeback.

Chart 1

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The Impact Of COVID-19 On Covered Bond Ratings

Bank and sovereign ratings are driving outlook changes for covered bonds

We continue to expect any potential changes in sovereign or issuer credit ratings to be the most likely trigger for changes to our covered bond ratings. Since the COVID-19 pandemic began, we have updated the outlook to negative on seven covered bond programs that we rate, reflecting changes to the issuers' outlooks. The main driver of changes to the issuers' outlooks has been the economic risk trend changing to negative in our Banking Industry Country Risk Assessments (BICRAs). Most covered bond programs that we rate still have stable outlooks and a rating buffer of unused notches of uplift from the issuer rating.

Regarding payment holidays, we believe that a short-term reduction in collections due to forbearance on mortgage installments will have a limited effect on our covered bond ratings. We expect issuers to have access to sufficient balance sheet liquidity--especially given increased central bank support--to offset such lower collections (see "S&P Global Ratings Publishes Surveillance Chart Book For EMEA Structured Finance," published on June 22, 2020).

Residential mortgage market outlooks updated for 13 European jurisdictions

Given our macroeconomic updates and our current projection of the impact that COVID-19 is likely to have on certain European economies and their residential mortgage markets, we have updated our mortgage market outlooks for 13 European jurisdictions to reflect increased credit risk. This in turn affects our 'B' foreclosure frequency assumptions for the archetypal mortgage loan pool in each affected country. These are referenced in our global residential loans criteria, "Criteria: Global Methodology And Assumptions: Assessing Pools Of Residential Loans," published Jan. 25, 2019, and our European residential loans criteria, "Criteria: Methodology And Assumptions: Assessing Pools Of European Residential Loans," published Aug. 4, 2017. We have also updated our analytical approach to mortgage payment holidays for these jurisdictions.

We have not changed our mortgage market outlook and foreclosure frequency assumptions for Italy and Greece. Our European residential loans criteria anticipate that the 'B' projected loss will increase when an economic environment moves from benign to not benign. We classified Italy and Greece as not benign prior to the impact of COVID-19, and accordingly, we continue to view our existing published foreclosure frequency assumptions and projected loss levels on Italy and Greece as appropriate following our economic updates (see "Residential Mortgage Market Outlooks Updated For 13 European Jurisdictions Following Revised Economic Forecasts," published on May 1, 2020). No covered bond ratings have been affected by these updates.

Europe's recovery set to be a fine balancing act

We now expect eurozone GDP to decline a deeper 7.8% this year and rebound 5.5% next year, because the contraction in business activity has been more pronounced than we expected--even though the economy appears to be recovering as lockdowns are easing. The initial fiscal and monetary policy response to the coronavirus crisis has been successful at protecting workers' jobs and ensuring companies' access to liquidity in spite of the sudden stop in cash flow. Fiscal policy during the recovery will be a tricky balancing act because removing extraordinary measures too early could stop it in its tracks: Households might hold onto their savings, depressing consumer demand for longer and exacerbating firms' reluctance to invest. Economic divergence in Europe is set to grow, given that Germany has responded with a bigger fiscal stimulus than its neighbors. The EU recovery fund will likely help reduce divergence but in its current form will not be disbursed in time to finance the recovery (see "Eurozone Economy: The Balancing Act To Recovery," published on June 25, 2020).

