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Weekly round-up:
| Pxg Date | Issuer - Ticker (Type/Collateral) | Amt (EUR m) | Maturity | Initial guidance | Revised guidance | Reoffer | Spread compression (bp) | Book size (EUR m) | Cover Ratio | NIC (bp) | Trading* (bp) |
| 18-Sep | Caisse Francaise de Financement Local - CAFFIL (Obligations Foncieres) | 750 | 27-Sep-2027 (10yr) | m/s+3a | m/s+0 (+/-2, wpir) | m/s-2 | 5 | 1900 | 2.53 | -1 | -3 |
| 19-Sep | Banco Santander Totta - SANTAN (Obriga��es Hipotec�rias) | 1000 | 26-Sep-2027 (10yr) | m/s+high 50s | m/s+50a (+/-2, wpir) | m/s+48 | ~10 | 3250 | 3.25 | 1 | 38.5 |
| 19-Sep | pbb Deutsche Pfandbriefbank AG - PBBGR (Hypothekenpfandbrief) (+) | 100 | 9-Aug-2021 (3.91yr) | N/A | N/A | m/s-14 | 0 | N/A | N/A | 1 | -13.5 |
| 20-Sep | PKO Bank Hipoteczny - PKOBHB (Polish Residential Covered Bond) | 500 | 27-Aug-2024 (6.91yr) | m/s+35a | m/s+30a (+/-2, wpir) | m/s+28 | 0 | 1350 | 2.7 | 0 | 27.5 |
| 21-Sep | Stadtsparkasse Muenchen - SSPMUE (Hypothekenpfandbrief) | 250 | 28-Sep-2027 (10yr) | m/s-8 | N/A | m/s-9 | 0 | 250 | 1 | N/A | -7.5 |
| 22-Sep | Commerzbank
AG - CMZB (Hypothekenpfandbrief) (+) | 250 | 24-Aug-2027 (9.91yr) | N/A | N/A | m/s-13 | 0 | 1 | |||
| Totals: | 2850 | 6750 | |||||||||
| Averages: | 475 | 8.455 | 2.5 | 1687.5 | 2.37 | 0.4 |
* versus Friday morning's bid levels
This week's additions to the pipeline:
| Issuer | Currency | Bookrunners | Ratings | Type | Notes |
| Nationale-Nederlanden Bank N.V. | EUR | ABN Amro, BNP Paribas, LBBW and Rabobank | AAA by S&P | Dutch Conditional Pass Through Covered Bond | Meetings from Monday 25 September for an inaugural Conditional Pass-Through RegS Bearer EUR 500m (no-grow) covered bond with an intermediate maturity |
| ASB Finance Limited (London Branch) | EUR | Barclays and Commerzbank | Aaa/AAA by Moody's/Fitch | New Zealand Covered Bond | Meetings in Europe in the week commencing 2 October 2017 for a 5-7 year covered benchmark bond, guaranteed by ASB Bank Limited |
Year-to-date EUR Covered Bond volumes by jurisdiction:
Source: Informa Global Markets
Year-to-date EUR Covered Bond volumes by maturity:
Source: Informa Global Markets
Total EUR Covered Bond volume by week:
Source: Informa Global Markets
Year-to-date League Table (EUR-denominated covered bonds):
| Rank | Lead (Change from previous week) | Amount (EUR) | # of Deals | Share (%) |
| 1 | Commerzbank (unch) | 6.20bn | 44 | 6.71% |
| 2 | LBBW (unch) | 5.99bn | 34 | 6.48% |
