OREANDA-NEWS. This comment replaces the version published on 30 April 2015. It corrects the IDR uplift for the ING soft bullet covered bond programme.

Fitch Ratings has introduced individual country sheets to its latest Covered Bonds Surveillance Snapshot, published today. The country sheets, which are found in the data file released with the report, show the key characteristics of programmes within a jurisdiction. Several graphs make it easier to compare the data across programmes. Users can also choose a subset via data filters to automatically resize the graphs for their selected programmes.

The country sheets put rating steps in their relevant context. Cover pool credit risk is shown via the 'B' loss rates and cover pool composition. The breakeven overcollateralisation (OC) for the rating is shown with its components and the nominal OC for the programme. The D-Cap component assessments and IDR uplifts are accompanied by the buffer against downgrades in Issuer Default Ratings (IDRs).

Fitch also highlights within the snapshot the agency's work on Dutch covered bonds in the first quarter of 2015. Updated covered bond legislation came into effect in the Netherlands at the beginning of 2015 with a one-year transition period for existing programmes. In its special report "Dutch Covered Bonds Framework - Discontinuity Analysis of Principles-Focused Legislation Strengthened by Contracts", Fitch explains why the changes are rating-neutral.

Fitch rated 'AAA' two new Dutch covered bond programmes in March: the conditional pass-through programme for F. Van Lanschot Bankiers N.V. and a new soft bullet programme for ING Bank. Both recently became registered under the legal framework. The registration leads to these covered bonds being exempt from bail-in, which was necessary before Fitch assigned IDR uplifts of 1 notch and 2 notches with the ratings for the respective programmes.

Most of the statistics reported in this publication have remained stable since last quarter. Fitch moved the cut-off date for the data presented in this snapshot to the 8th of April instead of end-March. The data includes rating actions on covered bonds that occurred in early April, which followed rating actions on bank ratings shortly before the 31st March. The ratings of several Spanish, Italian and Greek covered bonds were adjusted in response to changes in the corresponding issuers' ratings.

Fitch's covered bonds surveillance snapshot summarises current facts and trends about Fitch's covered bonds ratings, such as development of the rating distribution and the cumulative number of upgrades and downgrades year-to-date. It lists current criteria and recent covered bond related research. It is complemented by a detailed excel file, which contains key information on a programme-by-programme basis, such as the type of cover assets, the redemption type of the covered bonds, and whether the programme is regulated or not.

As of 8 April 2015, Fitch rated 132 covered bonds programmes for an aggregated outstanding amount of EUR1,201bn, mostly secured by mortgage loans (84%). About 61% of the portfolio carried a 'AAA' rating, and less than 5% was speculative-grade.