Table 1

Main European Economic Indicators
Central forecast
Germany France Italy Spain Netherlands Belgium Eurozone U.K.
Real GDP (% change)
2018 1.5 1.8 0.7 2.4 2.5 1.5 1.9 1.3
2019 0.6 1.5 0.3 2.0 1.8 1.4 1.2 1.4
2020(f) (6.2) (9.5) (9.5) (9.8) (5.9) (7.9) (7.8) (8.1)
2021(f) 4.4 6.8 5.3 6.8 3.9 5.3 5.5 6.5
2022(f) 2.6 3.1 2.3 3.8 2.8 3.7 2.9 2.6
2023(f) 1.6 2.4 1.6 2.3 2.3 2.0 2.0 2.1
Unemployment rate (%)
2018 3.4 9.0 10.6 15.3 3.8 6.0 8.2 4.1
2019(f) 3.2 8.5 9.9 14.1 3.4 5.4 7.6 3.8
2020(f) 4.2 9.8 9.1 17.6 5.0 6.4 8.8 6.0
2021(f) 5.0 9.8 10.4 17.0 5.4 6.7 9.1 6.2
2022(f) 4.8 9.3 10.3 15.1 4.7 5.9 8.5 4.9
2023(f) 4.4 9.0 10.2 14.2 4.0 5.5 8.0 4.7
f--S&P Global Ratings' European Economic Forecast, June 2020. Source: S&P Global Ratings.
Declines in European house prices stemmed by government support

We expect house prices to decline in all but one European market this year--Switzerland--due to the economic effects of the COVID-19 pandemic. Yet, by 2022, all markets except one--Italy--should return to relatively strong house-price growth. In our view, large-scale job support schemes deployed by governments across Europe will contain the rise in unemployment rates and, hence, the fall in house prices. Swift central bank action has limited the deterioration in credit conditions, and monetary policy should remain extremely loose and supportive, even as economies recover (see "Government Job Support Will Stem European Housing Market Price Falls," published on May 15, 2020).

Central bank support measures

Central banks are continuing to support the financial markets by enhancing the liquidity support to banks. The European Central Bank increased its quantitative easing measures by boosting the €750 billion Pandemic Emergency Purchase Programme (PEPP) by an additional €600 billion, also extending the program from year-end until at least the end of June 2021, with redemptions reinvested until at least the end of 2022. However, only a net €2.1 billion of covered bond purchases were registered under PEPP from its launch until the end of May, suggesting that the covered bond market has so far needed less central bank support than other sectors, such as public sector bond markets in southern European countries, for example.

Key Recent Publications

We recently published a report taking a closer look at the potential impact of sovereign or issuer credit ratings on covered bond ratings (see "S&P Global Ratings Publishes Surveillance Chart Book For EMEA Structured Finance," published on June 22, 2020). We also published a report looking at the effect on covered bond ratings of a deterioration in short-term liquidity caused solely by COVID-19 related mortgage forbearance initiatives as well as the impact of potential changes to sovereign or issuer credit ratings (see "Global Covered Bonds: Assessing The Credit Effects Of COVID-19," published on March 25, 2020).

New Ratings Assigned

On June 19, 2020, we assigned a preliminary rating to NN Bank's soft-bullet covered bond program (see "NN Bank N.V. Dutch Soft-Bullet Covered Bond Program Assigned Preliminary 'AAA' Rating; Outlook Stable," published on June 19, 2020). On June 22, 2020, we assigned a preliminary rating to Bankia's public sector covered bond program (see "Bankia S.A. Public Sector Covered Bond Program Assigned Preliminary 'AA-' Rating; Outlook Stable," published on June 22, 2020), and we assigned a preliminary rating to Korea Housing Finance Corp.'s social covered bonds (see "Korea Housing Finance Corp. Social Covered Bonds Assigned Preliminary 'AAA' Rating; Outlook Stable," published June 22, 2020). On June 30, 2020, we assigned a preliminary rating to Kookmin Bank's global covered bond program (see "Kookmin Bank US$7 Billion Global Covered Bond Program Assigned Preliminary 'AAA' Rating; Outlook Stable," published June 30, 2020).

Global Covered Bonds Core Characteristics And Risk Indicators

Since first-quarter 2020, we have revised the outlook on seven programs: three in Spain, and one in each of Austria, Finland, France, and Hungary.

