Global Covered Bond Insights Q1 2021 · 2021. 4. 8. · eurozone interest rates against the rise in...

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Global Covered Bond Insights Q1 2021 April 8, 2021

mailto:[email protected]








Global Covered Bond Insights Q1 2021

spglobal.com/ratingsdirect April 8, 2021 2

Key Takeaways − Conditions are in place for a solid economic recovery in Europe in the second half of 2021,

and we have marginally changed our GDP forecasts accordingly. However, the outlook remains largely uncertain and highly contingent on the race between the vaccine and the virus.

− Year-to-date covered bond issuance is more than 50% below 2020 levels and 2021 issuance prospects remain subdued.

− The path to EU covered bond harmonization is unfolding with more countries releasing public or confidential consultation papers to meet the July 2021 implementation deadline.

2021 Issuance Is Off To A Slow Start Year-to-date European investor-placed benchmark covered bond issuance is about 55% lower than 2020 levels, when January and February issuance volumes were unaffected by the COVID-19 pandemic. The main causes of the decline are issuers' renewed access to competitively priced central bank funding and growth in bank deposits due to reduced consumer spending. We expect 2021 investor-placed issuance to remain subdued and to likely end the year lower than 2020 levels.

Chart 1

European Investor-Placed Benchmark Covered Bond Issuance

Note: Year-to-date figures are as of March 12 each year. Source: S&P Global Ratings. Download chart data.

A Gradual Recovery For Covered Bonds In New Markets Our recently published Covered Bonds In New Markets: Expect Only A Gradual Recovery details the growth prospects for covered bonds in new markets. The covered bond market remained open throughout 2020, both in established and new markets, although ample liquidity is dampening issuance. Weak asset growth and limited funding needs will constrain volumes in 2021, but the outlook remains positive because of the role that covered bonds could play in mobilizing private capital towards mortgage financing in new markets. The transposition of the EU harmonization directive will support the expansion of covered bonds in Central and Eastern Europe, mainly in larger markets, while new entrants could bolster issuance in Asia, especially if further regulatory and legislative initiatives are adopted.

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https://www.standardandpoors.com/pt_LA/web/guest/article/-/view/sourceId/100050127

https://www.capitaliq.com/CIQDotNet/CreditResearch/SPResearch.aspx?DocumentId=47540125&From=SNP_CRS



LIBOR Transition We also recently published a report looking at how European structured finance issuers are ramping up their efforts to phase out British pound sterling London Interbank Offered Rate (LIBOR) this year, ahead of the Dec. 31, 2021, deadline. For covered bonds, we expect a smooth transition. We rate four covered bond programs with exposure to sterling LIBOR, three of which will be redeemed before December or will use the last LIBOR rate as a reference rate for the notes redeeming in early 2022. The issuer of the other program has confirmed their intention to replace LIBOR before the end of 2021 (see “European Structured Finance Market Accelerates Transition From LIBOR,” published on Feb. 9, 2021).

The Ongoing Pursuit Of EU Harmonization In a recent publication we provided an overview of the proposal and request for comments to amend the Swedish covered bond law. The main proposed amendments to the existing law relate to loan-to-value ratio requirements, overcollateralization, the introduction of 180-day liquidity coverage, and clarifications of soft-bullet extension conditions (see “Swedish Covered Bonds: Harmonization Plan Paves Way For Further Rating Uplift,” published on Feb. 4, 2021).

Other European countries have recently released public or private consultation proposals for the implementation of the EU harmonization directive. On March 8, 2021, the Dutch Ministry of Finance released a public consultation with one of the key amendments being the deletion of the definition of ‘registered covered bond’ from Dutch law--the new legal registration requirements make it redundant. In Belgium, the National Bank of Belgium released in March a private consultation paper to members of the Belgian Banking Federation, Febelfin. Similarly, in France the Treasury released in February a private consultation proposal to members of the French Banking Federation (the FBF). Legislative efforts in these countries are geared to meeting the July implementation deadline.

Recent Covered Bond Market Insights Publications We've also published a series of reports taking a closer look at individual covered bond markets. In each article, we present the local covered bond market, explain how the relevant legal framework operates, provide an overview of the mortgage market, compare key characteristics of the existing programs, and present the results of a scenario analysis.

We published our reports on the Spanish, Norwegian, and Finnish markets in January and February of 2021 (see “Spanish Covered Bond Market Insights 2021,” published on Feb. 2, 2021, and “Norwegian And Finnish Covered Bond Market Insights 2021” published on Jan. 19, 2021).

