Covered bonds 2011


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Symbol legend:
Mortgage
Public sector
Ship, plane or other moveable asset
Special bank principle
NPV matching
Maximum LTV ratios (residential)
Covered bonds become due in case of insolvency
Separate administrator of cover pool in case of insolvency
Covered bond frameworks:
Legislation
Legislation - contractual
Legislation being prepared
Legislation being prepared - contractual
Legislation being considered
Legislation being considered - contractual
No legislation
No legislation - contractual

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Sources: EuroWeek, The Cover, Goldman Sachs, European Mortgage Federation, Canada Mortgage & Housing Corporation, Markit

All data end-2010 unless otherwise specified

Symbol legend:
Mortgage
Public sector
Ship, plane or other moveable asset
Special bank principle
NPV matching
Maximum LTV ratios (residential)
Covered bonds become due in case of insolvency
Separate administrator of cover pool in case of insolvency
Covered bond frameworks:
Legislation
Legislation - contractual
Legislation being prepared
Legislation being prepared - contractual
Legislation being considered
Legislation being considered - contractual
No legislation
No legislation - contractual

Austria

Instrument name: Pfandbriefe or Fundierte Schuldverschreibungen
Oustanding benchmark volumes: €12.18 billion
Year of intro/amend: 1899/2005
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2009): €72 billion
Rating spectrum: Aaa to Aa2
Maximum LTV ratios (residential/commercial): 60%/60%
Frequency of coverage calculation: Monthly
Defined minimum overcollateralisation: 2% of the total volume of bonds in circulation
Special bank principle: Yes
NPV matching: No
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Canada

Instrument name: Covered Bonds
Oustanding benchmark volumes: €4.23 billion US$19.25 billion
Year of introduction/amendment: 2007
Collateral composition: Public sector or mortgage (CMHC insured)
Value of mortgage debt (end-2009): €637 billion
Rating spectrum: Aaa/AAA/AAA
Maximum LTV ratios (residential/commercial): 80% (uninsured), 90% (insured)/N/A
Frequency of coverage calculation: Not relevant
Defined Minimum overcollateralisation: By contractual obligation
Special bank principle: No
NPV matching: No
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? No
Protection of voluntary overcollateralisation in case of insolvency? Yes

Denmark

Instrument name: Særligt Dækkede Obligationer
Oustanding benchmark volumes: €9.71 billion
Year of introduction: 2007
Collateral composition: Public sector, mortgage or ship
Value of mortgage debt (end-2009): €231 billion
Rating spectrum: Aaa/AAA to Aa2/AAA
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: 8% (of risk weighted assets)
Special bank principle: No
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? No
Protection of voluntary overcollateralisation in case of insolvency? Yes

Finland

Instrument name: Kiineistövakuudellinen or Julkisyhteisövakuudellinen
Oustanding benchmark volumes: €4.83 billion
Year of intro/amend: 2000/2010
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2009): €72 billion
Rating spectrum: Aaa/AAA to Aa1
Maximum LTV ratios (residential/commercial): 70%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: By contractual obligation
Special bank principle: No
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

France

Instrument name: Obligations Foncières
Oustanding benchmark volumes: €140.82 billion US$7.48 billion
Year of intro/amend 1999/2011
Collateral composition: Public sector and/or mortgage
Value of mortgage debt (end-2009): €738 billion
Rating spectrum: Aaa/AAA/AAA
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: 2%
Special bank principle: Yes
NPV matching: No
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Germany

Instrument name: Öffentliche Pfandbriefe, Hypothekenpfandbriefe, Schiffspfandbriefe or Flugzeugpfandbriefe
Oustanding benchmark volumes: €190.46 billion US$8.09 billion
Year of intro/amend: 2005/2010
Collateral composition: Public sector, mortgage or ship (aircraft)
Value of mortgage debt (end-2009): €1,147bn
Rating spectrum: Aaa/AAA/AAA to Aa1/AA+/AA+
Maximum LTV ratios (residential/commercial): 60%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: 2%
Special bank principle: No
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Greece

Instrument name: Kalimenes Omologies
Oustanding benchmark volumes: €3.49 billion
Year of intro/amend: 2007/2009
Collateral composition: Public sector, mortgage or ship
Value of mortgage debt (end-2009): €81 billion
Rating spectrum: Aaa/AAA
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Quarterly
Defined minimum overcollateralisation: 5.26%
Special bank principle: No
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Ireland

