articles Ratings /ratings/en/research/articles/200917-global-covered-bond-characteristics-and-rating-summary-q3-2020-11631285 content
Log in to other products

Login to Market Intelligence Platform

 /


Looking for more?

Request a Demo

You're one step closer to unlocking our suite of comprehensive and robust tools.

Fill out the form so we can connect you to the right person.

If your company has a current subscription with S&P Global Market Intelligence, you can register as a new user for access to the platform(s) covered by your license at Market Intelligence platform or S&P Capital IQ.

  • First Name*
  • Last Name*
  • Business Email *
  • Phone *
  • Company Name *
  • City *
  • We generated a verification code for you

  • Enter verification Code here*

* Required

Thank you for your interest in S&P Global Market Intelligence! We noticed you've identified yourself as a student. Through existing partnerships with academic institutions around the globe, it's likely you already have access to our resources. Please contact your professors, library, or administrative staff to receive your student login.

At this time we are unable to offer free trials or product demonstrations directly to students. If you discover that our solutions are not available to you, we encourage you to advocate at your university for a best-in-class learning experience that will help you long after you've completed your degree. We apologize for any inconvenience this may cause.

In This List
COMMENTS

Global Covered Bond Characteristics And Rating Summary Q3 2020

COMMENTS

U.S. RMBS--After The Credit Risk Transfer Forbearance Plateau

COMMENTS

EMEA Financial Institutions Monitor 4Q2020: Banks Prepare As Winter Is Coming

COMMENTS

SF Credit Brief: U.S. Auto ABS Experienced A Dramatic Reduction In Loans In Extension Status In August, But Delinquencies Continued To Rise

COMMENTS

North American Financial Institutions Monitor 4Q 2020: Finding Some Respite In The COVID-19 Storm


Global Covered Bond Characteristics And Rating Summary Q3 2020

This article provides our assessment of the characteristics of listed covered bond programs that contribute to our rating opinions. For our overview on recent developments in the global covered bond markets and rating trends, see "Global Covered Bond Insights Q3 2020".

We currently rate 101 covered bond programs and 10 Spanish "multicédulas" transactions.

Unless otherwise noted, the reporting date for covered bond program ratings, issuer credit ratings, reference rating level (RRL), jurisdiction-supported rating level (JRL), and other indicators is the publication date of this report, not the end of the calendar quarter. In this publication, "third-quarter 2020" means between July 1, 2020, and Sept. 17, 2020, inclusive.

Global Covered Bonds' Core Characteristics And Risk Indicators

The ratings in the following tables are as of Sept. 17, 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-coupon bonds.