Credit Conditions In Europe We forecast that the eurozone economy will grow by 4.2% in 2021 and 4.4% in 2022. We made small revisions factoring a higher degree of business and consumer adaptation to COVID-19 restrictions, a gradual vaccination rollout, and strong external demand. Favorable financing conditions in the eurozone underpin our revised baseline forecast. Weaker economic fundamentals and the ECB's commitment to monetary accommodation are shielding long-term eurozone interest rates against the rise in U.S. yields. The employment recovery should be faster than after the global financial crisis because job losses in 2020 were not linked to economic imbalances and are less skills-specific than manufacturing jobs lost in 2008-2009. Finally, short-









time work schemes have worked well at cushioning the European labor market (see “Credit Conditions Europe Q2 2021: New Horizons, Old Risks,” published on March 30, 2021, “Economic Outlook Europe Q2 2021: The Path To A Strong Restart,” published on March 25, 2021, “This Time, Europe Is Set To Stage A Jobs-Rich Recovery,” published on March 16, 2021, “Europe’s Housing Market Will Chill In 2021 As Pent-Up Pandemic Demand Eases,” published on Feb. 22, 2021, and “European Economic Snapshots: Policy Is Keeping The Impact Of The Second COVID Wave At Bay,” published on Dec. 16, 2020).

Table 1

Main European Economic Indicators

Central forecast

Real GDP (% change) Germany France Italy Spain Netherlands Belgium Eurozone U.K.

2019 0.6 1.5 0.3 2.0 1.6 1.7 1.3 1.4

2020 (5.2) (8.2) (8.7) (11.0) (3.8) (6.3) (6.8) (9.9)

2021(f) 3.2 5.6 4.7 5.7 3.1 4.3 4.2 4.3

2022(f) 3.7 4.2 4.2 6.6 3.3 4.1 4.4 6.8

2023(f) 1.8 2.0 1.8 2.9 1.9 2.0 2.1 2.2

2024(f) 1.6 1.9 0.9 2.2 1.6 1.5 1.6 1.8

Unemployment rate (%)

2019 3.1 8.5 9.9 14.1 3.4 5.4 7.6 3.8

2020 4.2 8.2 9.2 15.6 3.8 5.6 8.0 4.5

2021(f) 4.4 8.9 9.9 16.6 3.9 6.0 8.5 6.3

2022(f) 4.0 9.3 9.8 15.9 3.8 5.6 8.2 5.5

2023(f) 3.6 8.8 9.4 15.2 3.6 5.4 7.7 4.4

2024(f) 3.3 8.4 9.1 14.8 3.5 5.3 7.4 4.3

f--S&P Global Ratings' European Economic Forecast, March 2021. Source: S&P Global Ratings.

New Ratings On Jan. 15, 2021, we assigned our rating to Iceland-based Landsbankinn hf's mortgage covered bond program and related issuance (see “New Issue: Landsbankinn hf. Covered Bond Program”). Later that month, we assigned our rating to South Korea-based KEB Hana Bank’s mortgage covered bond program and related issuance (see “New Issue: KEB Hana Bank US$5 Billion Global Covered Bond Program,” published on Jan. 26, 2021). Finally, on Feb. 11, 2021, we assigned our rating to Belgium-based Argenta Spaarbank N.V.’s mortgage covered bond program and related issuance (see “New Issue: Argenta Spaarbank N.V.”).

Remaining European Countries Rolled Into Global Residential Loans Criteria On Jan. 8, 2021, we published our updated methodology and assumptions for assessing pools of residential mortgage loans, which describes our approach to rating residential mortgage-backed securities (RMBS) and covered bonds. The scope of the criteria was expanded to include Austria, Germany, Greece, Hungary, Italy, Portugal, and Spain. We do not expect any related rating change

https://www.capitaliq.com/CIQDotNet/CreditResearch/pdf.aspx?ResearchDocumentId=47704124&isPDA=Y















on our covered bond programs (see “Global Criteria For Assessing Pools Of Residential Loans Updated To Include Seven European Jurisdictions”).

Core Characteristics And Risk Indicators In first-quarter 2021, we have raised the rating on one covered bond program.

Chart 2

Covered Bond Rating Actions

Source: S&P Global Ratings. Download chart data.