Instrument name: Asset Covered Securities
Oustanding benchmark volumes: €11.96 billion US$0.50 billion
Year of intro/amend: 2001/2007
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2009): €148 billion
Rating spectrum: Aa3/AAA/AAA to Ba3/A/BBB+
Maximum LTV ratios (residential/commercial): 75%/60%
Frequency of coverage calculation: Weekly (public), Monthly (mortgage)
Defined minimum overcollateralisation 103% residential/110% commercial
Special bank principle: Yes
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes (NTMA)
Protection of voluntary overcollateralisation in case of insolvency? Yes

Italy

Instrument name: Obbligazioni Bancarie Garantite
Oustanding benchmark volumes: €52.02 billion (inc. CDP)
Year of intro/amend: 2005/2007
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2009): €331 billion
Rating spectrum: Aaa/AAA/AAA
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Every six months
Defined minimum overcollateralisation No
Special bank principle: No
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? No
Protection of voluntary overcollateralisation in case of insolvency? Yes

Luxembourg

Instrument name: Lettres de Gage Publiques or Hypothécaires or Mobilières
Oustanding benchmark volumes: €1.25bn
Year of introduction/amendment: 1999/2008
Collateral composition: Public sector, mortgage or moveable assets
Value of mortgage debt (2008): €16bn
Rating spectrum: AAA/AAA
Maximum LTV ratios (residential/commercial): 80%/60%
Defined rules for mortgage valuation? Yes
Minimum overcollateralisation: 2%
Special bank principle: Yes
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? No

Netherlands

Instrument name: Covered Bonds
Oustanding benchmark volumes: €25.16 billion US$1 billion
Year of introduction: 2008
Collateral composition: Mortgage
Value of mortgage debt (end-2009): €602 billion
Rating spectrum: Aaa/AAA/AAA to Aa2
Maximum LTV ratios (CRD compliant/non-CRD compliant): 80% (residential)/N/A
Frequency of coverage calculation: Monthly
Defined minimum overcollaterialisation: By contractual obligation
Special bank principle: No
NPV matching: No
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Norway

Instrument name: Obligasjoner med Fortrinnsrett
Oustanding benchmark volumes: €21.18 billion US$3.50 billion
Year of intro/amend: 2002/2007
Collateral composition: Public sector and/or mortgage
Value of mortgage debt (end-2009): €195bn
Rating spectrum: Aaa/AAA/AAA
Maximum LTV ratios (residential/commercial): 75%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: No
Special bank principle: Yes
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Portugal

Instrument name: Obrigações Hipotecárias
Oustanding benchmark volumes: €13.45 billion
Year of introduction: 2006
Collateral composition: Mortgage
Value of mortgage debt (end-2009): €111 billion
Rating spectrum: Aa1/AAA/AAA to A2/A/A
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Monthly
Defined minimum overcollateralisation: 5.26%
Special bank principle: No
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Spain

Instrument name: Cédulas Territoriales or Cédulas Hipotecarias
Oustanding benchmark volumes: €279.83 billion US$1 billion
Year of intro/amend: 1981/2009
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2009): €679 billion
Rating spectrum: Aaa/AAA/AAA to A1/AAA/AA+
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: CH: 25%/CT: 43%
Special bank principle: No
NPV matching: No
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

Sweden

Instrument name: Säkerställda Obligationer
Oustanding benchmark volumes: €34.39 billion US$1.60 billion
Year of introduction: 2004/2010
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2009): €236 billion
Rating spectrum: Aaa/AAA
Maximum LTV ratios (residential/commercial): 75%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: No
Special bank principle: No
NPV matching: Yes
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes

United Kingdom

Instrument name: Regulated Covered Bonds
Oustanding benchmark volumes: €82.25 billion US$9.48 billion
Year of introduction: 2008
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2009): €1,373 billion
Rating spectrum: Aaa/AAA/AAA to Aa1/AA/AAA
Maximum LTV ratios (residential/commercial): 80%/N/A
Frequency of coverage calculation: Not relevant
Defined minimum overcollateralisation: By contractual obligation
Special bank principle: No
NPV matching: Not relevant
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes
*terms at launch of existing programmes

United States

Instrument name: Covered Bonds
Oustanding benchmark volumes: €10.94 billion US$2 billion
Year of first issue: 2006
Collateral composition: Public sector or mortgage
Value of mortgage debt (2008): €7,994 billion
Rating spectrum: Aa2/AA/AAA to Aa2/AA/AA+
Maximum LTV ratios (residential): 75%*/N/A
Frequency of coverage calculation: Monthly
Defined minimum overcollateralisation: By contractual obligation
Special bank principle: No
NPV matching: No
Derivatives pledged to cover pool? Yes
Covered bonds become due in case of insolvency? No
Separate administrator of cover pool in case of insolvency? No
Protection of voluntary overcollateralisation in case of insolvency? Yes
*terms at launch of existing programmes