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Related ���������ֳ� Content: Covered Bonds Surveillance Snapshot (Excel)
Covered Bonds Surveillance Snapshot (PDF)

���������ֳ�-Barcelona/London-29 October 2020: The snapshot of ���������ֳ� covered bond ratings as of 1 October 2020 is almost unchanged from the status as of 2 July 2020. ���������ֳ� did not downgrade any covered bonds during this period, and the perspective has become less negative, with 17 programmes on Negative Watch or Negative Outlook as of 1 October 2020 (19 as of 2 July 2020). Of the 106 programmes rated on the international scale, 72% are 'AAA', 10% are in the 'AA' category, 9% in the 'A' category and 7% in the 'BBB' category, and two programmes are non-investment grade.

Payment moratoriums have been widely adopted as part of government support measures or offered by lenders to ease the economic shock from the pandemic. Greek, Italian, Portuguese and UK residential mortgage cover pools experienced the highest take-up rates, according to data available to ���������ֳ�. Mortgage programmes from the Netherlands, France and Spain reported lower take-up due to tighter eligibility criteria or higher lender scrutiny in voluntary schemes.

The level of disclosure on payment holidays in mortgage cover pools is low but this has no direct impact on our analysis, as we do not apply a higher frequency of foreclosure to that part of the cover pool benefitting from a payment deferral. Instead, we defined additional stresses at the whole pool level to address the expected deterioration in asset performance related to the COVID-19 pandemic in most jurisdictions. This is explained in a recorded webcast that can be accessed via a link in ���������ֳ� covered bonds surveillance snapshot report for 3Q20.

���������ֳ� expects the coronavirus containment measures to negatively affect the performance of cover assets, which could result in higher breakeven overcollateralisation (OC) for some assigned ratings. However, the 'AAA' breakeven OC may reduce for public sector covered bonds programmes if they are exposed to entities from 'AA' rated countries. This results from a lower default assumption in rating scenarios above the sovereign, in line with ���������ֳ�'s recently updated "Covered Bonds and CDOs Public Entities' Asset Analysis Rating Criteria". ���������ֳ�'s covered bonds surveillance snapshot Excel file contains, among other things, the breakeven OC levels for the rating of each publicly rated programme.

For more information see our 3Q20 Covered Bonds Surveillance Snapshot and the accompanying Excel file.

Contact:
Carmen Munoz
Senior Director
+34 93 323 8408
���������ֳ�, S.A.U.
Av. Diagonal, 601, Floor - 2
08028 Barcelona (Spain)

Alessandro Bosello
Associate Director
+39 02 879 087 278

Media Relations: Athos Larkou, London, Tel: +44 20 3530 1549, Email: athos.larkou@thefitchgroup.com

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