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 Q4 2020 ICR

New Rating

Argenta Spaarbank N.V. Belgian Covered Bonds Belgium LCB/BMP Mortgage AAA/Stable/-- NR A-/Stable/A-2

Landsbankinn hf. Icelandic Covered Bond Program Iceland LCB Mortgage A-/Stable/-- NR BBB/Stable/A-2

KEB Hana Bank US$5 Billion Global Covered Bond Program

Korea LCB Mortgage AAA/Stable/-- NR A+/Stable/A-1

Upgraded

Kommunalkredit Austria Public Sector Covered Bonds Public

Austria LCB/OPF Public A+/Stable/-- A/Stable/-- BBB-/Stable/A-3

Affirmed

The Mortgage Society of Finland Mortgage Finland LCB/FCB Mortgage AAA/Stable/-- AAA/Negative/-- BBB/Stable/A-2

Withdrawn

Bankia S.A. Mortgage Covered Bond Program Spain LCB/CH Mortgage NR AA/Negative/-- BBB/Watch Pos/A-2

Bankia S.A. Public Sector Covered Bond Program Spain LCB/CT Public NR AA-/Negative/-- BBB/Watch Pos/A-2

ICR--Issuer credit rating. BMP--Belgian mortgage pandbrieven. LCB--Legislation-enabled covered bonds. CH- Cédulas Hipotecarias. CT--Cédulas Territoriales. OPF-Oeffentlicher Pfandbrief . FCB- Finish covered bonds. NR--Not rated.

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Source: S&P Global Ratings.

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, "first-quarter 2021" means between Dec. 18, 2021, and April 8, 2021, inclusive.

Chart 3

Covered Bond Ratings Distribution By Rating Category


Chart 4

Covered Bond Issuer Ratings Distribution By Rating Category


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Chart 5

Covered Bond Outlook Distribution


Chart 6

Covered Bond Issuer Outlook Distribution


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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

Average Number Of Unused Notches By Country In Q4 2020

Note: This chart does not include P/T programs, programs with no rating on the issuer, and GE SCF S.C.A. Download chart data.

Chart 8

Available And Target Credit Enhancement By Country In Q4 2020

Note: The scale is capped at 100%. Spain, Singapore, South Korea, and the U.K. have available credit enhancement exceeding 100%.


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DenmarkSpain

FinlandFrance

GermanyGreeceIreland

ItalyNetherlands

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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/-- 20.36 3.98 1

BNP Paribas Fortis SA/NV LCB/BMP Belgium Mortgage AAA/Stable/-- 32.52 7.43 3

ING Bank N.V. LCB/DRCB The Netherlands Mortgage AAA/Stable/-- 28.11 2.50 4

ING Bank N.V. Soft Bullet LCB/DRCB The Netherlands Mortgage AAA/Stable/-- 19.93 2.90 4

AEGON Bank N.V. LCB/DRCB The Netherlands Mortgage AAA/--/-- 19.29 2.50 N/A

NIBC Bank N.V. LCB/DRCB The Netherlands Mortgage AAA/--/-- 19.2 2.50 N/A

NN Bank N.V Covered Bond Program

LCB/DRCB The Netherlands Mortgage AAA/--/-- 14.39 2.50 N/A

NN Bank N.V. Soft Bullet LCB/DRCB The Netherlands Mortgage AAA/Stable/-- 23.84 3.29 3

Van Lanschot N.V. LCB/DRCB The Netherlands Mortgage AAA/--/-- 20.96 2.57 N/A

LCB--Legislation enabled covered bonds. BMP--Belgian mortgage program. DRCB--Dutch registered covered bond. OC--Overcollateralization. N/A--Not applicable.

Chart 9

Covered Bond Ratings: Distribution Of Uplifts Above ICR

Belgian And Dutch mortgage covered bond programs

ICR--Issuer credit rating. Source: S&P Global Ratings.