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

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

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

Table 1  |  View Expanded Table

Global Covered Bond Characteristics And Rating Summary
Issuer/CB program Program ID Link to surveillance report Asset type Country of issuer RRL JRL Max CB rating - considering CB criteria* Max CB rating according to counterparty risk§ Max CB rating according to country risk† Unused notches of uplift‡ CB rating
Anadi Bank Covered Bond Program 1422246 Q2 Surveillance Report Mortgage AT N/A N/A aa aaa aaa N/A AA/--/--
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program 1599999 Q2 Surveillance Report Mortgage AT W/H W/H aaa aaa aaa W/H AAA/Stable/--
KA Finanz FBS - Fundierte Bankschuldverschreibungen 1412729 Q2 Surveillance Report Public AT aa+ aa+ W/H W/H aaa 0 AA+/Stable/--
Kommunalkredit Austria Public Sector Covered Bonds 1488062 Q2 Surveillance Report Public AT W/H W/H W/H a aaa 0 A/Negative/--
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) 1477198 Q2 Surveillance Report Mortgage AT aa- aa+ aaa aaa aaa 2 AAA/Stable/--
Oberösterreichische Landesbank AG Mortgage Covered Bond Program 1458125 Q2 Surveillance Report Mortgage AT a+ aa+ aa+ aaa aaa 0 AA+/Stable/--
Oesterreichische Kontrollbank AG Public Sector Covered Bonds 1592871 Q2 Surveillance Report Public AT aa+ aa+ aa+ aa+ aa+ 0 AA+/Stable/--
Belfius Bank SA/NV 1238141 Q2 Surveillance Report Mortgage BE a+ aa aaa aaa aaa 1 AAA/Stable/--
Belfius Bank SA/NV 1362876 Q2 Surveillance Report Public BE a+ aa aaa aaa aaa 2 AAA/Stable/--
BNP Paribas Fortis Mortgage Pandbrieven 1458876 Q2 Surveillance Report Mortgage BE aa aa aaa aaa aaa 3 AAA/Stable/--
Deutsche Apotheker- und Aerztebank eG 1449555 Q2 Surveillance Report Mortgage DE aa+ aaa aaa aaa aaa 5 AAA/Stable/--
DZ BANK AG Deutsche Zentral-Genossenschaftsbank 1449561 Q2 Surveillance Report Public DE aa+ aa+ aa+ aaa aaa 3 AA+/Stable/A-1+
DZ HYP AG Mortgage Sector Covered Bond Program 1449557 Q2 Surveillance Report Mortgage DE aa+ aaa aaa aaa aaa 5 AAA/Stable/A-1+
DZ HYP AG Public Sector Covered Bond Program 1449559 Q2 Surveillance Report Public DE aa+ aaa aaa aaa aaa 5 AAA/Stable/--
NRW.BANK 1449510 N/A Public DE aa aaa aaa aaa aaa 2 AAA/Stable/--
Wuestenrot Bausparkasse AG 1289051 Q2 Surveillance Report Mortgage DE a+ aa+ aaa aaa aaa 2 AAA/Stable/--
Danmarks Skibskredit 1425986 N/A Ship DK a- a a a aaa 0 A/Stable/--
Danmarks Skibskredit A 1563287 Q2 Surveillance Report Ship DK a- a a a aaa 0 A/Stable/--
Danske Bank A/S - Pool C 1449548 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Danske Bank A/S - Pool D 874454 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 2 AAA/Stable/--
Danske Bank A/S - Pool I 1449550 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 1 AAA/Stable/--
DLR Kredit A/S - Capital Center B 1232307 Q2 Surveillance Report Mortgage DK a+ aa+ aaa aaa aaa 2 AAA/Stable/--
DLR Kredit A/S - General Capital Center 1240364 N/A Mortgage DK a+ aa+ aaa aaa aaa 2 AAA/Stable/--
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 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 2 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+
Nordea Kredit Realkredit A/S - Capital Center 1 1272839 Q2 Surveillance Report Mortgage DK aa+ aaa aaa aaa aaa 5 AAA/Stable/--
Nordea Kredit Realkredit A/S - Capital Center 2 871896 Q2 Surveillance Report Mortgage DK aa+ aaa aaa aaa aaa 5 AAA/Stable/--
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 Q2 Surveillance Report Mortgage DK aa aaa aaa aaa aaa 4 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center E 1133306 Q2 Surveillance Report Mortgage DK aa aaa aaa aaa aaa 4 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center G 1213560 Q2 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 Q2 Surveillance Report Mortgage DK aa aaa aaa aaa aaa 4 AAA/Stable/--
Nykredit Realkredit A/S - Capital Center I 1222561 Q2 Surveillance Report Mortgage DK aa aaa aaa aaa aaa 4 AAA/Stable/--
Realkredit Danmark A/S - Capital Center S 846629 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/A-1+
Realkredit Danmark A/S - Capital Center T 1195178 Q2 Surveillance Report Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/A-1+
Realkredit Danmark A/S - General Capital Center 1200257 N/A Mortgage DK aa- aaa aaa aaa aaa 3 AAA/Stable/--
Totalkredit A/S - Capital Center C 1041139 N/A Mortgage DK aa aaa aaa aaa aaa 4 AAA/Stable/--
Abanca Corporacion Bancaria SA 1449278 Q2 Surveillance Report Mortgage ES bbb a aa+ aaa aa+ 0 AA+/Negative/--
Banco Bilbao Vizcaya Argentaria S.A. 1449540 Q2 Surveillance Report Mortgage ES a+ a+ aa+ aaa aa+ 0 AA+/Negative/--
Bankia S.A. 1449598 Q2 Surveillance Report Mortgage ES a- a aa aaa aa+ 2 AA/Stable/--
Bankia S.A. 1621496 N/A Public ES a- a aa aaa aa- 3 AA-/Stable/--
Bankinter S.A. 1449546 Q2 Surveillance Report Mortgage ES a a aa+ aaa aa+ 3 AA+/Stable/--
CaixaBank S.A. 1449280 Q2 Surveillance Report Mortgage ES a a aa aaa aa+ 3 AA/Stable/--
Cajamar Caja Rural, S.C.C. 1449282 Q2 Surveillance Report Mortgage ES W/H W/H W/H aaa aa+ W/H AA/Negative/--
Ibercaja Banco S.A. 1449506 Q2 Surveillance Report Mortgage ES bbb a aa aaa aa+ 0 AA/Negative/--
Kutxabank S.A. 1449508 Q2 Surveillance Report Mortgage ES a- a aa+ aaa aa+ 2 AA+/Stable/--
Bank of Aland PLC - Category FIN Covered Bonds 1225744 Q2 Surveillance Report Mortgage FI a- aa- aaa aaa aaa 1 AAA/Stable/--
Bank of Aland PLC - Category SWE Covered Bonds 1449544 Q2 Surveillance Report Mortgage FI a- aa- aaa aaa aaa 1 AAA/Stable/--
OMA Savings Bank 1507836 Q2 Surveillance Report Mortgage FI a aa aaa aaa aaa 0 AAA/Stable/--
