Covered bonds 2012




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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

Australia

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Instrument name: Legislative Covered Bonds
Oustanding benchmark volumes: €9.85 billion
Year of intro/amend: 2011
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €934 billion
Rating spectrum: Aaa/AAA
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Not legislated
Defined minimum overcollateralisation: 3%
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

Austria

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Instrument name: Pfandbriefe or Fundierte Schuldverschreibungen
Oustanding benchmark volumes: €14.24 billion
Year of intro/amend: 1899/2005
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €80 billion
Rating spectrum: Aaa to Aa2
Maximum LTV ratios (residential/commercial): 60%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: 2% of the total volume of bonds in circulation
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

Canada

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Instrument name: Covered Bonds
Oustanding benchmark volumes: €37.44 billion US$31 billion
Year of introduction/amendment: 2007
Collateral composition: Public sector or mortgage (CMHC insured)
Value of mortgage debt (end-2010): €790 billion
Rating spectrum: Aaa/AAA/AAA
Maximum LTV ratios (residential/commercial): 80% (uninsured), 90% (insured)/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? Yes
Protection of voluntary overcollateralisation in case of insolvency? No

Denmark

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Instrument name: Særligt Dækkede Obligationer
Oustanding benchmark volumes: €7.47 billion
Year of introduction: 2007
Collateral composition: Public sector, mortgage or ship
Value of mortgage debt (end-2010): €237 billion
Rating spectrum: Aaa/AAA/AAA to Aa3
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Daily
Defined minimum overcollateralisation: 8% (of risk weighted assets)
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? No
Protection of voluntary overcollateralisation in case of insolvency? Yes

Finland

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Instrument name: Kiineistövakuudellinen or Julkisyhteisövakuudellinen
Oustanding benchmark volumes: €16.39 billion
Year of intro/amend: 2000/2010
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €76 billion
Rating spectrum: Aaa/AAA to Aa1
Maximum LTV ratios (residential/commercial): 70%/60%
Frequency of coverage calculation: Monthly
Defined minimum overcollateralisation: 2% NPV
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

France

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Instrument name: Obligations Foncières
Oustanding benchmark volumes: €176.00 billion (OF and OH)
Year of intro/amend 1999
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €796 billion
Rating spectrum: Aaa/AAA/AAA to Aa1
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Monthly
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

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Instrument name: Öffentliche Pfandbriefe, Hypothekenpfandbriefe, Schiffspfandbriefe or Flugzeugpfandbriefe
Oustanding benchmark volumes: €144.00 billion
Year of intro/amend: 2005/2010
Collateral composition: Public sector, mortgage or ship (aircraft)
Value of mortgage debt (end-2010): €1,152bn
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

Italy

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Instrument name: Obbligazioni Bancarie Garantite
Oustanding benchmark volumes: €35.35 billion (inc. CDP)
Year of intro/amend: 2005/2007
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €352 billion
Rating spectrum: Aa1/AA+/AAA to A2/AA/A
Maximum LTV ratios (residential/commercial): 80%/60%
Frequency of coverage calculation: Every six months
Defined minimum overcollateralisation No (by ACT)
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

Netherlands

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Instrument name: Covered Bonds
Oustanding benchmark volumes: €32.63 billion
Year of introduction: 2008
Collateral composition: Mortgage
Value of mortgage debt (end-2010): €629 billion
Rating spectrum: Aaa/AAA/AAA to Aa3
Maximum LTV ratios (CRD compliant/non-CRD compliant): 80% (residential)/N/A
Frequency of coverage calculation: Monthly
Defined minimum overcollaterialisation: No
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

New Zealand

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Instrument name: Structured Covered Bonds
Oustanding benchmark volumes: €3.50 billion
Year of intro/amend: 2010/2011
Collateral composition: By contract (mortgage)
Value of mortgage debt (end-2010): €106bn
Rating spectrum: Aaa/AAA
Maximum LTV ratios (residential/commercial): By contractual obligation
Frequency of coverage calculation: Annual
Defined minimum overcollateralisation: No (by ACT)
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? No

Norway

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Instrument name: Obligasjoner med Fortrinnsrett
Oustanding benchmark volumes: €33.31 billion
Year of intro/amend: 2002/2007
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €219bn
Rating spectrum: Aaa/AAA/AAA to Aa3
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

Spain

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Instrument name: Cédulas Territoriales or Cédulas Hipotecarias
Oustanding benchmark volumes: €205.00 billion
Year of intro/amend: 1981/2009
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €680 billion
Rating spectrum: Aaa/AAA/AAA to Baa2/A+
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? No
Protection of voluntary overcollateralisation in case of insolvency? Yes

Sweden

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Instrument name: Säkerställda Obligationer
Oustanding benchmark volumes: €33.04 billion
Year of intro/amend: 2004/2010
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €283 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

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Instrument name: Regulated Covered Bonds
Oustanding benchmark volumes: €86.52 billion
Year of introduction: 2008
Collateral composition: Public sector or mortgage
Value of mortgage debt (end-2010): €1,442 billion
Rating spectrum: Aaa/AAA/AAA to Aa2
Maximum LTV ratios (residential/commercial): 80%
Frequency of coverage calculation: Annual
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? Yes
Protection of voluntary overcollateralisation in case of insolvency? Yes
*terms at launch of existing programmes

United States

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Instrument name: Covered Bonds
Oustanding benchmark volumes: €9.43 billion
Year of first issue: 2006
Collateral composition: Public sector or mortgage
Value of mortgage debt (2010): €7,764 billion
Rating spectrum: Aa3/A/AA to 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