Austrian And German Mortgage Programs

Table 5

Austrian And German Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

Austrian Anadi Bank LCB Austria Mortgage AA/--/-- 26.02 11.25 N/A

Bausparkasse Wüstenrot LCB/HYPF Austria Mortgage AAA/Stable/-- 78.27 9.79 1

Oberbank AG LCB/HYPF Austria Mortgage AAA/Stable/-- 195.52 21.38 2

Oberösterreichische Landesbank

LCB/HYPF Austria Mortgage AA+/Stable/-- 38.89 2.00 0

Deutsche Apotheker- und Aerztebank eG

LCB/HYPF Germany Mortgage AAA/Stable/-- 23.32 5.99 5

DZ HYP AG Mortgage LCB/HYPF Germany Mortgage AAA/Stable/A-1+ 14.19 7.20 5

Wuestenrot Bausparkasse AG LCB/HYPF Germany Mortgage AAA/Stable/-- 44.46 9.20 2

LCB--Legislation-enabled covered bonds. HYPF--Hypothekenpfandbrief. OC--Overcollateralization. N/A--Not applicable. W/H--Withheld.

Chart 10


Austrian and German mortgage covered bond programs




Austrian And German Public Sector Programs

Table 6

Austrian And German Public Sector Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

KA Finanz FBS LCB/OPF Austria Public AA+/Stable/-- 39.38 0 0

Kommunalkredit Austria LCB/OPF Austria Public A+/Stable/-- 17.82 2 0

Oesterreichische Kontrollbank LCB/OPF Austria Public AA+/Stable/-- 29.72 N/A 0

DZ HYP AG Pub LCB/OPF Germany Public AAA/Stable/-- 19.03 10.45 5

DZ BANK AG Deutsche Zentral-Genossenschaftsbank

LCB/OPF Germany Public AA+/Stable/A-1+ 111.87 5.90 3

NRW.BANK LCB/OPF Germany Public AAA/Stable/-- 52.08 18.51 1

OC--Overcollateralization. LCB--Legislation-enabled covered bonds. OPF--Öffentlicher pfandbrief.

Chart 11


Austrian and German public sector covered bond programs




Danish særligt dækkede obligationer (SDO) And særligt dækkede realkredit obligationer (SDRO) Programs

Table 7

Danish SDO And SDRO Covered Bond Program

Issuer Covered bond



rating Number of

unused notches

Jyske Realkredit A/S - Capital Center E

LCB/SDO Denmark Mortgage AAA/Stable/A-1+ 6.42 2.50 2

Danske Bank A/S - Pool C LCB/SDO Denmark Mortgage AAA/Stable/-- 19.23 12.46 2

Danske Bank A/S - Pool D LCB/SDO Denmark Mortgage AAA/Stable/-- 10.75 2.50 2

Danske Bank A/S - Pool I LCB/SDO Denmark Mortgage AAA/Stable/-- 12.22 6.98 0

DLR Kredit A/S - Capital Center B LCB/SDO Denmark Mortgage AAA/Stable/-- 13.50 9.26 2

Nordea Kredit Realkredit A/S - Capital Center 2

LCB/SDRO Denmark Mortgage AAA/Stable/A-1+ 14.32 2.50 5

Nykredit Realkredit A/S - Capital Center E

LCB/SDO Denmark Mortgage AAA/Stable/-- 3.37 2.50 4

Nykredit Realkredit A/S - Capital Center H

LCB/SDO Denmark Mortgage AAA/Stable/-- 3.41 2.50 4

Realkredit Danmark A/S - Capital Center S


Realkredit Danmark A/S - Capital Center T


LCB--Legislation-enabled covered bonds. SDO--Saerligt daekkede obligationer. SDRO--Saerligt daekkede realkredit obligationer. OC--Overcollateralization.

Chart 12


Danish SDO and SDRO covered bond programs




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 Number of

unused notches

Jyske Realkredit A/S - Capital Center B LCB/RO Denmark Mortgage AAA/Stable/A-1+ 13.15 8.11 3

Jyske Realkredit A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/A-1+ 24.49 10.71 3

DLR Kredit A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/-- 11.02 3.07 2

Nordea Kredit Realkredit A/S - Capital Center 1 LCB/RO Denmark Mortgage AAA/Stable/A-1+ 70.25 7.35 5

Nykredit Realkredit A/S - Capital Center C LCB/RO Denmark Mortgage AAA/Stable/-- 9.75 8.08 4

Nykredit Realkredit A/S - Capital Center D LCB/RO Denmark Mortgage AAA/Stable/-- 20.68 12.64 4

Nykredit Realkredit A/S - Capital Center G LCB/RO Denmark Mortgage AAA/Stable/-- 31.44 24.85 4

Nykredit Realkredit A/S - Capital Center General LCB/RO Denmark Mortgage AAA/Stable/-- 5907.94 9.7 4

Nykredit Realkredit A/S - Capital Center I LCB/RO Denmark Mortgage AAA/Stable/-- 66.39 37.22 4

Realkredit Danmark A/S - General Capital Center LCB/RO Denmark Mortgage AAA/Stable/-- 16.87 12.4 3

Totalkredit A/S - Capital Center C LCB/RO Denmark Mortgage AAA/Stable/-- 24.37 2.5 4

LCB--Legislation-enabled covered bonds. SDO--Saerligt daekkede obligationer. SDRO--Saerligt daekkede realkredit obligationer. OC--Overcollateralization.