OP Mortgage Bank (second program 2011) 1166343 Q2 Surveillance Report Mortgage FI aa+ aa+ aaa aaa aaa 5 AAA/Stable/--
Sp Mortgage Bank plc 1463917 Q2 Surveillance Report Mortgage FI a+ aa+ aaa aaa aaa 3 AAA/Stable/--
The Mortgage Society of Finland 1432951 Q2 Surveillance Report Mortgage FI a- aa- aaa aaa aaa 0 AAA/Negative/--
AXA Home Loan SFH 1574917 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
BNP Paribas Home Loan SFH 805470 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
BPCE SFH 1170257 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
Caisse Francaise de Financement Local 511462 Q2 Surveillance Report Public FR aa aa aa+ aa+ aaa 0 AA+/Stable/--
Compagnie de Financement Foncier 521707 Q2 Surveillance Report Mixed FR aa aa aaa aaa aaa 4 AAA/Stable/A-1+
Credit Agricole Home Loan SFH Covered Bond Program 1029007 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
Credit Agricole Public Sector SCF 1229766 Q2 Surveillance Report Public FR aa aa aaa aaa aaa 5 AAA/Stable/--
Credit Mutuel Home Loan SFH 843192 Q2 Surveillance Report Mortgage FR aa- aa aaa aaa aaa 4 AAA/Stable/--
GE SCF S.C.A 1069452 Q2 Surveillance Report Public FR W/H W/H W/H W/H W/H W/H AA/Stable/--
HSBC SFH (France) 1028586 Q2 Surveillance Report Mortgage FR aa aa aaa aaa aaa 5 AAA/Stable/--
La Banque Postale Home Loan SFH 1275188 Q2 Surveillance Report Mortgage FR aa- aa aaa aaa aaa 4 AAA/Stable/--
MMB SCF Covered Bond Program 1542457 Q2 Surveillance Report Mortgage FR bbb+ a+ aaa aaa aaa 0 AAA/Negative/--
Societe Generale SCF 893038 Q2 Surveillance Report Public FR aa- aa aaa aaa aaa 4 AAA/Stable/A-1+
Eurobank Covered Bond Programme I 1544953 Q2 Surveillance Report Mortgage GR bb- bb- a aa- bbb+ N/A BBB+/--/--
Eurobank Covered Bond Programme III 1547351 Q2 Surveillance Report Mortgage GR bb- bb- a aa- bbb+ N/A BBB+/--/--
National Bank Of Greece CB1 Mortgage 1554489 Q2 Surveillance Report Mortgage GR bb- bb- a aaa bbb+ N/A BBB+/--/--
National Bank Of Greece CB2 Mortgage 1535236 Q2 Surveillance Report Mortgage GR bb- bb- a aaa bbb+ N/A BBB+/--/--
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program 1557419 Q2 Surveillance Report Mortgage HU bbb- bbb bbb bbb bbb 1 BBB/Stable/--
AIB Mortgage Bank 871323 Q2 Surveillance Report Mortgage IE a aa- aaa aaa aaa 2 AAA/Stable/--
UniCredit SpA Obbligazioni Bancarie Garantite Programme 1034488 Q2 Surveillance Report Mortgage IT a- a- aa aaa aa- 1 AA-/Negative/--
Kookmin Bank US$7 Billion Global Covered Bond Program 1623525 N/A Mortgage KR a+ a+ aaa aaa aaa 0 AAA/Stable/--
Korea Housing Finance Corp. Social Covered Bonds EUR 1000 Million Due 2025 1602388 N/A Mortgage KR aa aa aaa aaa aaa 0 AAA/Stable/--
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2024 1571251 N/A Mortgage KR aa aa aaa aaa aaa 0 AAA/Stable/--
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2025 1622236 N/A Mortgage KR aa aa aaa aaa aaa 0 AAA/Stable/--
AEGON Bank N.V. Covered Bond Programme 1418738 Q2 Surveillance Report Mortgage NL aa- aaa aaa aaa aaa N/A AAA/--/--
ING Bank N.V. 1062988 Q2 Surveillance Report Mortgage NL aa aaa aaa aaa aaa 4 AAA/Stable/--
ING Bank N.V. Soft Bullet Covered Bond Programme 1389274 Q2 Surveillance Report Mortgage NL aa aaa aaa aaa aaa 4 AAA/Stable/--
NIBC Bank N.V. Covered Bond Programme 1277257 Q2 Surveillance Report Mortgage NL a aa aaa aaa aaa N/A AAA/--/--
NN Bank N.V. Covered Bond Programme 1499877 Q2 Surveillance Report Mortgage NL a+ aa+ aaa aaa aaa N/A AAA/--/--
NN Bank N.V. Soft Bullet Covered Bond Programme 1621942 N/A Mortgage NL a+ aa+ aaa aaa aaa 3 AAA/Stable/--
Van Lanschot N.V. Covered Bond Programme 1384684 Q2 Surveillance Report Mortgage NL a aa aaa aaa aaa N/A AAA/--/--
DNB Boligkreditt AS 844118 Q2 Surveillance Report Mortgage NO aa+ aaa aaa aaa aaa 4 AAA/Stable/--
Eiendomskreditt AS 1449298 N/A Mortgage NO bbb+ a+ aaa aaa aaa 0 AAA/Stable/--
Nordea Direct AS 1449504 Q2 Surveillance Report Mortgage NO aa aaa aaa aaa aaa 5 AAA/Stable/--
Storebrand Boligkreditt AS 1446823 N/A Mortgage NO a+ aa+ aaa aaa aaa 3 AAA/Stable/--
Danske Hypotek 1496867 Q2 Surveillance Report Mortgage SE aa- aaa aaa aaa aaa 2 AAA/Stable/--
Landshypotek Bank AB 850448 Q2 Surveillance Report Mortgage SE aa- aaa aaa aaa aaa 2 AAA/Stable/A-1+
Lansforsakringar Hypotek 840843 Q2 Surveillance Report Mortgage SE aa- aaa aaa aaa aaa 2 AAA/Stable/A-1+
Sparbank Skane 1498794 N/A Mortgage SE aa- aaa aaa aaa aaa 1 AAA/Stable/--
Swedbank Mortgage AB 897450 Q2 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 2 AAA/Stable/--
Bank of Scotland PLC Covered Bond Programme 622563 Q2 Surveillance Report Mortgage UK aa- aa aaa aaa aaa 2 AAA/Stable/--
Bank of Scotland PLC Social Housing Covered Bond Programme 695952 N/A Public UK aa- aa aaa aaa aaa 2 AAA/Stable/--
Barclays Bank UK PLC Global Covered Bond Programme 1018677 Q2 Surveillance Report Mortgage UK a+ aa- aaa aaa aaa 1 AAA/Stable/--
Nationwide Building Society Global Covered Bond Programme 752769 Q2 Surveillance Report Mortgage UK a+ aa- aaa aaa aaa 1 AAA/Stable/--
Santander UK PLC Global Covered Bond Programme 722867 Q2 Surveillance Report Mortgage UK a+ aa- aaa aaa aaa 1 AAA/Stable/--
*As per our criteria "Covered Bonds Criteria," published Dec. 9, 2014. §This figure reflects our counterparty risk assessment (see "Counterparty Risk Framework: Methodology And Assumptions," published March 9, 2019). †This figure reflects our country risk assessment (see "Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions," published Jan. 30, 2019). ‡Unused notches is the sum of the unused notches for jurisdictional support (see table 3) plus the unused collateral-based uplift (see table 4). N/A--Not applicable. W/H--Withheld at the issuer's request.

