UK Covered Bond Forum 23 rd June 2011
Agenda Opening remarks from Chair A. Simons, FSA Developments in the UK Market S. Penketh, Barclays Consultation on the Regulated Covered Bond Framework D. Caldwell, HMT Transparency Standards for Regulated Covered Bonds L. Joseph, FSA Use of Ratings for Regulated Covered Bonds J. Wu, FSA AOB
Covered Bond Forum 23 June 2011 Barclays Treasury - Strictly Confidential
UK Covered Bond Market in 2011 - primary market supply Supply of UK Covered Bond (issued in €,£,$) UK Covered Bond versus Government Bonds Spread UK Covered Bond Take-up by Domicile UK Covered Bond Take-up by Investor Type Benchmark UK covered bonds, 2010 (YTD) Benchmark UK covered bonds, 2010 (YTD) 1
UK Covered Bond Market in 2011 - secondary market performance and challenges UK 5yr € Covered Bond Performance UK GBP Covered Bond Performance Z-Spread Z-Spread 180 140 170 120 160 150 100 140 80 130 120 60 110 100 40 90 20 80 Jun-10 Aug-10 Oct-10 Dec-10 Feb-11 Apr-11 Mar-11 Apr-11 May-11 Jun-11 BACR 3.125% Jan 15 LLOYDS 3.375% Mar 15 YBS 4.750% Apr 18 COVBS 4.625% Apr 18 ABBEY 3.375% Jun 15 RBS 3.000% Sep 15 LEED 4.250% Dec 18 NWIDE 5.625% Jan 26 YBS 3.250% Sep 15 ABBEY 5.750% Mar 26 iBoxx Covered Bond Indices: UK versus Others 700 600 500 Z-Spread 400 300 200 100 0 Mar- J un- Sep- Dec- Mar- J un- Sep- Dec- Mar- J un- 09 09 09 09 10 10 10 10 11 11 France G ermany Ireland Netherlands Portugal Scandi Spain UK 2
Covered bond review – key regulatory proposals Transparency Consistency • Consistent investor reporting, • Asset pool monitor including loan-level data • Fixed minimum level of • Segregating covered bond overcollateralisation programmes by asset type • Updated regulatory reporting • Excluding securitisations as eligible assets June 2011
Transparency • Setting high standards • Implementation • UK Authorities’ response to other initiatives
Agenda Opening remarks from Chair A. Simons, FSA Developments in the UK Market S. Penketh, Barclays Consultation on the Regulated Covered Bond Framework D. Caldwell, HMT Transparency Standards for Regulated Covered Bonds L. Joseph, FSA Use of Ratings for Regulated Covered Bonds J. Wu, FSA AOB
FSA Regulated Covered Bond Team Anna Simons, Manager Anna.Simons@fsa.gov.uk 02070667356 Stephanie Tetu Stephanie.Tetu@fsa.gov.uk 02070662240 John Wu John.Wu@fsa.gov.uk 02070668720 Lara Joseph Lara.Joseph@fsa.gov.uk 02070669270
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