Chart 13


Danish RO mortgage covered bond programs




French Mortgage Programs

Table 9

French Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

AXA Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 15.01 2.5 5

BNP Paribas Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 38.45 18.19 5

BPCE SFH LCB/OFH France Mortgage AAA/Stable/-- 33.04 6.3 5

Credit Agricole Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 53.03 4.37 5

Credit Mutuel Home Loan SFH LCB/OFH France Mortgage AAA/Stable/-- 55.02 6.86 4

HSBC SFH (France) LCB/OFH France Mortgage AAA/Stable/-- 23.08 4.35 5

La Banque Postale SFH LCB/OFH France Mortgage AAA/Stable/-- 32.56 3.34 4

MMB SCF LCB/OFH France Mortgage AAA/Negative/-- 21.14 7 0

LCB--Legislation-enabled covered bonds. OFH--Obligations de financement de l'habitat. SCB--Structured covered bonds. OC--Overcollateralization.

Chart 14


French mortgage covered bond programs




French Public Sector Programs

Table 10

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/-- 12.37 6.07 0

Compagnie de Financement Foncier LCB/OF France Mixed AAA/Stable/A-1+ 15.93 7.03 5

Credit Agricole Public Sector SCF LCB/OF France Public AAA/Stable/-- 45.3 21.28 5

GE SCF S.C.A LCB/OF France Public AA/Stable/-- 49.26 18.96 W/H

Societe Generale SCF LCB/OF France Public AAA/Stable/A-1+ 31.05 7.21 4

LCB--Legislation-enabled covered bonds. OFH--Obligations de financement de l'habitat. SCB--Structured covered bonds. OC--Overcollateralization.

Chart 15


French public sector covered bond programs




Finnish Mortgage Programs

Table 11

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/-- 42.76 16.21 1

Bank of Aland PLC - Category SWE Covered Bonds LCB/FCB Finland Mortgage AAA/Stable/-- 51.06 36.82 1

Mortgage Society of Finland LCB/FCB Finland Mortgage AAA/Negative/-- 31.12 20.50 0

OMA Savings Bank LCB/FCB Finland Mortgage AAA/Stable/-- 21.65 13.40 2

OP Mortgage Bank (second program 2011) LCB/FCB Finland Mortgage AAA/Stable/-- 12.64 2.50 5

Sp Mortgage Bank PLC LCB/FCB Finland Mortgage AAA/Stable/-- 35.7 8.60 1

LCB--Legislation-enabled covered bonds. FCB--Finnish covered bond. OC--Overcollateralization.

Chart 16


Finnish mortgage covered bond programs




Greek Mortgage Programs

Table 12

Greek Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

Eurobank CB III LCB/GCB Greece Mortgage BBB+/--/-- 23.07 9.89 N/A

National Bank Of Greece CB1 LCB/GCB Greece Mortgage BBB+/--/-- 36.77 17.37 N/A

National Bank Of Greece CB2 LCB/GCB Greece Mortgage BBB+/--/-- 657.21 17.58 N/A

LCB--Legislation-enabled covered bonds. GCB--Greek covered bonds. OC--Overcollateralization. N/A--Not applicable.

Chart 17


Greek covered bond programs




Korean Mortgage Programs

Table 13

Korean Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

Kookmin Bank CB LCB South Korea Mortgage AAA/Stable/-- 295.85 12.4 0

KEB Hana Bank US$5 Billion Global Covered Bond Program

LCB South Korea Mortgage AAA/Stable/-- 466.57 15.0 0

KHFC Social CB (€1B 2025) LCB South Korea Mortgage AAA/Stable/-- 24.17 4.17 0

KHFC Social CB (€0.5B 2024) LCB South Korea Mortgage AAA/Stable/-- 33.76 4.17 0

KHFC Social CB (€0.5B 2025) LCB South Korea Mortgage AAA/Stable/-- 11.34 4.17 0

LCB--Legislation-enabled covered bonds. OC--Overcollateralization.