Table 2  |  View Expanded Table

Reference Rating Level (RRL)
Issuer/CB program Asset type Country of issuer ICR* RCR Systemic importance† Notches of uplift for resolution regime RRL
Anadi Bank Covered Bond Program Mortgage AT --/--/-- N/A very strong 2 N/A
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program Mortgage AT NR/NR/NR N/A very strong 2 W/H
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/Negative/A-1 A+ very strong 2 aa-
Oberösterreichische Landesbank AG Mortgage Covered Bond Program Mortgage AT A+/Negative/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+
Belfius Bank SA/NV Mortgage BE A-/Stable/A-2 A strong 2 a+
Belfius Bank SA/NV Public BE A-/Stable/A-2 A strong 2 a+
BNP Paribas Fortis Mortgage Pandbrieven Mortgage BE A+/Negative/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/Stable/A-1+ N/A very strong 0 aa
Wuestenrot Bausparkasse AG Mortgage DE A-/Stable/A-1 N/A very strong 2 a+
Danmarks Skibskredit Ship DK BBB+/Stable/A-2 N/A moderate 1 a-
Danmarks Skibskredit A Ship DK BBB+/Stable/A-2 N/A moderate 1 a-
Danske Bank A/S - Pool C Mortgage DK A/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+
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-
Nordea Kredit Realkredit A/S - Capital Center 1 Mortgage DK AA-/Negative/A-1+ AA- very strong 2 aa+
Nordea Kredit Realkredit A/S - Capital Center 2 Mortgage DK AA-/Negative/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+/Negative/B N/A very strong 2 bbb
Banco Bilbao Vizcaya Argentaria S.A. Mortgage ES A-/Negative/A-2 A very strong 2 a+
Bankia S.A. Mortgage ES BBB/Stable/A-2 BBB+ very strong 2 a-
Bankia S.A. Public ES BBB/Stable/A-2 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+/Negative/B N/A very strong 2 bbb
Kutxabank S.A. Mortgage ES BBB/Stable/A-2 N/A very strong 2 a-
Bank of Aland PLC - Category FIN Covered Bonds Mortgage FI BBB/Negative/A-2 N/A very strong 2 a-
Bank of Aland PLC - Category SWE Covered Bonds Mortgage FI BBB/Negative/A-2 N/A very strong 2 a-
OMA Savings Bank Mortgage FI BBB+/Negative/A-2 N/A very strong 2 a
OP Mortgage Bank (second program 2011) Mortgage FI AA-/Negative/A-1+ AA- very strong 2 aa+
Sp Mortgage Bank plc Mortgage FI A-/Negative/A-2 A very strong 2 a+
The Mortgage Society of Finland Mortgage FI BBB/Negative/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+/Negative/A-1 AA- very strong 2 aa
BPCE SFH Mortgage FR A+/Negative/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+/Negative/A-1 AA- very strong 2 aa
Credit Agricole Home Loan SFH Covered Bond Program Mortgage FR A+/Negative/A-1 AA- very strong 2 aa
Credit Agricole Public Sector SCF Public FR A+/Negative/A-1 AA- very strong 2 aa
Credit Mutuel Home Loan SFH Mortgage FR A/Negative/A-1 A+ very strong 2 aa-
GE SCF S.C.A Public FR BBB+/Negative/A-2 N/A W/H W/H W/H
HSBC SFH (France) Mortgage FR A+/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-/Negative/A-3 N/A very strong 2 bbb+
Societe Generale SCF Public FR A/Negative/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 CB1 Mortgage 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-
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+/Negative/A-2 A- very strong 2 a
UniCredit SpA Obbligazioni Bancarie Garantite Programme Mortgage IT BBB/Negative/A-2 BBB+ very strong 2 a-
Kookmin Bank US$7 Billion Global Covered Bond Program Mortgage KR A+/Stable/A-1 N/A weak 0 a+
Korea Housing Finance Corp. Social Covered Bonds EUR 1000 Million Due 2025 Mortgage KR AA/Stable/A-1+ N/A weak 0 aa
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2024 Mortgage KR AA/Stable/A-1+ N/A weak 0 aa
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2025 Mortgage KR AA/Stable/A-1+ N/A weak 0 aa
AEGON Bank N.V. Covered Bond Programme Mortgage NL A/Stable/A-1 N/A very strong 2 aa-
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
NIBC Bank N.V. Covered Bond Programme Mortgage NL BBB+/Negative/A-2 A- very strong 2 a
NN Bank N.V. Covered Bond Programme Mortgage NL A-/Stable/A-1 N/A very strong 2 a+
NN Bank N.V. Soft Bullet Covered Bond Programme Mortgage NL A-/Stable/A-1 N/A very strong 2 a+
Van Lanschot N.V. Covered Bond Programme Mortgage NL BBB+/Negative/A-2 N/A very strong 2 a
DNB Boligkreditt AS Mortgage NO AA-/Stable/A-1+ AA- very strong 2 aa+
Eiendomskreditt AS Mortgage NO BBB-/Stable/A-3 N/A very strong 2 bbb+
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-
Sparbank Skane Mortgage SE A/Stable/A-1 N/A very strong 2 aa-
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+/Negative/A-1 AA- moderate 1 aa-
Bank of Scotland PLC Social Housing Covered Bond Programme Public UK A+/Negative/A-1 AA- moderate 1 aa-
Barclays Bank UK PLC Global Covered Bond Programme Mortgage UK A/Negative/A-1 A+ moderate 1 a+
Nationwide Building Society Global Covered Bond Programme Mortgage UK A/Stable/A-1 A+ moderate 1 a+
Santander UK PLC Global Covered Bond Programme Mortgage UK A/Negative/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 March 4, 2020. W/H--Withheld at the issuer's request. NR--Not rated. N/A--No RCR assigned.

Table 3  |  View Expanded Table

Jurisdiction-Supported Rating Level (JRL)
Issuer/CB program Asset type Country of issuer RRL JSA* Max uplift for jurisdictional support Sovereign rating Unused notches of jurisdictional support JRL
Anadi Bank Covered Bond Program Mortgage AT N/A very strong 3 AA+ N/A N/A
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program Mortgage AT W/H very strong 3 AA+ W/H W/H
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+
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 1 aaa
Wuestenrot Bausparkasse AG Mortgage DE a+ very strong 3 AAA 0 aa+
Danmarks Skibskredit Ship DK a- moderate 1 AAA 0 a
Danmarks Skibskredit A Ship DK a- moderate 1 AAA 0 a
Danske Bank A/S - Pool C Mortgage DK aa- very strong 3 AAA 0 aaa
Danske Bank A/S - Pool D Mortgage DK aa- very strong 3 AAA 0 aaa
Danske Bank A/S - Pool I Mortgage DK aa- very strong 3 AAA 0 aaa
DLR Kredit A/S - Capital Center B Mortgage DK a+ very strong 3 AAA 0 aa+
DLR Kredit A/S - General Capital Center Mortgage DK a+ very strong 3 AAA 0 aa+
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
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
Bankia S.A. Public 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 AA+ 0 aa-
OMA Savings Bank Mortgage FI a very strong 3 AA+ 0 aa
OP Mortgage Bank (second program 2011) Mortgage FI aa+ very strong 3 AA+ 3 aa+
Sp Mortgage Bank plc Mortgage FI a+ very strong 3 AA+ 0 aa+
The Mortgage Society of Finland Mortgage FI a- very strong 3 AA+ 0 aa-
AXA Home Loan SFH Mortgage FR aa very strong 3 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 W/H 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 CB1 Mortgage Mortgage GR bb- moderate 1 BB- 1 bb-
National Bank Of Greece CB2 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 3 BBB 0 a-
Kookmin Bank US$7 Billion Global Covered Bond Program Mortgage KR a+ weak 0 AA 0 a+
Korea Housing Finance Corp. Social Covered Bonds EUR 1000 Million Due 2025 Mortgage KR aa weak 0 AA 0 aa
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2024 Mortgage KR aa weak 0 AA 0 aa
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2025 Mortgage KR aa weak 0 AA 0 aa
AEGON Bank N.V. Covered Bond Programme Mortgage NL aa- very strong 3 AAA 0 aaa
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
NIBC Bank N.V. Covered Bond Programme Mortgage NL a very strong 3 AAA 0 aa
NN Bank N.V. Covered Bond Programme Mortgage NL a+ very strong 3 AAA 0 aa+
NN Bank N.V. Soft Bullet Covered Bond Programme Mortgage NL a+ 0 3 AAA 0 aa+
Van Lanschot 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 bbb+ very strong 3 AAA 0 a+
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
Sparbank Skane Mortgage SE aa- very strong 3 AAA 0 aaa
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 UK 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 March 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  |  View Expanded Table