| 3 | Credit Agricole CIB (unch) | 5.53bn | 31 | 5.99% |
| 4 | BNP Paribas (unch) | 5.45bn | 29 | 5.90% |
| 5 | Societe Generale (up from 6) | 5.39bn | 27 | 5.83% |
| 6 | UniCredit (down from 5) | 5.33bn | 42 | 5.77% |
| 7 | HSBC (unch) | 4.44bn | 25 | 4.80% |
| 8 | Natixis (unch) | 4.24bn | 27 | 4.59% |
| 9 | UBS (unch) | 3.33bn | 20 | 3.60% |
| 10 | Deutsche Bank (unch) | 3.21bn | 21 | 3.47% |
Source: Informa Global Markets
CBPP3 Data:
| CBPP3 Cumulative (EUR bn) | Reference date | No. days | Implied annual purchase rate | Implied monthly purchase rate | Implied daily purchase rate (latest week) (Eur bn) | CBPP3 Weekly |
| 203.731 | 06/01/2017 | 576 | 89.486 | 7.457 | 0.043 | 0.215 |
| 207.216 | 13/01/2017 | 581 | 90.233 | 7.519 | 0.697 | 3.485 |
| 207.456 | 20/01/2017 | 586 | 89.567 | 7.464 | 0.048 | 0.240 |
| 207.864 | 27/01/2017 | 591 | 88.984 | 7.415 | 0.082 | 0.408 |
| 209.664 | 03/02/2017 | 596 | 89.002 | 7.417 | 0.360 | 1.800 |
| 211.004 | 10/02/2017 | 601 | 88.825 | 7.402 | 0.268 | 1.340 |
| 211.282 | 17/02/2017 | 606 | 88.208 | 7.351 | 0.056 | 0.278 |
| 212.188 | 24/02/2017 | 611 | 87.862 | 7.322 | 0.181 | 0.906 |
| 213.137 | 03/03/2017 | 616 | 87.538 | 7.295 | 0.190 | 0.949 |
| 213.793 | 10/03/2017 | 621 | 87.101 | 7.258 | 0.131 | 0.656 |
| 214.672 | 17/03/2017 | 626 | 86.760 | 7.230 | 0.176 | 0.879 |
| 215.177 | 24/03/2017 | 631 | 86.275 | 7.190 | 0.101 | 0.505 |
| 214.446 | 31/03/2017 | 636 | 85.306 | 7.109 | -0.146 | -0.731 |
| 214.73 | 07/04/2017 | 641 | 84.753 | 7.063 | 0.057 | 0.284 |
| 215.517 | 14/04/2017 | 646 | 84.405 | 7.034 | 0.157 | 0.787 |
| 216.114 | 21/04/2017 | 651 | 83.989 | 6.999 | 0.119 | 0.597 |
| 216.374 | 28/04/2017 | 656 | 83.449 | 6.954 | 0.052 | 0.260 |
| 217.439 | 05/05/2017 | 661 | 83.226 | 6.935 | 0.213 | 1.065 |
| 218.6 | 12/05/2017 | 666 | 83.042 | 6.920 | 0.232 | 1.161 |
| 219.221 | 19/05/2017 | 671 | 82.657 | 6.888 | 0.124 | 0.621 |
| 219.349 | 26/05/2017 | 676 | 82.094 | 6.841 | 0.026 | 0.128 |
| 220.466 | 02/06/2017 | 681 | 81.906 | 6.825 | 0.223 | 1.117 |
| 221.672 | 09/06/2017 | 686 | 81.754 | 6.813 | 0.241 | 1.206 |
| 222.768 | 16/06/2017 | 691 | 81.563 | 6.797 | 0.219 | 1.096 |
| 222.837 | 23/06/2017 | 696 | 81.003 | 6.750 | 0.014 | 0.069 |
| 222.630 | 30/06/2017 | 701 | 80.350 | 6.696 | -0.014 | -0.207 |
| 223.046 | 07/07/2017 | 706 | 79.930 | 6.661 | 0.083 | 0.416 |
| 223.870 | 14/07/2017 | 711 | 79.661 | 6.638 | 0.165 | 0.824 |
| 224.632 | 21/07/2017 | 716 | 79.374 | 6.615 | 0.152 | 0.762 |
| 225.040 | 28/07/2017 | 721 | 78.967 | 6.581 | 0.082 | 0.408 |