Chart 18


Korean mortgage covered bond programs




Norwegian Mortgage Programs

Table 14

Norwegian Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

DNB Boligkreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 37.17 2.68 4

Eiendomskreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 26.75 14.46 0

Nordea Direct AS LCB/OMF Norway Mortgage AAA/Stable/-- 21.03 7.39 4

Storebrand Boligkreditt AS LCB/OMF Norway Mortgage AAA/Stable/-- 17.53 12.5 1

LCB--Legislation-enabled covered bonds. OMF--Obligasjoner med fortnnrett. OC--Overcollateralization.

Chart 19


Norwegian mortgage covered bond programs




Spanish Mortgage Programs

Table 15

Spanish Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

Abanca Corporacion Bancaria SA

LCB/CH Spain Mortgage AA+/Negative/-- 307.29 401.75 0

Banco Bilbao Vizcaya Argentaria S.A. (mortgage)

LCB/CH Spain Mortgage AA+/Negative/-- 95.01 43.76 0

Bankinter S.A. LCB/CH Spain Mortgage AA+/Negative/-- 60.93 21.80 3

CaixaBank S.A. LCB/CH Spain Mortgage AA/Stable/-- 60.63 32.53 3

Cajamar Caja Rural LCB/CH Spain Mortgage AA/Stable/-- 105.76 43.21 0

Ibercaja Banco S.A. LCB/CH Spain Mortgage AA/Negative/-- 298.22 37.01 0

Kutxabank S.A. LCB/CH Spain Mortgage AA+/Negative/-- 836.03 48.07 2

LCB--Legislation-enabled covered bonds. CH--Cédulas hipotecarias. W/H--Withheld. OC--Overcollateralization.

Chart 20


Spanish mortgage covered bond programs




Swedish Mortgage Programs

Table 16

Swedish Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

Danske Hypotek LCB/SO Sweden Mortgage AAA/Stable/-- 24.72 5.71 2

Landshypotek Bank AB LCB/SO Sweden Mortgage AAA/Stable/A-1+ 35.49 5.40 2

Lansforsakringar Hypotek LCB/SO Sweden Mortgage AAA/Stable/A-1+ 35.38 2.50 2

Sparbank Skane LCB/SO Sweden Mortgage AAA/Stable/-- 31.76 3.52 2

Swedbank Mortgage AB LCB/SO Sweden Mortgage AAA/Stable/A-1+ 76.22 2.93 3

LCB--Legislation-enabled covered bonds. SO--Saekerstaellda obligationer. OC--Overcollateralization.

Chart 21


Swedish mortgage covered bond programs




U.K. Mortgage Programs

Table 17

U.K. Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

Santander UK PLC SCB United Kingdom Mortgage AAA/Stable/-- 46.81 4.44 1

Bank of Scotland PLC SCB United Kingdom Mortgage AAA/Stable/-- 45.40 11.60 2

Barclays Bank UK PLC Global SCB United Kingdom Mortgage AAA/Stable/-- 60.32 9.06 1

Nationwide Building Society SCB United Kingdom Mortgage AAA/Stable/-- 85.47 3.97 1

SCB--Structured covered bonds. OC--Overcollateralization.

Chart 22


U.K. mortgage covered bond programs




Other Mortgage Programs

Table 18

Other Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

AIB Mortgage Bank LCB/MCS Ireland Mortgage AAA/Stable/-- 44.71 16.69 2

UniCredit SpA SCB Italy Mortgage AA-/Stable/-- 46.15 21.57 1

United Overseas Bank Ltd. SCB Singapore Mortgage AAA/Stable/-- 79.97 7.49 2

Takarek Mortgage Bank LCB/JL Hungary Mortgage BBB/Stable/-- 8.27 4.0 1

LCB--Legislation-enabled covered bonds. MCS--Mortgage covered securities. SCB--Structured covered bonds. OC--Overcollateralization.

Chart 23


Other mortgage covered bond programs




Other Non-Mortgage Programs

Table 19

Other Non-Mortgage Covered Bond Programs

Issuer Covered bond



rating Number of

unused notches

Belfius Bank SA/NV (public) LCB/BPP Belgium Public AAA/Stable/-- 32.89 7.84 2

Bank of Scotland PLC SCB United Kingdom Public AAA/Stable/-- 167.94 19.23 2

LCB--Legislation-enabled covered bonds. BPP--Belgian public sector program. SCB--Structured covered bonds. OC--Overcollateralization.

