#7 - Covered Bond Research

Against the backdrop of tariff uncertainty , covered bond spreads experienced on average a limited widening (1 to 2 bp) since last week (Bloomberg data) compared to other asset classes (i.e Senior preferred / Senior non-preferred). On 4 April 2025, S&P announced a request for comment for its covered bond rating methodology . The proposed revisions incorporate analysis of spread performance as well as the recent regulatory developments. Based on the proposed amendments, the impact would be limited in terms of rating action as S&P could upgrade by one notch one covered bond programme (1% of the CB programmes rated by S&P). However, the required overcollaterali s ation to maintain their current covered bond rating would be lower by on average c.5% on an absolute basis for approximately 70 programmes .