| 225.580 | 04/08/2017 | 726 | 78.611 | 6.551 | 0.108 | 0.540 |
| 226.142 | 11/08/2017 | 731 | 78.268 | 6.522 | 0.112 | 0.562 |
| 226.570 | 18/08/2017 | 736 | 77.883 | 6.490 | 0.086 | 0.428 |
| 227.711 | 25/08/2017 | 741 | 77.747 | 6.479 | 0.228 | 1.141 |
| 228.023 | 01/09/2017 | 746 | 77.332 | 6.444 | 0.062 | 0.312 |
| 228.952 | 08/09/2017 | 751 | 77.130 | 6.428 | 0.186 | 0.929 |
| 229.979 | 15/09/2017 | 756 | 76.964 | 6.414 | 0.205 | 1.027 |
Source: ECB & Informa Global Markets
Selective recent Covered deals (launch, current bid spread)
| ISSUER | COUPON, MATURITY | REOFFER SPREAD | CURRENT SPREAD | RATINGS |
| PKOBHB | 0.75% 09/27 | MS +28 | MS+27.5 (-1) | Aa3 |
| SANTAN | 1.25% 09/27 | MS +48 | MS +38.5 (-0.5) | A1/--/A |
| CAFFIL | 0.75% 09/27 | MS -2 | MS -3 (unch) | Aaa/--/AAA |
| CMCICB | 0.75% 09/27 | MS 0 | MS -3.5 (unch) | Aaa/AAA/AAA |
| RFLBNI | 0.375% 09/24 | MS -3 | MS -3 (unch) | Aaa |
| BANDES | 0.875% 09/24 | MS +57 | MS +34 (-1.5) | --/--/AA- |
| CFF | 0.375% 12/24 | MS -2 | MS -6 (-0.5) | Aaa/AAA |
| PBBGR | 0.05% 09/22 | MS -10 | MS -11 (unch) | Aa1 |
| BRF | 0.375% 07/24 | MS +2 | MS -1.5 (-0.5) | --/AAA/-- |
| WLBANK | 0.625% 08/27 | MS -12 | MS -14 (+0.5) | --/AAA/-- |
| CMZB | 0.625% 08/27 | MS -11 | MS -12.5 (-unch) | Aaa |
| MUNHYP | 0.625% 10/26 | MS -13 | MS -14 (-0.5) | Aaa |
| HSHN | 0.1% 07/20 | MS +10 | MS +6 (-0.5) | Aa2 |
| ACASCF | 0.875% 08/27 | MS +3 | MS -2.5 (unch) | Aaa/AAA/-- |
| BQDAU | 0.5% 07/22 | MS +25 | MS +13 (unch) | Aaa/--/AAA |
| LEED | 0.5% 07/24 | MS +17 | MS +11.5 (-1) | Aaa/--/AAA |
| BZLNZ | 0.5% 07/24 | MS +15 | MS +11.5 (-0.5) | Aaa/--/AAA |
| NWIDE | 1.375% 06/32 | MS +30 | MS +16.5 (unch) | Aaa/AAA/AAA |
| HVB | 0.125% 10/23 | MS -10 | MS -11 (unch) | Aaa/--/AAA |
| AEGON | 0.75% 06/27 | MS +12 | MS +9.5 (-0.5) | AAA/AAA |
| ACACB | 0.375% 09/24 | MS -5 | MS -7.5 (-0.5) | Aaa/AAA/AAA |
| SPABOL | 0.375% 06/24 | MS 0 | MS -3.5 (-0.5) | Aaa/AAA |
| LBPSFH | 0.625% 06/27 | MS 0 | MS -3 (-1) | --/AAA/-- |
| DHY | 0.375% 06/25 | MS -10 | MS -9.5 (-0.5) | Aa1 |
| SEB | 0.25% 06/24 | MS -5 | MS -7 (unch) | Aaa |
| BHH | 0.125% 10/23 | MS -14 | MS -16.5 (unch) | Aaa |
eva.bobb@intinsider.com
Topics Asset Allocation
IGM FX and Rates, IGM Credit
By Marcus Dewsnap 20 Nov 2017
Welcome to our newsletter, The Context, from IFI Research, containing thought leadership articles spanning a host of asset classes.
IGM FX and Rates
By Marcus Dewsnap 12 Mar 2018
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