Collateral Support
Issuer/CB program Asset type Country of issuer TCE (%) ACE (%) Potential collateral-based uplift Six-month liquidity adjustment OC commitment adjustment Achievable collateral-based uplift Actual O/C level for current rating (%) Unused collateral-based uplift
Anadi Bank Covered Bond Program Mortgage AT 13.37 20.87 N/A No No N/A 13.37 N/A
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program Mortgage AT 17.99 123.51 4 Yes No 3 15.98 1
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT N/A 45.39 N/A N/A N/A N/A 0.00 0
Kommunalkredit Austria Public Sector Covered Bonds Public AT 24.75 18.44 0 Yes Yes 0 2.00 W/H
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) Mortgage AT 24.31 160.28 4 Yes Yes 2 22.60 1
Oberösterreichische Landesbank AG Mortgage Covered Bond Program Mortgage AT 28.84 42.26 0 Yes No 0 2.00 0
Oesterreichische Kontrollbank AG Public Sector Covered Bonds Public AT N/A 7.06 0 Yes Yes 0 N/A 0
Belfius Bank SA/NV Mortgage BE 4.92 19.66 4 No Yes 3 4.05 1
Belfius Bank SA/NV Public BE 11.12 33.02 4 No Yes 3 6.91 1
BNP Paribas Fortis Mortgage Pandbrieven Mortgage BE 7.85 33.51 4 No Yes 3 6.29 1
Deutsche Apotheker- und Aerztebank eG Mortgage DE 9.09 9.38 4 No Yes 3 6.66 3
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE W/H 107.60 0 Yes Yes 0 6.58 0
DZ HYP AG Mortgage Sector Covered Bond Program Mortgage DE 10.15 18.77 4 No Yes 3 8.35 3
DZ HYP AG Public Sector Covered Bond Program Public DE 14.20 20.07 4 No Yes 3 10.39 3
NRW.BANK Public DE 69.12 58.54 3 Yes Yes 1 17.24 1
Wuestenrot Bausparkasse AG Mortgage DE 9.09 38.61 4 No Yes 3 7.99 2
Danmarks Skibskredit Ship DK N/A 18.94 N/A N/A N/A N/A N/A N/A
Danmarks Skibskredit A Ship DK N/A 20.05 N/A N/A N/A N/A N/A N/A
Danske Bank A/S - Pool C Mortgage DK 21.38 21.98 4 No Yes 3 13.26 3
Danske Bank A/S - Pool D Mortgage DK 6.29 10.19 4 No Yes 3 2.50 3
Danske Bank A/S - Pool I Mortgage DK 17.28 13.47 2 No Yes 1 5.83 1
DLR Kredit A/S - Capital Center B Mortgage DK 11.49 14.89 4 No Yes 3 10.51 2
DLR Kredit A/S - General Capital Center Mortgage DK 2.50 10.88 4 No Yes 3 2.50 2
Jyske Realkredit A/S - Capital Center B Mortgage DK 6.57 19.65 4 No Yes 3 6.57 3
Jyske Realkredit A/S - Capital Center E Mortgage DK 3.46 6.38 4 No Yes 3 2.50 3
Jyske Realkredit A/S - General Capital Center Mortgage DK 11.75 18.68 4 No Yes 3 11.75 3
Nordea Kredit Realkredit A/S - Capital Center 1 Mortgage DK 14.58 58.46 4 No Yes 3 7.29 3
Nordea Kredit Realkredit A/S - Capital Center 2 Mortgage DK 3.41 15.46 4 No Yes 3 2.50 3
Nykredit Realkredit A/S - Capital Center C Mortgage DK 8.17 8.33 4 No Yes 3 8.17 3
Nykredit Realkredit A/S - Capital Center D Mortgage DK 11.89 16.03 4 No Yes 3 11.89 3
Nykredit Realkredit A/S - Capital Center E Mortgage DK 2.50 3.47 4 No Yes 3 2.50 3
Nykredit Realkredit A/S - Capital Center G Mortgage DK 25.21 32.81 4 No Yes 3 24.38 3
Nykredit Realkredit A/S - Capital Center General Mortgage DK 12.22 1,582.87 4 No Yes 3 12.22 3
Nykredit Realkredit A/S - Capital Center H Mortgage DK 2.50 3.48 4 No Yes 3 2.50 3
Nykredit Realkredit A/S - Capital Center I Mortgage DK 36.35 58.95 4 No Yes 3 36.35 3
Realkredit Danmark A/S - Capital Center S Mortgage DK 3.37 7.47 4 No Yes 3 2.50 3
Realkredit Danmark A/S - Capital Center T Mortgage DK 2.50 6.51 4 No Yes 3 2.50 3
Realkredit Danmark A/S - General Capital Center Mortgage DK 11.10 16.25 4 No Yes 3 11.10 3
Totalkredit A/S - Capital Center C Mortgage DK 2.50 57.69 4 No Yes 3 2.50 3
Abanca Corporacion Bancaria SA Mortgage ES 41.07 307.30 4 No No 4 41.07 0
Banco Bilbao Vizcaya Argentaria S.A. Mortgage ES 41.07 85.58 4 No Yes 3 41.07 0
Bankia S.A. Mortgage ES 42.10 171.39 4 No Yes 3 42.10 0
Bankia S.A. Public ES 46.99 59.82 4 No Yes 3 45.36 1
Bankinter S.A. Mortgage ES 20.94 80.27 4 No No 4 20.94 0
CaixaBank S.A. Mortgage ES 31.36 59.56 4 No Yes 3 31.36 0
Cajamar Caja Rural, S.C.C. Mortgage ES 50.79 103.94 N/A No No W/H 50.79 W/H
Ibercaja Banco S.A. Mortgage ES 37.98 234.82 4 No Yes 3 37.98 0
Kutxabank S.A. Mortgage ES 44.86 788.33 4 No No 4 44.86 0
Bank of Aland PLC - Category FIN Covered Bonds Mortgage FI 20.40 50.03 4 No No 4 18.24 1
Bank of Aland PLC - Category SWE Covered Bonds Mortgage FI 41.90 50.66 4 No No 4 34.79 1
OMA Savings Bank Mortgage FI 20.90 29.93 4 No No 4 15.00 0
OP Mortgage Bank (second program 2011) Mortgage FI 3.08 12.34 4 No Yes 3 2.50 2
Sp Mortgage Bank plc Mortgage FI 19.15 25.55 4 No No 4 8.76 3
The Mortgage Society of Finland Mortgage FI 21.79 25.47 4 No No 4 17.12 1
AXA Home Loan SFH Mortgage FR 2.50 15.00 4 No No 4 2.50 2
BNP Paribas Home Loan SFH Mortgage FR 7.38 17.19 4 No No 4 5.78 2
BPCE SFH Mortgage FR 5.44 32.62 4 No No 4 5.44 2
Caisse Francaise de Financement Local Public FR 21.66 13.35 2 No Yes 1 8.48 0
Compagnie de Financement Foncier Mixed FR 10.67 15.53 4 No Yes 3 9.86 1
Credit Agricole Home Loan SFH Covered Bond Program Mortgage FR 6.86 37.12 4 No No 4 5.61 2
Credit Agricole Public Sector SCF Public FR 20.38 35.43 4 No No 4 17.95 2
Credit Mutuel Home Loan SFH Mortgage FR 8.28 44.06 4 No No 4 7.18 2
GE SCF S.C.A Public FR W/H 50.08 W/H W/H W/H N/A 20.49 N/A
HSBC SFH (France) Mortgage FR 7.48 57.64 4 No No 4 2.50 2
La Banque Postale Home Loan SFH Mortgage FR 4.32 39.05 4 No No 4 3.41 2
MMB SCF Covered Bond Program Mortgage FR 7.14 20.98 4 No No 4 7.14 0
Societe Generale SCF Public FR 12.77 40.79 4 No No 4 7.00 2
Eurobank Covered Bond Programme I Mortgage GR 9.70 33.20 N/A No No N/A 9.70 N/A
Eurobank Covered Bond Programme III Mortgage GR 10.23 25.58 N/A No No N/A 10.23 N/A
National Bank Of Greece CB1 Mortgage Mortgage GR 16.24 52.54 N/A No No N/A 16.24 N/A
National Bank Of Greece CB2 Mortgage Mortgage GR 15.86 29.74 N/A No No N/A 15.86 N/A
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program Mortgage HU N/A 8.28 0 N/A N/A 0 4.00 0
AIB Mortgage Bank Mortgage IE 13.77 36.11 4 No No 4 10.44 1
UniCredit SpA Obbligazioni Bancarie Garantite Programme Mortgage IT 23.34 65.12 4 No No 4 20.35 1
Kookmin Bank US$7 Billion Global Covered Bond Program Mortgage KR 12.30 327.08 4 Yes Yes 4 12.30 0
Korea Housing Finance Corp. Social Covered Bonds EUR 1000 Million Due 2025 Mortgage KR 4.17 17.46 N/A No No 2 4.17 0
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2024 Mortgage KR 4.17 47.71 N/A No No 2 4.17 0
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2025 Mortgage KR 4.17 20.13 N/A No No 2 4.17 0
AEGON Bank N.V. Covered Bond Programme Mortgage NL 2.50 20.29 N/A No No N/A 2.50 N/A
ING Bank N.V. Mortgage NL 16.34 16.80 4 No No 4 2.50 4
ING Bank N.V. Soft Bullet Covered Bond Programme Mortgage NL 12.67 19.48 4 No No 4 2.87 4
NIBC Bank N.V. Covered Bond Programme Mortgage NL 2.50 15.86 N/A No No N/A 2.50 N/A
NN Bank N.V. Covered Bond Programme Mortgage NL 2.50 12.15 N/A No No N/A 2.50 N/A
NN Bank N.V. Soft Bullet Covered Bond Programme Mortgage NL 5.47 236.97 4 No No 4 3.70 3
Van Lanschot N.V. Covered Bond Programme Mortgage NL 2.50 16.94 N/A No No N/A 2.50 N/A
DNB Boligkreditt AS Mortgage NO 11.65 28.63 4 Yes Yes 2 2.50 2
Eiendomskreditt AS Mortgage NO 16.87 28.60 4 No No 4 16.87 0
Nordea Direct AS Mortgage NO 23.02 28.50 4 No No 4 6.80 4
Storebrand Boligkreditt AS Mortgage NO 16.79 22.69 4 No No 4 8.08 3
Danske Hypotek Mortgage SE 22.86 23.95 4 No No 4 5.68 4
Landshypotek Bank AB Mortgage SE 28.46 38.84 4 Yes Yes 2 5.97 2
Lansforsakringar Hypotek Mortgage SE 21.62 29.83 4 Yes Yes 2 7.51 2
Sparbank Skane Mortgage SE 39.19 30.58 2 Yes No 1 7.48 1
Swedbank Mortgage AB Mortgage SE 26.40 77.71 4 Yes Yes 2 6.51 2
United Overseas Bank Ltd. Global Covered Bond Programme Mortgage SG 11.90 104.77 4 No No 2 5.49 0
Bank of Scotland PLC Covered Bond Programme Mortgage UK 15.62 136.29 4 No No 4 10.97 2
Bank of Scotland PLC Social Housing Covered Bond Programme Public UK 19.23 167.94 4 No No 4 19.23 2
Barclays Bank UK PLC Global Covered Bond Programme Mortgage UK 9.64 98.69 4 No No 4 8.02 1
Nationwide Building Society Global Covered Bond Programme Mortgage UK 6.85 48.81 4 No No 4 6.16 1
Santander UK PLC Global Covered Bond Programme Mortgage UK 8.79 56.96 4 No No 4 8.36 1
TCE--Target credit enhancement. ACE--Actual credit enhancement. WH--Withheld at the issuer's request. N/A--Not applicable.