Chart 2

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Table 2

Covered Bond Rating Transitions (2010-2020)
To
From AAA AA+ AA AA- A+ A A- BBB+ BBB BBB- BB+ Total
AAA 62 9 - 7 2 4 5 2 1 2 1 95
AA+ - 1 - - - 1 - - - - - 2
AA 1 - - 1 - - - - - - 2
AA- - - - - - - - - - - -
A+ - - - - - 1 - - - - - 1
Total 61 12 - 8 2 6 5 2 1 2 1 100

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 Q1 2020 ICR
Preliminary rating
Bankia S.A. Public Sector Covered Bond Program Spain LCB/CT Public AA-/Stable (prelim) NR BBB/Stable/A-2
NN Bank N.V. Dutch Soft-Bullet Covered Bond Program Netherlands SCB Mortgage AAA/Stable (prelim) NR A-/Stable/A-1
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2025 Korea LCB Mortgage AAA/Stable (prelim) NR AA/Stable/A-1+
Kookmin Bank US$7 Billion Global Covered Bond Program Korea LCB Mortgage AAA/Stable (prelim) NR A+/Stable/A-1
Affirmed
The Mortgage Society of Finland Mortgage Covered Bond Program Finland LCB/FCB Mortgage AAA/Negative/-- AAA/Stable/-- BBB/Negative/A-2
Eiendomskreditt AS Mortgage Norway LCB/OMF Mortgage AAA/Stable/-- AAA/Stable/-- BBB-/Stable/A-3
Ibercaja Spanish Mortgage Covered Bonds Spain LCB/CH Mortgage AA/Negative/-- AA/Stable/-- BB+/Negative/B
Takarek Mortgage Bank Co.'s Hungarian Mortgage Covered Bonds Hungary LCB/JL Mortgage BBB/Stable/-- BBB/Positive/-- NR/NR/NR
Kommunalkredit Austria Public Sector Covered Bonds Public Austria LCB/OPF Mortgage A/Negative/-- A/Stable/-- NR/NR/NR
Abanca Corporacion Bancaria Spanish Mortgage Covered Bonds Spain LCB/CH Mortgage AA+/Negative/-- AA+/Stable/-- BB+/Negative/B
Cajamar Caja Rural Spanish Mortgage Covered Bonds Spain LCB/CH Mortgage AA/Negative/-- AA/Stable/-- NR/NR/NR
MMB SCF Covered Bond Program France LCB/OF Mortgage AAA/Negative/-- AAA/Stable/-- BBB-/Negative/A-3
Withdrawn
Nordea Hypotek AB Swedish Mortgage Covered Bond Program Sweden LCB/SO Mortgage NR AAA/Stable/-- NR/NR/NR
ICR--Issuer credit rating. LCB--Legislation-enabled covered bond. CH--Cédulas Hipotecarias. CT--Cédulas Territoriales. FCB--Finnish covered bond. JL--Jelzaloglevel.RO--Realkreditobligationer. SCB--Structured Covered Bonds. OMF--Obligasjoner med fortrinnrett. OFH--Obligations de financement de l´habitat. OPF--Öffentlicher pfandbrief. SO--Saekkerstaellda obligationer. NR--Not rated. Source: S&P Global Ratings.

Chart 3

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Chart 4

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Chart 5

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Chart 6

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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 7

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Chart 8

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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, "second-quarter 2020" means between April 1, 2020 and June 30, 2020, inclusive.

Country Focus

Belgian and Dutch mortgage programs

Table 4

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/-- 19.44 8.51 1
BNP Paribas Fortis SA/NV LCB/BMP Belgium Mortgage AAA/Stable/-- 27.48 5.97 3
ING Bank N.V. SCB The Netherlands Mortgage AAA/Stable/-- 24.11 2.64 5
ING Bank N.V. Soft Bullet SCB The Netherlands Mortgage AAA/Stable/-- 23.65 4.98 5
AEGON Bank N.V. SCB The Netherlands Mortgage AAA/--/-- 24.05 2.50 N/A
NIBC Bank N.V. SCB The Netherlands Mortgage AAA/--/-- 19.37 2.50 N/A
NN Bank N.V. SCB The Netherlands Mortgage AAA/--/-- 13.89 2.50 N/A
Van Lanschot N.V. SCB The Netherlands Mortgage AAA/--/-- 15.95 2.50 N/A
LCB--Legislation enabled covered bonds. BMP--Belgian mortgage program. SCB--Structured covered bond. OC--Overcollateralization. N/A--Not applicable.

