2009 ECBC Covered Bond Fact Book

The European Covered Bond Council's (ECBC's) Fact Book, released in a new edition yearly, is the world's single greatest annual source of information, insight, and statistics on covered bonds.  It is also one of the world's great values—available free as a PDF download.

Although the focus is naturally on Europe, the book's coverage is broader, including strong technical articles on covered bonds in the U.S. and Canada.

This year's 384-page edition, published in September 2009, is a "must" for anyone with an interest in covered bonds.  Like its predecessor in 2008, it contains five chapters: "Key Themes of the Year," "Generic Section," "The Issuer's Perspective," "Ratings Agencies & Methodology," and "Covered Bond Statistics."  Each chapter in turn contains a number of subchapters.

The subchapters in "Key Themes of the Year" provide an incisive and authoritative look at developments in the covered bond market since the last Fact Book was published.  Standouts in the 2009 edition include an article on the current state of secondary market trading and a piece titled "The Lehmanization of the Covered Bond Market: A discussion of the risk perception of Covered Bond investments in times of crisis."

The "Generic Section"—a primer on the basics of covered bonds—consists of an overview, a comparison of covered bonds with residential mortgage-backed securities (RMBS), and a discussion of covered bonds in relation to the EU Capital Requirements Directive.  New this year is an "annex" on the "essential features of covered bonds" as defined by the ECBC.

The third chapter—"The Issuer's Perspective"—consists of separate short articles on covered bond requirements and programs in 27 countries.

For anyone who wants to understand the methodologies that credit rating agencies use for covered bonds, the chapter on "Ratings Agencies & Methodology" is an extremely useful starting-point.  Articles on the three major agencies—Fitch Ratings, Moody's Investors Service, and Standard & Poor's—are written by major figures from the covered bond units of those agencies.  An overview piece highlights that the approach to rating covered bonds is at a "pivotal moment," with "things still in flux," as rating agencies have reassessed their traditional methodologies in light of the past year's economic turmoil.

The last chapter—"Covered Bond Statistics"—offers a page of covered bond statistics for each country included, in alphabetical order from Austria to the United States.  Each page lists stats from 2004 through 2008 in categories including "Total Covered Bonds Outstanding" and "Total Covered Bonds Issuance" (further broken down as to new issues of covered bonds backed by public-sector debt, mortgages, ships, and mixed assets.)

To download a PDF of the "2009 ECBC European Covered Bond Fact Book" from the ECBC website, click here.