Table 5  |  View Expanded Table

Mortgage Covered Bond Characteristics (Credit Risk)
Issuer/CB program Country of issuer Reporting date Resi (%) Com (%) Pub (%) Other (%) WAFF (%) WALS (%) WAFF & WALS (%) WA time to recovery - mortgage assets (years) WA whole loan LTV (%) 'AAA' credit risk (%)
Anadi Bank Covered Bond Program AT 30/03/2020 67.93 30.30 0.00 1.77 20.91 27.96 5.85 2.17 78.39 13.37
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program AT 31/03/2020 98.02 0.00 1.98 0.00 26.60 46.50 12.37 2.50 50.20 9.93
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) AT 31/03/2020 73.00 27.00 0.00 0.00 30.80 40.59 12.50 2.24 59.29 17.48
Oberösterreichische Landesbank AG Mortgage Covered Bond Program AT 01/04/2020 77.11 21.27 1.62 0.00 13.05 11.71 1.53 2.28 35.29 24.19
Belfius Bank SA/NV BE 10/06/2020 99.07 N/A 0.93 N/A 13.90 21.59 3.00 3.00 43.95 2.50
BNP Paribas Fortis Mortgage Pandbrieven BE 31/03/2020 99.57 0.00 0.00 0.43 14.97 25.70 3.85 3.00 52.38 2.50
Deutsche Apotheker- und Aerztebank eG DE 31/03/2020 77.04 20.08 0.00 2.88 25.54 26.92 6.88 2.47 55.72 6.66
DZ HYP AG Mortgage Sector Covered Bond Program DE 31/03/2020 30.32 67.48 0.00 2.20 20.39 32.80 6.69 1.77 50.29 8.35
Wuestenrot Bausparkasse AG DE 01/04/2020 79.66 13.90 0.00 6.44 8.72 6.80 0.59 2.11 56.68 6.89
Danske Bank A/S - Pool C DK 01/04/2020 0.00 100.00 0.00 0.00 24.78 45.66 11.31 1.00 49.40 13.26
Danske Bank A/S - Pool D DK 31/03/2020 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 31/03/2020 100.00 0.00 0.00 0.00 13.88 44.49 6.18 1.50 58.70 5.83
DLR Kredit A/S - Capital Center B DK 31/03/2020 11.09 75.95 0.00 12.96 31.27 47.24 14.77 1.07 68.36 9.53
DLR Kredit A/S - General Capital Center DK 31/03/2020 44.21 45.98 0.00 9.81 19.05 12.49 2.38 1.24 42.34 2.50
Jyske Realkredit A/S - Capital Center B DK 31/03/2020 64.82 16.66 0.00 18.52 11.44 16.06 1.84 1.40 65.40 6.57
Jyske Realkredit A/S - Capital Center E DK 31/03/2020 54.68 33.86 5.47 5.99 15.63 35.42 5.54 1.31 58.07 2.50
Jyske Realkredit A/S - General Capital Center DK 31/03/2020 2.76 16.33 80.91 0.00 21.92 30.44 6.67 1.08 68.41 11.75
Nordea Kredit Realkredit A/S - Capital Center 1 DK 31/03/2020 59.77 3.15 0.00 37.08 21.25 20.36 4.33 1.45 49.11 7.29
Nordea Kredit Realkredit A/S - Capital Center 2 DK 31/03/2020 58.61 27.99 0.00 13.40 14.43 43.19 6.23 1.34 72.66 2.50
Nykredit Realkredit A/S - Capital Center C DK 30/03/2020 51.04 29.46 12.08 7.42 13.79 9.42 1.30 1.32 11.77 8.17
Nykredit Realkredit A/S - Capital Center D DK 30/03/2020 50.62 34.20 0.00 15.18 16.44 18.52 3.04 1.30 39.19 11.89
Nykredit Realkredit A/S - Capital Center E DK 30/03/2020 80.25 13.67 6.08 0.00 10.13 33.93 3.44 1.43 63.40 2.50
Nykredit Realkredit A/S - Capital Center G DK 30/03/2020 3.25 71.89 0.15 24.71 27.53 70.87 19.51 1.02 56.38 24.38
Nykredit Realkredit A/S - Capital Center General DK 31/12/2019 2.84 2.24 0.00 94.92 18.32 16.34 2.99 1.28 23.31 12.22
Nykredit Realkredit A/S - Capital Center H DK 30/03/2020 61.69 33.66 4.65 0.00 13.74 30.80 4.23 1.33 55.55 2.50
Nykredit Realkredit A/S - Capital Center I DK 30/03/2020 6.92 55.40 0.59 37.09 26.34 58.33 15.36 1.06 49.98 36.35
Realkredit Danmark A/S - Capital Center S DK 30/06/2020 63.67 24.16 0.00 12.17 14.82 31.07 4.60 1.36 57.45 2.50
Realkredit Danmark A/S - Capital Center T DK 30/06/2020 52.71 38.78 7.96 0.55 16.18 31.55 5.10 1.29 49.47 2.50
Realkredit Danmark A/S - General Capital Center DK 30/06/2020 32.82 26.58 26.60 14.00 16.54 24.75 4.09 1.28 42.72 11.10
Totalkredit A/S - Capital Center C DK 30/12/2019 62.95 0.00 0.00 37.05 7.08 2.00 0.14 1.50 32.50 2.50
Abanca Corporacion Bancaria SA ES 30/06/2020 75.90 24.10 N/A N/A 28.46 39.03 11.11 3.14 65.00 27.32
Banco Bilbao Vizcaya Argentaria S.A. ES 30/06/2020 83.75 16.25 0.00 N/A 25.44 36.37 9.25 3.27 73.74 16.13
Bankia S.A. ES 30/06/2020 88.33 11.67 N/A N/A 28.35 40.43 11.46 3.32 58.61 29.74
Bankinter S.A. ES 30/06/2020 75.12 24.88 N/A N/A 21.62 35.26 7.62 3.12 47.88 8.07
CaixaBank S.A. ES 30/06/2020 77.15 22.85 0.00 0.00 26.50 35.67 9.45 3.16 56.59 19.18
Cajamar Caja Rural, S.C.C. ES 30/06/2020 71.92 28.08 N/A N/A 28.98 33.51 9.71 3.08 55.46 16.43
Ibercaja Banco S.A. ES 30/04/2020 86.25 13.75 0.00 0.00 19.80 34.76 6.88 3.29 61.42 19.24
Kutxabank S.A. ES 30/06/2020 90.15 9.85 N/A N/A 19.81 32.23 6.38 3.39 53.33 16.94
Bank of Aland PLC - Category FIN Covered Bonds FI 30/06/2020 87.17 N/A N/A 12.83 11.72 14.11 1.65 2.00 36.09 11.76
Bank of Aland PLC - Category SWE Covered Bonds FI 30/06/2020 100.00 N/A N/A N/A 18.93 59.59 11.28 1.50 51.71 13.45
OMA Savings Bank FI 30/06/2020 92.70 7.30 0.00 0.00 24.44 18.88 4.61 1.93 56.18 9.09
OP Mortgage Bank (second program 2011) FI 31/03/2020 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 31/03/2020 100.00 0.00 0.00 0.00 16.20 16.09 2.61 2.00 55.86 5.30
The Mortgage Society of Finland FI 30/06/2020 37.56 62.44 0.00 0.00 16.41 12.35 2.03 1.34 33.48 3.10
AXA Home Loan SFH FR 30/06/2020 100.00 0.00 0.00 0.00 11.88 34.82 4.14 3.13 67.04 2.50
BNP Paribas Home Loan SFH FR 15/06/2020 92.47 0.00 0.00 7.53 10.70 24.37 2.61 2.92 56.00 5.78
BPCE SFH FR 30/06/2020 96.24 N/A N/A 3.76 11.47 37.87 4.34 3.32 62.27 5.44
Compagnie de Financement Foncier FR 31/03/2020 53.91 0.85 33.18 12.06 13.16 48.49 6.38 2.88 72.95 7.43
Credit Agricole Home Loan SFH Covered Bond Program FR 30/03/2020 97.70 0.00 0.00 2.30 15.16 28.31 4.29 3.08 61.20 5.61
Credit Mutuel Home Loan SFH FR 30/04/2020 95.89 0.00 0.00 4.11 10.85 28.61 3.10 3.08 61.00 6.07
HSBC SFH (France) FR 30/06/2020 100.00 0.00 0.00 0.00 17.77 29.12 5.17 3.00 60.14 2.50
La Banque Postale Home Loan SFH FR 31/05/2020 99.56 0.00 0.14 0.30 10.20 32.88 3.35 2.46 65.90 2.50
MMB SCF Covered Bond Program FR 30/06/2020 97.73 0.00 0.00 2.27 30.49 21.50 6.56 3.00 54.76 3.48
Eurobank Covered Bond Programme I GR 31/03/2020 100.00 0.00 0.00 0.00 12.13 23.57 2.86 7.00 59.51 9.70
Eurobank Covered Bond Programme III GR 31/03/2020 100.00 0.00 0.00 0.00 22.68 24.80 5.62 7.00 54.80 10.23
National Bank Of Greece CB1 Mortgage GR 01/04/2020 100.00 0.00 0.00 0.00 27.02 34.18 9.24 7.00 67.15 16.24
National Bank Of Greece CB2 Mortgage GR 30/06/2020 100.00 0.00 0.00 0.00 13.65 17.59 2.40 7.00 46.78 15.86
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program HU 30/06/2020 90.25 1.62 0.00 8.13 N/A N/A N/A N/A N/A N/A
AIB Mortgage Bank IE 31/03/2020 99.87 0.00 N/A 0.13 15.86 27.95 4.43 3.50 59.85 2.50
UniCredit SpA Obbligazioni Bancarie Garantite Programme IT 31/03/2020 88.59 0.00 0.00 11.41 10.26 11.92 1.22 5.24 49.91 11.39
Kookmin Bank US$7 Billion Global Covered Bond Program KR 31/05/2020 100.00 0.00 0.00 0.00 17.34 26.86 4.66 1.50 49.74 0.75
Korea Housing Finance Corp. Social Covered Bonds EUR 1000 Million Due 2025 KR 30/06/2020 100.00 0.00 0.00 0.00 10.22 31.36 3.21 1.50 54.40 4.17
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2024 KR 30/06/2020 100.00 0.00 0.00 0.00 11.52 39.44 4.54 1.50 56.25 4.17
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2025 KR 06/05/2020 100.00 0.00 0.00 0.00 9.98 34.19 3.41 1.50 53.00 4.17
AEGON Bank N.V. Covered Bond Programme NL 30/06/2020 100.00 0.00 0.00 0.00 9.66 13.03 1.26 1.85 63.60 2.50
ING Bank N.V. NL 31/05/2020 100.00 0.00 0.00 0.00 5.95 19.41 1.15 1.50 54.70 2.50
ING Bank N.V. Soft Bullet Covered Bond Programme NL 30/06/2020 100.00 0.00 0.00 0.00 12.45 27.99 3.48 1.50 86.88 2.87
NIBC Bank N.V. Covered Bond Programme NL 31/05/2020 100.00 0.00 0.00 0.00 14.01 33.18 4.65 1.59 72.52 2.50
NN Bank N.V. Covered Bond Programme NL 30/06/2020 100.00 0.00 0.00 0.00 12.42 36.35 4.51 1.58 76.14 2.50
NN Bank N.V. Soft Bullet Covered Bond Programme NL 08/07/2020 100.00 0.00 0.00 0.00 12.02 32.66 3.93 1.67 71.93 3.11
Van Lanschot N.V. Covered Bond Programme NL 30/06/2020 100.00 0.00 N/A N/A 16.11 39.15 6.31 1.50 64.73 2.50
DNB Boligkreditt AS NO 31/03/2020 97.17 2.83 0.00 0.00 10.68 35.39 3.78 1.49 54.58 2.50
Eiendomskreditt AS NO 31/03/2020 0.00 90.90 0.00 9.10 25.34 52.98 13.43 1.42 45.15 16.87
Nordea Direct AS NO 31/03/2020 97.23 0.00 0.34 2.43 12.15 30.17 3.67 1.50 60.35 6.80
Storebrand Boligkreditt AS NO 31/03/2020 99.99 0.00 0.00 0.01 17.79 38.25 6.80 1.54 57.22 5.18
Danske Hypotek SE 31/01/2020 100.00 0.00 0.00 0.00 15.91 38.53 6.13 1.50 57.53 5.68
Landshypotek Bank AB SE 26/03/2020 46.92 47.26 0.00 5.82 18.26 30.41 5.55 1.25 43.76 5.97
Lansforsakringar Hypotek SE 31/03/2020 95.56 0.00 4.44 0.00 13.17 53.35 7.03 1.50 62.39 7.51
Sparbank Skane SE 23/04/2020 100.00 0.00 0.00 0.00 14.87 48.01 7.14 1.50 54.00 7.48
Swedbank Mortgage AB SE 31/03/2020 84.37 15.15 0.48 0.00 11.29 41.70 4.71 1.42 0.00 6.51
United Overseas Bank Ltd. Global Covered Bond Programme SG 29/05/2020 100.00 0.00 0.00 0.00 5.20 47.55 2.47 1.65 55.80 3.00
Bank of Scotland PLC Covered Bond Programme UK 29/02/2020 100.00 0.00 0.00 0.00 8.23 24.52 2.02 1.50 45.32 6.32
Barclays Bank UK PLC Global Covered Bond Programme UK 30/06/2020 99.69 N/A N/A 0.31 6.54 29.15 1.91 1.50 45.48 3.16
Nationwide Building Society Global Covered Bond Programme UK 30/06/2020 99.88 0.00 0.00 0.12 15.51 30.78 4.77 1.50 49.95 4.08
Santander UK PLC Global Covered Bond Programme UK 31/05/2020 90.06 0.00 0.00 9.94 11.33 35.76 4.05 1.50 54.19 7.06
CB--Covered bond. Resi--Residential assets in the cover pool. Com--Commercial assets in the cover pool. Pub--Public-sector assets in the cover pool. Other--Includes substitute assets and other assets. WAFF--Weighted-average foreclosure frequency. WALS--Weighted-average loss severity. WA--Weighted-average. LTV--Loan-to-value ratio. N/A--Not applicable/available. W/H--Withheld at the issuer's request.