Chart 9

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Austrian and German mortgage programs

Table 5

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/--/-- 23.41 13.35 N/A
Bausparkasse Wüstenrot LCB/HYPF Austria Mortgage AAA/Stable/-- 130.24 15.65 N/A
Oberbank AG LCB/HYPF Austria Mortgage AAA/Stable/-- 128.37 21.98 2
Oberösterreichische Landesbank LCB/HYPF Austria Mortgage AA+/Stable/-- 39.94 2.00 0
Deutsche Apotheker- und Aerztebank eG LCB/HYPF Germany Mortgage AAA/Stable/-- 13.05 4.88 5
DZ HYP AG Mortg LCB/HYPF Germany Mortgage AAA/Stable/A-1+ 15.41 8.20 5
Wuestenrot Bausparkasse AG LCB/HYPF Germany Mortgage AAA/Stable/-- 33.53 7.92 2
LCB--Legislation-enabled covered bonds. HYPF--Hypothekenpfandbrief. OC--Overcollateralization. N/A--Not applicable.

Chart 10

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Austrian and German public sector programs

Table 6

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/-- 48.38 0.00 0
Kommunalkredit Austria LCB/OPF Austria Public A/Stable/-- 13.02 2.00 0
Oesterreichische Kontrollbank LCB/OPF Austria Public AA+/Stable/-- 41.47 N/A 0
DZ HYP AG Pub LCB/OPF Germany Public AAA/Stable/-- 20.94 10.01 5
DZ BANK AG Deutsche Zentral-Genossenschaftsbank LCB/OPF Germany Public AA+/Stable/A-1+ 98.68 6.78 3
NRW.BANK LCB/OPF Germany Public AAA/Stable/-- 63.70 19.92 3
OC--Overcollateralization. LCB--Legislation-enabled covered bonds. OPF--Öffentlicher pfandbrief.

Chart 11

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

Table 7

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+ 6.39 3.57 3
Danske Bank A/S - Pool C LCB/SDO Denmark Mortgage AAA/Stable/-- 21.91 13.04 3
Danske Bank A/S - Pool D LCB/SDO Denmark Mortgage AAA/Stable/-- 7.65 2.5 2
Danske Bank A/S - Pool I LCB/SDO Denmark Mortgage AAA/Stable/-- 14.37 8.47 0
DLR Kredit A/S - Capital Center B LCB/SDO Denmark Mortgage AAA/Stable/-- 14.9 10.52 2
Nordea Kredit Realkredit A/S - Capital Center 2 LCB/SDRO Denmark Mortgage AAA/Stable/-- 24.96 2.58 5
Nykredit Realkredit A/S - Capital Center E LCB/SDO Denmark Mortgage AAA/Stable/-- 3.2 2.5 4
Nykredit Realkredit A/S - Capital Center H LCB/SDO Denmark Mortgage AAA/Stable/-- 3.62 2.89 4
Realkredit Danmark A/S - Capital Center S LCB/SDRO Denmark Mortgage AAA/Stable/A-1+ 7.35 5.54 3
Realkredit Danmark A/S - Capital Center T LCB/SDRO Denmark Mortgage AAA/Stable/A-1+ 7.44 3.92 3
LCB--Legislation-enabled covered bonds. SDO--Saerligt daekkede obligationer. SDRO--Saerligt daekkede realkredit obligationer. OC--Overcollateralization.