Chart 24


Other non-mortgage covered bond programs


Belfius Public

BoS Social Housing

BBB BBB+ A- A A+ AA- AA AA+ AAA-BBB-

Issuer credit rating

Resolution regime uplift

Jurisdictional uplift

Collateral-based uplift

Sovereign rating



Rating Actions This Quarter − Bankia S.A. Public Sector Covered Bond Program Ratings Withdrawn At Issuer's Request,

March 29, 2021

− Various Rating Actions Taken On Caixabank´s And Bankia´s Mortgage Covered Bond Programs Following Merger, March 29, 2021

− Kommunalkredit Austria AG Public Sector Covered Bonds Ratings Raised To 'A+'; Outlook Stable, March 4, 2021

− New Issue: Argenta Spaarbank N.V., Feb. 11, 2021

− Argenta Spaarbank Belgian Covered Bonds Assigned 'AAA' Rating; Outlook Stable, Feb. 11, 2021

− The Mortgage Society Of Finland Covered Bonds Outlook Revised To Stable; 'AAA' Ratings Affirmed, Jan. 29, 2021

− Argenta Spaarbank Belgian Covered Bonds Assigned Preliminary 'AAA' Rating; Outlook Stable, Jan. 26, 2021

− New Issue: KEB Hana Bank US$5 Billion Global Covered Bond Program, Jan. 26, 2021

− New Issue: Landsbankinn hf. Covered Bond Program, Jan. 15, 2021

− Landsbankinn hf. Icelandic Covered Bond Program Assigned 'A-' Rating; Outlook Stable, Jan. 15, 2021

Related Criteria

− Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019 − Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And

Assumptions, Jan. 30, 2019

− Global Methodology And Assumptions: Assessing Pools Of Residential Loans, Jan. 25, 2019

− Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017

− Covered Bond Ratings Framework: Methodology And Assumptions, June 30, 2015

− Methodology And Assumptions: Analyzing European Commercial Real Estate Collateral In European Covered Bonds, March 31, 2015

− Covered Bonds Criteria, Dec. 9, 2014

− Methodology And Assumptions For Assessing Portfolios Of International Public Sector And Other Debt Obligations Backing Covered Bonds And Structured Finance Securities, Dec. 9, 2014

− Principles of Credit Ratings, Feb. 16, 2011

Related Research − Credit Conditions Europe Q2 2021: New Horizons, Old Risks, March 30, 2021

− Economic Outlook Europe Q2 2021: The Path To A Strong Restart, March 25, 2021

− This Time, Europe Is Set To Stage A Jobs-Rich Recovery, March 16, 2021

− Covered Bonds In New Markets: Expect Only A Gradual Recovery, March 8, 2021

− Europe’s Housing Market Will Chill In 2021 As Pent-Up Pandemic Demand Eases, Feb. 22, 2021

− European Structured Finance Market Accelerates Transition From LIBOR, Feb. 9, 2021

− Swedish Covered Bonds: Harmonization Plan Paves Way For Further Rating Uplift, Feb. 4, 2021














https://www.capitaliq.com/CIQDotNet/CreditResearch/SPResearch.aspx?articleId=&ArtObjectId=10861340&ArtRevId=4&sid=&sind=A&





















− Spanish Covered Bond Market Insights 2021, Feb. 2, 2021

− European Structured Finance Outlook 2021: In Short Supply, Jan. 20, 2021

− Norwegian And Finnish Covered Bond Market Insights 2021, Jan. 19, 2021

− RFC Process Summary: Credit Rating Model: Stratified Mortgage Loan Credit – Germany, Jan. 8, 2021

− RFC Process Summary: Global Methodology And Assumptions: Assessing Pools Of Residential Loans (Austria, Germany, And Hungary), Jan. 8, 2021

− RFC Process Summary: Global Methodology And Assumptions: Assessing Pools Of Residential Loans (Spain, Portugal, Italy, And Greece), Jan. 8, 2021

− Global Criteria For Assessing Pools Of Residential Loans Updated To Include Seven European Jurisdictions, Jan. 8, 2021

− S&P Global Ratings Definitions, Jan. 5, 2021

− European Economic Snapshots: Policy Is Keeping The Impact Of The Second COVID Wave At Bay, Dec. 16, 2020
















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