European Covered Bond Fact Book 2018

European Covered Bond Council

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Date Published 2018
Primary Author European Covered Bond Council
Other Authors
Theme Mortgage Bonds


This 13th edition of the ECBC European Covered Bond Fact Book builds on the success of previous editions, as the benchmark and the most comprehensive source of information on the asset class. Chapter I presents an analysis of eleven key themes of the year, offering an overview of the Industry’s views on these. Chapter II provides a detailed explanation of covered bond fundamentals, including reviews of some of the current European regulatory changes that have had/are bound to have a direct, significant impact on covered bonds, mainly the Capital Requirements Directive and Regulation (CRD IV and CRR), the Liquidity Coverage Ratio, Solvency II, bail-in mechanisms (MREL AND TLAC) and covered bonds protection under the BRRD (Bank Recovery and Resolution Directive). This chapter also includes articles outlining the repo treatment of covered bonds by central banks, investigating the relationship between covered bonds and other asset classes such as senior unsecured and government bonds, and describing the USD and GBP denominated covered bond market. Chapter III presents an overview of the legislation and markets in 39 countries. Chapter IV sets out the rating agencies’ covered bond methodologies and, finally, Chapter V provides a description of trends in the covered bond market as well as a complete set of covered bond statistics. We welcome the broad range of views expressed in this latest edition of the Fact Book and would like to extend our appreciation to the Chairmen of the ECBC “Fact Book” and “Statistics & Data” Working Groups, Mr Wolfgang Kälberer and Mr Florian Eichert respectively, as well as to all Fact Book contributors, whose efforts have once again, produced an outstanding edition of the ECBC Fact Book.

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