Table 6  |  View Expanded Table

Mortgage Covered Bond Characteristics
Issuer/CB program Country of issuer Reporting date WAM assets (years) WAM liabilities (years) WAM assets minus WAM liabilities (years) Soft-bullet WA target asset spread - mortgage assets (bps) Target CE nominal (%) Actual CE nominal (%)
Anadi Bank Covered Bond Program AT 30/03/2020 17.17 N/A N/A CPT W/H 13.37 20.87
Bausparkasse Wüstenrot AG Mortgage Covered Bond Program AT 31/03/2020 14.90 17.59 -2.69 No 425.00 17.99 123.51
Oberbank AG Mortgage Covered Bond Program (Hypothekarisch fundierte Bankschuldverschreibungen) AT 31/03/2020 9.22 10.53 -1.31 Mixed 579.03 24.31 160.28
Oberösterreichische Landesbank AG Mortgage Covered Bond Program AT 01/04/2020 8.67 8.55 0.12 No 552.95 28.84 42.26
Belfius Bank SA/NV BE 10/06/2020 6.67 8.64 -1.97 Yes 425.00 4.92 19.66
BNP Paribas Fortis Mortgage Pandbrieven BE 31/03/2020 7.48 6.78 0.70 Yes 425.00 7.85 33.51
Deutsche Apotheker- und Aerztebank eG DE 31/03/2020 5.78 8.36 -2.58 No 626.18 9.09 9.38
DZ HYP AG Mortgage Sector Covered Bond Program DE 31/03/2020 7.33 7.68 -0.35 No 821.73 10.15 18.77
Wuestenrot Bausparkasse AG DE 01/04/2020 4.45 5.52 -1.07 No 506.58 9.09 38.61
Danske Bank A/S - Pool C DK 01/04/2020 2.12 4.17 -2.05 No 1,000.00 21.38 21.98
Danske Bank A/S - Pool D DK 31/03/2020 11.56 6.62 4.94 Yes 425.00 6.29 10.19
Danske Bank A/S - Pool I DK 31/03/2020 12.13 4.52 7.61 Yes 425.00 17.28 13.47
DLR Kredit A/S - Capital Center B DK 31/03/2020 11.72 13.23 -1.51 Mixed 915.36 11.49 14.89
DLR Kredit A/S - General Capital Center DK 31/03/2020 6.63 7.11 -0.48 No 719.13 2.50 10.88
Jyske Realkredit A/S - Capital Center B DK 31/03/2020 7.34 8.39 -1.05 Mixed 542.58 6.57 19.65
Jyske Realkredit A/S - Capital Center E DK 31/03/2020 13.34 14.27 -0.93 Mixed 644.89 3.46 6.38
Jyske Realkredit A/S - General Capital Center DK 31/03/2020 9.66 11.18 -2 Mixed 912.12 11.75 18.68
Nordea Kredit Realkredit A/S - Capital Center 1 DK 31/03/2020 5.20 7.82 -2.62 No 481.18 14.58 58.46
Nordea Kredit Realkredit A/S - Capital Center 2 DK 31/03/2020 12.98 14.44 -1.46 Mixed 611.00 3.41 15.46
Nykredit Realkredit A/S - Capital Center C DK 30/03/2020 3.98 3.80 0.18 Mixed 634.73 8.17 8.33
Nykredit Realkredit A/S - Capital Center D DK 30/03/2020 8.45 8.89 -0.44 Mixed 654.15 11.89 16.03
Nykredit Realkredit A/S - Capital Center E DK 30/03/2020 14.28 14.64 -0.36 Mixed 508.36 2.50 3.47
Nykredit Realkredit A/S - Capital Center G DK 30/03/2020 9.50 11.03 -1.53 Mixed 974.27 25.21 32.81
Nykredit Realkredit A/S - Capital Center General DK 31/12/2019 5.40 5.31 0.09 No 678.35 12.22 1582.87
Nykredit Realkredit A/S - Capital Center H DK 30/03/2020 12.96 13.26 -0.30 Mixed 626.07 2.50 3.48
Nykredit Realkredit A/S - Capital Center I DK 30/03/2020 9.03 11.30 -2.27 Mixed 936.13 36.35 58.95
Realkredit Danmark A/S - Capital Center S DK 30/06/2020 13.27 14.07 -0.80 Mixed 583.71 3.37 7.47
Realkredit Danmark A/S - Capital Center T DK 30/06/2020 14.10 15.06 -0.96 Mixed 668.39 2.50 6.51
Realkredit Danmark A/S - General Capital Center DK 30/06/2020 8.35 9.32 -0.97 Mixed 673.48 11.10 16.25
Totalkredit A/S - Capital Center C DK 30/12/2019 7.59 7.61 -0.02 Mixed 425.00 2.50 57.69
Abanca Corporacion Bancaria SA ES 30/06/2020 18.75 5.78 12.97 No 772.43 41.07 307.3
Banco Bilbao Vizcaya Argentaria S.A. ES 30/06/2020 17.46 3.19 14.27 No 746.02 41.07 85.58
Bankia S.A. ES 30/06/2020 19.28 5.45 13.83 No 735.02 42.10 171.39
Bankinter S.A. ES 30/06/2020 18.10 5.81 12.29 No 774.68 20.94 80.27
CaixaBank S.A. ES 30/06/2020 16.15 4.47 11.68 No 768.54 31.36 59.56
Cajamar Caja Rural, S.C.C. ES 30/06/2020 18.99 2.41 16.58 No 784.24 50.79 103.94
Ibercaja Banco S.A. ES 30/04/2020 18.64 3.58 15.06 No 741.26 37.98 234.82
Kutxabank S.A. ES 30/06/2020 19.22 3.04 16.18 No 721.93 44.86 788.33
Bank of Aland PLC - Category FIN Covered Bonds FI 30/06/2020 6.33 4.25 2.08 Mixed 425.00 20.40 50.03
Bank of Aland PLC - Category SWE Covered Bonds FI 30/06/2020 27.86 4.61 23.25 Mixed 425.00 41.90 50.66
OMA Savings Bank FI 30/06/2020 8.22 4.14 4.08 Yes 466.98 20.90 29.93
OP Mortgage Bank (second program 2011) FI 31/03/2020 6.70 5.63 1.07 Yes 425.00 3.08 12.34
Sp Mortgage Bank plc FI 31/03/2020 9.18 4.58 4.60 Yes 425.00 19.15 25.55
The Mortgage Society of Finland FI 30/06/2020 9.41 4.22 5.19 Yes 784.01 21.79 25.47
AXA Home Loan SFH FR 30/06/2020 9.13 8.46 0.67 Yes 461.00 2.50 15
BNP Paribas Home Loan SFH FR 15/06/2020 12.68 5.68 7.00 Mixed 425.00 7.38 17.19
BPCE SFH FR 30/06/2020 13.95 6.75 7.20 Mixed 439.20 5.44 32.62
Compagnie de Financement Foncier FR 31/03/2020 9.98 7.41 2.57 No 466.14 10.67 15.53
Credit Agricole Home Loan SFH Covered Bond Program FR 30/03/2020 13.16 6.52 6.64 Mixed 425.00 6.86 37.12
Credit Mutuel Home Loan SFH FR 30/04/2020 N/A 3.79 N/A Mixed 454.17 8.28 44.06
HSBC SFH (France) FR 30/06/2020 14.05 2.58 11.47 Mixed 425.00 7.48 57.64
La Banque Postale Home Loan SFH FR 31/05/2020 8.36 6.66 1.70 Mixed 425.00 4.32 39.05
MMB SCF Covered Bond Program FR 30/06/2020 9.33 9.04 0.29 Yes 460.49 7.14 20.98
Eurobank Covered Bond Programme I GR 31/03/2020 17.00 N/A N/A CPT N/A 9.70 33.2
Eurobank Covered Bond Programme III GR 31/03/2020 14.91 N/A 14.24 CPT 0.00 10.23 25.58
National Bank Of Greece CB1 Mortgage GR 01/04/2020 21.93 N/A N/A CPT 0.00 16.24 52.54
National Bank Of Greece CB2 Mortgage GR 30/06/2020 11.97 N/A N/A CPT N/A 15.86 29.74
Takarek Mortgage Bank Co. PLC Mortgage Covered Bond Program HU 30/06/2020 8.08 3.73 4.35 No N/A N/A 8.28
AIB Mortgage Bank IE 31/03/2020 10.82 5.58 5.24 Yes 1,000.00 13.77 36.11
UniCredit SpA Obbligazioni Bancarie Garantite Programme IT 31/03/2020 14.06 3.45 10.61 N/A 700.00 23.34 65.12
Kookmin Bank US$7 Billion Global Covered Bond Program KR 31/05/2020 30.35 5.00 25.35 Yes N/A 12.30 327.08
Korea Housing Finance Corp. Social Covered Bonds EUR 1000 Million Due 2025 KR 30/06/2020 N/A N/A N/A No N/A 4.17 17.46
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2024 KR 30/06/2020 N/A N/A N/A No N/A 4.17 47.71
Korea Housing Finance Corp. Social Covered Bonds EUR 500 Million Due 2025 KR 06/05/2020 N/A N/A N/A No N/A 4.17 20.13
AEGON Bank N.V. Covered Bond Programme NL 30/06/2020 25.67 N/A N/A CPT N/A 2.50 20.29
ING Bank N.V. NL 31/05/2020 15.82 5.18 10.64 Mixed 425.00 16.34 16.8
ING Bank N.V. Soft Bullet Covered Bond Programme NL 30/06/2020 20.15 7.24 12.91 Yes 425.00 12.67 19.48
NIBC Bank N.V. Covered Bond Programme NL 31/05/2020 23.14 N/A N/A CPT N/A 2.50 15.86
NN Bank N.V. Covered Bond Programme NL 30/06/2020 28.00 N/A N/A CPT N/A 2.50 12.15
NN Bank N.V. Soft Bullet Covered Bond Programme NL 08/07/2020 27.72 11.00 16.72 Yes 425.00 5.47 236.97
Van Lanschot N.V. Covered Bond Programme NL 30/06/2020 19.84 N/A N/A CPT N/A 2.50 16.94
DNB Boligkreditt AS NO 31/03/2020 12.77 4.75 8.02 Mixed 441.25 11.65 28.63
Eiendomskreditt AS NO 31/03/2020 5.58 4.38 1.20 Yes 1,000.00 16.87 28.6
Nordea Direct AS NO 31/03/2020 12.08 3.24 8.84 Yes 425.00 23.02 28.5
Storebrand Boligkreditt AS NO 31/03/2020 13.79 3.78 10.01 Yes 425.00 16.79 22.69
Danske Hypotek SE 30/06/2020 13.14 3.23 9.91 No 425.00 22.86 23.95
Landshypotek Bank AB SE 26/03/2020 20.61 3.34 17.27 No 425.00 28.46 38.84
Lansforsakringar Hypotek SE 31/03/2020 13.67 3.52 10.15 No 425.00 21.62 29.83
Sparbank Skane SE 23/04/2020 24.94 3.71 21.23 No 425.00 39.19 30.58
Swedbank Mortgage AB SE 31/03/2020 12.64 3.10 9.54 No 512.51 26.40 77.71
United Overseas Bank Ltd. Global Covered Bond Programme SG 29/05/2020 20.69 3.60 17.08 Yes 425.00 11.90 104.77
Bank of Scotland PLC Covered Bond Programme UK 29/02/2020 12.35 2.78 9.57 Yes 425.00 15.62 136.29
Barclays Bank UK PLC Global Covered Bond Programme UK 30/06/2020 13.22 2.67 10.55 Mixed 425.00 9.64 98.69
Nationwide Building Society Global Covered Bond Programme UK 30/06/2020 20.55 5.60 14.95 Yes 425.00 6.85 48.81
Santander UK PLC Global Covered Bond Programme UK 31/05/2020 18.17 4.39 13.78 Mixed 425.00 8.79 56.96
WAM--Weighted-average maturity. WA--Weighted-average. Bps--Basis points. CE--Credit enhancement. N/A--Not applicable. W/H--Withheld at issuer's request. CPT--Conditional pass-through