Chart 12

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Danish realkreditobligationer (RO) mortgage programs

Table 8

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+ 20.22 6.72 3
Jyske Realkredit A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/A-1+ 10.26 6.04 3
DLR Kredit A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/-- 10.05 2.87 2
Nordea Kredit Realkredit A/S - Capital Center 1 LCB/RO Denmark Mortgage AAA/Stable/-- 56.94 7.50 5
Nykredit Realkredit A/S - Capital Center C LCB/RO Denmark Mortgage AAA/Stable/-- 10.77 8.88 2
Nykredit Realkredit A/S - Capital Center D LCB/RO Denmark Mortgage AAA/Stable/-- 19.60 12.84 4
Nykredit Realkredit A/S - Capital Center G LCB/RO Denmark Mortgage AAA/Stable/-- 29.71 28.66 3
Nykredit Realkredit A/S - Capital Center General LCB/RO Denmark Mortgage AAA/Stable/-- 1,582.87 12.22 4
Nykredit Realkredit A/S - Capital Center I LCB/RO Denmark Mortgage AAA/Stable/-- 45.82 35.83 4
Realkredit Danmark A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/-- 15.20 13.67 3
Totalkredit A/S - Capital Center C LCB/RO Denmark Mortgage AAA/Stable/-- 57.69 2.50 4
LCB--Legislation-enabled covered bonds. RO--Realkreditobligationer. OC--Overcollateralization.

Chart 13

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Spanish mortgage programs

Table 9

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+/Negative/-- 457.58 44.23 0
Banco Bilbao Vizcaya Argentaria S.A. (mortgage) LCB/CH Spain Mortgage AA+/Negative/-- 86.40 38.34 0
Bankia S.A. LCB/CH Spain Mortgage AA/Stable/-- 172.53 41.32 2
Bankinter S.A. LCB/CH Spain Mortgage AA+/Stable/-- 79.48 20.07 3
CaixaBank S.A. LCB/CH Spain Mortgage AA/Stable/-- 60.32 29.86 3
Cajamar Caja Rural LCB/CH Spain Mortgage AA/Negative/-- 88.30 50.89 W/H
Ibercaja Banco S.A. LCB/CH Spain Mortgage AA/Negative/-- 237.68 37.49 0
Kutxabank S.A. LCB/CH Spain Mortgage AA+/Stable/-- 785.61 44.61 2
LCB--Legislation-enabled covered bonds. CH--Cédulas hipotecarias. W/H--Withheld. OC--Overcollateralization.

Chart 14

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French mortgage programs

Table 10

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/-- 15 2.5 5
BNP Paribas Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 41.84 10.62 5
BPCE SFH LCB/OFH France Mortgage AAA/Negative/-- 41.78 5.27 5
Credit Agricole Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 37.12 5.61 5
Credit Mutuel Home Loan SFH LCB/OFH France Mortgage AAA/Negative/-- 41.99 6.52 4
HSBC SFH (France) LCB/OFH France Mortgage AAA/Stable/-- 34.11 5.41 5
La Banque Postale SFH LCB/OFH France Mortgage AAA/Stable/-- 27.18 3.19 4
MMB SCF LCB/OF France Mortgage AAA/Negative/-- 23.64 6.57 0
LCB--Legislation-enabled covered bonds. OFH--Obligations de financement de l'habitat. SCB--Structured covered bonds. OC--Overcollateralization.

Chart 15

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French public sector programs

Table 13

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
Caisse Francaise de Financement Local LCB/OF France Public AA+/Stable/-- 13.00 8.58 0
Compagnie de Financement Foncier LCB/OF France Mixed AAA/Stable/A-1+ 17.20 9.73 4
Credit Agricole Public Sector SCF LCB/OF France Public AAA/Stable/-- 42.42 9.85 5
GE SCF S.C.A LCB/OF France Public AA/Stable/-- 59.66 22.86 W/H
Societe Generale SCF LCB/OF France Public AAA/Stable/A-1+ 42.38 7.03 4
LCB--Legislation-enabled covered bonds. OF--Obligations foncieres. W/H--Withheld. OC--Overcollateralization.

Chart 16

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Finnish mortgage programs

Table 14

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/-- 47.32 20.94 1
Bank of Aland PLC - Category SWE Covered Bonds LCB/FCB Finland Mortgage AAA/Stable/-- 62.44 42.22 1
Mortgage Society of Finland LCB/FCB Finland Mortgage AAA/Negative/-- 25.33 16.22 0
OMA Savings Bank LCB/FCB Finland Mortgage AAA/Stable/-- 30.04 17.99 0
OP Mortgage Bank (second program 2011) LCB/FCB Finland Mortgage AAA/Stable/-- 12.93 2.50 5
Sp Mortgage Bank PLC LCB/FCB Finland Mortgage AAA/Stable/-- 25.42 8.57 3
LCB--Legislation-enabled covered bonds. FCB--Finnish covered bond. OC--Overcollateralization.

Chart 17

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Norwegian mortgage programs

Table 15

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/-- 44.78 3.89 4
Eiendomskreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 25.99 18.67 0
Nordea Direct AS LCB/OMF Norway Mortgage AAA/Stable/-- 18.56 7.94 3
Storebrand Boligkreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 22.69 8.08 3
LCB--Legislation-enabled covered bonds. OMF--Obligasjoner med fortnnrett. OC--Overcollateralization.

Chart 18

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Swedish mortgage programs

Table 16

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/-- 31.27 8.38 4
Landshypotek Bank AB LCB/SO Sweden Mortgage AAA/Stable/A-1+ 39.28 5.87 2
Lansforsakringar Hypotek LCB/SO Sweden Mortgage AAA/Stable/A-1+ 33.74 7.98 2
Sparbank Skane LCB/SO Sweden Mortgage AAA/Stable/-- 32.16 21.44 1
Swedbank Mortgage AB LCB/SO Sweden Mortgage AAA/Stable/A-1+ 76.93 5.70 3
LCB--Legislation-enabled covered bonds. SO--Saekerstaellda obligationer. OC--Overcollateralization.

Chart 19

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U.K. mortgage programs

Table 17

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 United Kingdom Mortgage AAA/Stable/-- 43.82 8.05 1
Bank of Scotland PLC SCB United Kingdom Mortgage AAA/Stable/-- 136.29 10.97 2
Barclays Bank PLC Global SCB United Kingdom Mortgage AAA/Stable/-- 53.51 7.42 1
Nationwide Building Society SCB United Kingdom Mortgage AAA/Stable/-- 60.05 7.90 1
SCB--Structured covered bonds. OC--Overcollateralization.

Chart 20

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Other mortgage covered bond programs

Table 18

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/-- 54.81 9.39 2
UniCredit SpA SCB Italy Mortgage AA-/Negative/-- 65.15 22.91 1
United Overseas Bank Ltd. SCB Singapore Mortgage AAA/Stable/-- 115.79 13.59 2
Eurobank CB I LCB/GCB Greece Mortgage BBB+/--/-- 30.54 9.57 N/A
Eurobank CB III LCB/GCB Greece Mortgage BBB+/--/-- 24.48 10.13 N/A
National Bank Of Greece CB2 LCB/GCB Greece Mortgage BBB+/--/-- 39.85 15.62 N/A
National Bank Of Greece CB1 LCB/GCB Greece Mortgage BBB+/--/-- 55.62 16.08 N/A
Takarek Mortgage Bank LCB/JL Hungary Mortgage BBB/Stable/-- 7.74 4.00 1
KHFC Social CB (€0.5B 2024) LCB South-Korea Mortgage AAA/Stable/-- 9.04 4.17 0
KHFC Social CB (€0.5B 2025) LCB South-Korea Mortgage AAA/Stable/-- 20.53 4.17 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 21

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Other non-mortgage covered bond programs

Table 19

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/-- 32.93 5.85 2
Bank of Scotland PLC SCB United Kingdom Public AAA/Stable/-- 70.97 42.65 2
LCB--Legislation-enabled covered bonds. BPP--Belgian public sector program. SCB--Structured covered bond. OC--Overcollateralization.

Chart 22

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Rating Actions This Quarter

Related Criteria

Related Research

This report does not constitute a rating action.

Primary Credit Analyst:Adriano Rossi, Milan + 390272111251;
adriano.rossi@spglobal.com
Secondary 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
Analytical Manager:Barbara Florian, Milan (39) 02-72111-265;
barbara.florian@spglobal.com

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