Table 7  |  View Expanded Table

Non-Mortgage Covered Bond Characteristics (Credit Risk)
Issuer/CB program Asset type Country of issuer Reporting date Resi (%) Com (%) Pub (%) Other (%) SDR (%) WA rating (%) Asset default risk (%)
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT 3/31/2020 0.00 0.00 100.00 0.00 N/A N/A N/A
Kommunalkredit Austria Public Sector Covered Bonds Public AT 3/31/2020 0.00 0.00 96.07 3.93 24.42 BBB+ 24.75
Oesterreichische Kontrollbank AG Public Sector Covered Bonds Public AT 6/30/2020 0.00 0.00 100.00 0.00 N/A N/A N/A
Belfius Bank SA/NV Public BE 3/31/2020 0.00 0.00 100.00 0.00 35.32 BBB- 2.5
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE 3/31/2020 0.00 0.03 99.97 0.00 W/H W/H W/H
DZ HYP AG Public Sector Covered Bond Program Public DE 3/31/2020 0.00 0.00 100.00 0.00 24.09 A- 10.39
NRW.BANK Public DE 3/31/2020 0.00 0.00 100.00 0.00 81.39 B- 17.24
Danmarks Skibskredit Ship DK 6/30/2020 N/A N/A N/A 100.00 N/A N/A N/A
Danmarks Skibskredit A Ship DK 6/30/2020 N/A N/A N/A 100.00 N/A N/A N/A
Bankia S.A. Public ES 7/2/2020 0.00 0.00 100.00 0.00 39.34 BBB- 40.45
Caisse Francaise de Financement Local Public FR 3/30/2020 0.00 0.00 98.22 1.78 34.33 BBB 8.48
Compagnie de Financement Foncier Mixed FR 3/31/2020 53.91 0.85 33.18 12.06 35.02 BBB 7.43
Credit Agricole Public Sector SCF Public FR 6/30/2020 0.00 0.00 100.00 0.00 13.57 BBB- 17.95
GE SCF S.C.A Public FR 3/31/2020 0.00 0.00 74.47 25.53 N/A N/A W/H
Societe Generale SCF Public FR 3/31/2020 0.00 0.00 100.00 0.00 32.69 BB+ 2.5
Bank of Scotland PLC Social Housing Covered Bond Programme Public UK 4/1/2020 0.00 0.00 87.39 12.61 44.88 A 19.23
CB--Covered bond. Resi--Residential assets in the cover pool. Com--Commercial assets in the cover pool. Pub--Public-sector assets in the cover pool. Other--Includes substitute assets and other assets. SDR--Scenario default rate. WA--Weighted-average. N/A--Not applicable. W/H--Withheld at the issuer's request.

Table 8  |  View Expanded Table

Non-Mortgage Covered Bond Characteristics
Issuer/CB program Asset type Country of issuer Reporting date WAM assets (years) WAM liabilities (years) WAM assets minus WAM liabilities (years) Soft-bullet WA target asset spread - public assets (bps) Target CE nominal (%) Actual CE nominal (%)
KA Finanz FBS - Fundierte Bankschuldverschreibungen Public AT 3/31/2020 N/A N/A N/A No N/A N/A 45.39
Kommunalkredit Austria Public Sector Covered Bonds Public AT 3/31/2020 5.27 3.32 1.95 No 414.53 24.75 18.44
Oesterreichische Kontrollbank AG Public Sector Covered Bonds Public AT 6/30/2020 3.08 2.66 0.42 No N/A N/A 7.06
Belfius Bank SA/NV Public BE 3/31/2020 7.22 6.59 0.63 Yes 400.00 11.12 33.02
DZ BANK AG Deutsche Zentral-Genossenschaftsbank Public DE 3/31/2020 W/H W/H W/H No 0.00 W/H 107.60
DZ HYP AG Public Sector Covered Bond Program Public DE 3/31/2020 8.79 8.41 0.38 No 229.20 14.2 20.07
NRW.BANK Public DE 3/31/2020 6.26 8.04 (1.78) No 150.00 69.12 58.54
Danmarks Skibskredit Ship DK 6/30/2020 3.40 3.90 (0.50) No N/A N/A 18.94
Danmarks Skibskredit A Ship DK 6/30/2020 2.40 3.50 (1.10) No N/A N/A 20.05
Bankia S.A. Public ES 7/2/2020 5.49 5.00 0.49 No 599.78 46.99 59.82
Caisse Francaise de Financement Local Public FR 3/30/2020 8.01 6.73 1.28 No 433.11 21.66 13.35
Compagnie de Financement Foncier Mixed FR 3/31/2020 9.98 7.41 2.57 No 462.56 10.67 15.53
Credit Agricole Public Sector SCF Public FR 6/30/2020 4.05 6.34 (2.29) Yes 321.40 20.38 35.43
GE SCF S.C.A Public FR 3/31/2020 6.59 7.93 (1.34) No N/A W/H 50.08
Societe Generale SCF Public FR 3/31/2020 6.40 6.15 0.25 Mixed 375.27 12.77 40.79
Bank of Scotland PLC Social Housing Covered Bond Programme Public UK 4/1/2020 30.00 4.37 25.63 Yes 400.00 19.23 167.94
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

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.


Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back